# EDGAR Filing Document

**Accession Number:** 0001364924
**File Stem:** 0000035402-26-000550
**Filing Date:** 2026-1
**Character Count:** 6355102
**Document Hash:** 840a1185e56982d4ff17aea997607e09
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-26-000550.hdr.sgml**: 20260123

**ACCESSION NUMBER**: 0000035402-26-000550

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260123

**DATE AS OF CHANGE**: 20260123

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Rutland Square Trust II
- **CENTRAL INDEX KEY:** 0001364924

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0228

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21991
- **FILM NUMBER:** 26555520

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

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

## Series and Classes Contracts Data

### Strategic Advisers Core Income Fund (Series ID: S000029150)

| Class ID   | Class Name                          | Ticker Symbol   |
|:---|:---|:---|
| C000089632 | Strategic Advisers Core Income Fund | FPCIX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Strategic Advisers® Core Income Fund**

*Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public*

**November 30, 2025**

SSC-NPRT3-0126

1.912893.115 ---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 4.8%** | &nbsp;&nbsp;**Asset-Backed Securities - 4.8%** | &nbsp;&nbsp;**Asset-Backed Securities - 4.8%** | &nbsp;&nbsp;**Asset-Backed Securities - 4.8%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 0.2%  |  |  |  |
| 37 Capital Clo II Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.29%, 5.1945% 7/15/2034 (b)(c)(d) |  | 4250000 | 4254807 |
| Agl Clo 20 Ltd Series 2024-20A Class A1R, CME Term SOFR 3 month Index + 1.37%, 5.2544% 10/20/2037 (b)(c)(d) |  | 16000000 | 16042496 |
| Aimco Clo 17 Ltd / Aimco Clo 17 LLC Series 2024-17A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.2074% 7/20/2037 (b)(c)(d) |  | 4828000 | 4842788 |
| Aimco Clo 22 Ltd / Aimco Clo 22 LLC Series 2024-22A Class A, CME Term SOFR 3 month Index + 1.5%, 5.3844% 4/19/2037 (b)(c)(d) |  | 1080000 | 1082555 |
| Atlas Senior Loan Fund XXIII Ltd Series 2024-23A Class B, CME Term SOFR 3 month Index + 2%, 5.8844% 7/20/2037 (b)(c)(d) |  | 14000000 | 14091826 |
| Bain Cap Cr Clo Ltd / Bain Cap Cr Clo LLC Series 2025-2A Class A1R, CME Term SOFR 3 month Index + 1.32%, 5.2044% 7/18/2038 (b)(c)(d) |  | 3748000 | 3757662 |
| Bain Capital Credit Clo Ltd Series 2025-4A Class A1R, CME Term SOFR 3 month Index + 1.23%, 4.9597% 1/21/2039 (b)(c)(d) |  | 3750000 | 3750000 |
| Benefit Street Partners Clo Xxix Series 2025-29A Class AR, CME Term SOFR 3 month Index + 1.18%, 5.038% 1/25/2038 (b)(c)(d) |  | 500000 | 499250 |
| Benefit Street Partners Clo Xxvii Ltd Series 2024-27A Class AR, CME Term SOFR 3 month Index + 1.37%, 5.2544% 10/20/2037 (b)(c)(d) |  | 720000 | 722643 |
| Blueberry Park Clo Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.35%, 5.2344% 10/20/2037 (b)(c)(d) |  | 4323000 | 4334162 |
| Capital Four US Clo II Ltd / Cap Four US Clo II LLC Series 2023-1A Class AR, CME Term SOFR 3 month Index + 1.9%, 5.7844% 1/20/2037 (b)(c)(d) |  | 250000 | 250175 |
| Dryden 108 Clo Ltd / Dryden 108 Clo LLC Series 2024-108A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.2444% 7/18/2037 (b)(c)(d) |  | 8569000 | 8591948 |
| Flatiron Clo 26 Ltd / Flatiron Clo 26 LLC Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.33%, 5.2345% 1/15/2038 (b)(c)(d) |  | 3440000 | 3450506 |
| Goldentree Loan Management US Clo 16 Ltd Series 2025-16A Class ARR, CME Term SOFR 3 month Index + 1.12%, 5.0044% 1/20/2038 (b)(c)(d) |  | 250000 | 249989 |
| Halseypoint Clo 7 Ltd / Halseypoint Clo 7 LLC Series 2025-7A Class A1R, CME Term SOFR 3 month Index + 1.45%, 5.3344% 7/20/2038 (b)(c)(d) |  | 420000 | 421978 |
| Hamlin Pk Clo Ltd / Hamlin Pk Clo LLC Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.34%, 5.2244% 10/20/2037 (b)(c)(d) |  | 3484000 | 3496006 |
| Invesco US CLO Ltd Series 2024-3A Class A, CME Term SOFR 3 month Index + 1.51%, 5.3944% 7/20/2037 (b)(c)(d) |  | 4204000 | 4219324 |
| Midocean Credit Clo Xii Ltd Series 2025-12A Class A1RR, CME Term SOFR 3 month Index + 1.34%, 5.2244% 7/18/2038 (b)(c)(d) |  | 250000 | 250853 |
| OCP CLO Ltd Series 2024-36A Class B1, CME Term SOFR 3 month Index + 1.7%, 5.5936% 10/16/2037 (b)(c)(d) |  | 1238000 | 1240980 |
| OCP CLO Series 2024-37A Class A1, CME Term SOFR 3 month Index + 1.36%, 5.2645% 10/15/2037 (b)(c)(d) |  | 250000 | 250496 |
| OCP CLO Series 2024-37A Class B1, CME Term SOFR 3 month Index + 1.68%, 5.5845% 10/15/2037 (b)(c)(d) |  | 250000 | 250642 |
| Regatta XXVII Funding Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.53%, 5.388% 4/26/2037 (b)(c)(d) |  | 250000 | 250645 |
| Renew 2023-1 Series 2023-1A Class A, 5.9% 11/20/2058 (b) |  | 2462420 | 2461118 |
| Valley Stream Park Clo Ltd Series 2024-1A Class E1RR, CME Term SOFR 3 month Index + 5.25%, 9.1344% 1/20/2037 (b)(c)(d) |  | 1000000 | 988689 |
| Vantage Data Centers Jersey Borrower Spv Ltd Series 2024-1X Class A2, 6.172% 5/28/2039 (e) | GBP | 330000 | 446882 |
| Vantage Data Centers Jersey Borrower Spv Ltd Series 2025-1X Class B, 6.338% 5/28/2039 (e) | GBP | 135000 | 178700 |
| Verdelite Static CLO Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.13%, 5.0144% 7/20/2032 (b)(c)(d) |  | 3302212 | 3298953 |
| Wildwood Park CLO Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.36%, 5.2444% 10/20/2037 (b)(c)(d) |  | 250000 | 250923 |
| TOTAL BAILIWICK OF JERSEY |  |  | 83926996 |
| BERMUDA - 0.0%  |  |  |  |
| Symphony CLO 40 Ltd Series 2024-40A Class AR, CME Term SOFR 3 month Index + 1.31%, 5.2215% 1/5/2038 (b)(c)(d) |  | 420000 | 420785 |
| CANADA - 0.0%  |  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (b) |  | 852324 | 863435 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (b) |  | 1719506 | 1737860 |
| TOTAL CANADA |  |  | 2601295 |
| GERMANY - 0.0%  |  |  |  |
| Bmo Mortgage Trust Series 2025-1X Class A2, 4.292% 6/28/2050 (e) | EUR | 294000 | 340888 |
| SC Germany Consumer Series 2024-2 Class C, 1 month EURIBOR + 1.4%, 3.271% 5/14/2038 (c)(d)(e) | EUR | 100000 | 116298 |
| SC Germany Consumer Series 2024-2 Class D, 1 month EURIBOR + 1.7%, 3.571% 5/14/2038 (c)(d)(e) | EUR | 100000 | 116165 |
| TOTAL GERMANY |  |  | 573351 |
| GRAND CAYMAN (UK OVERSEAS TER) - 1.8%  |  |  |  |
| 1988 CLO 2 Ltd Series 2025-2A Class A1R, CME Term SOFR 3 month Index + 1.2%, 5.1045% 4/15/2038 (b)(c)(d) |  | 250000 | 249990 |
| 1988 Clo 5 Ltd / 1988 Clo 5 LLC Series 2024-5A Class A1, CME Term SOFR 3 month Index + 1.54%, 5.4445% 7/15/2037 (b)(c)(d) |  | 250000 | 250600 |
| 522 Fdg Clo 2019-5 Ltd / 522 Fdg Clo 2019-5 Series 2022-5A Class AR, CME Term SOFR 3 month Index + 1.33%, 5.2345% 4/15/2035 (b)(c)(d) |  | 1000000 | 1001243 |
| AGL CLO 35 Ltd Series 2024-35A Class A1, CME Term SOFR 3 month Index + 1.34%, 5.21% 1/21/2038 (b)(c)(d) |  | 250000 | 250516 |
| AGL CLO 37 Ltd Series 2025-37A Class A1, CME Term SOFR 3 month Index + 1.24%, 5.0974% 4/22/2038 (b)(c)(d) |  | 250000 | 250125 |
| AGL CLO Ltd Series 2025-42A Class A1, CME Term SOFR 3 month Index + 1.3%, 5.5692% 7/22/2038 (b)(c)(d) |  | 250000 | 251003 |
| AGL CLO Ltd Series 2025-44A Class C, CME Term SOFR 3 month Index + 1.8%, 5.7533% 10/22/2037 (b)(c)(d) |  | 250000 | 247144 |
| Agl Core Clo 2 Ltd / Agl Core 2 LLC Series 2024-2A Class A1R, CME Term SOFR 3 month Index + 1.46%, 5.3444% 7/20/2037 (b)(c)(d) |  | 250000 | 250777 |
| AGL Core CLO 38 Ltd Series 2025-38A Class A1, CME Term SOFR 3 month Index + 1.24%, 5.0974% 1/22/2038 (b)(c)(d) |  | 270000 | 270210 |
| Aimco CDO Series 2024-10A Class ARR, CME Term SOFR 3 month Index + 1.41%, 5.2674% 7/22/2037 (b)(c)(d) |  | 2821000 | 2824848 |
| Aimco CLO 11 Ltd Series 2024-11A Class A1R2, CME Term SOFR 3 month Index + 1.34%, 5.2216% 7/17/2037 (b)(c)(d) |  | 4867000 | 4882292 |
| Aimco Clo 23 Ltd Series 2025-23A Class A, CME Term SOFR 3 month Index + 1.13%, 5.0144% 4/20/2038 (b)(c)(d) |  | 385650 | 385635 |
| Allegro Clo Ltd Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.34%, 5.2244% 7/20/2038 (b)(c)(d) |  | 4673000 | 4684757 |
| Ammc Cdo Series 2024-24A Class AR, CME Term SOFR 3 month Index + 1.2%, 5.0844% 1/20/2035 (b)(c)(d) |  | 5200000 | 5200000 |
| Ammc Clo 27 Ltd Series 2025-27A Class A2R, CME Term SOFR 3 month Index + 1.35%, 5.2344% 1/20/2037 (b)(c)(d) |  | 4820000 | 4784303 |
| Anchorage Cap Clo 7 Ltd / Anchorage Cap Clo 7 LLC Series 2024-7A Class BR3, CME Term SOFR 3 month Index + 2.05%, 5.9094% 4/28/2037 (b)(c)(d) |  | 700000 | 701574 |
| Anchorage Capital CLO 15 Ltd Series 2025-15A Class A1R2, CME Term SOFR 3 month Index + 1.41%, 5.621% 7/20/2038 (b)(c)(d) |  | 470000 | 471472 |
| Anchorage Capital CLO 8 Ltd Series 2025-8A Class A1R3, CME Term SOFR 3 month Index + 1.29%, 5.1965% 10/27/2038 (b)(c)(d) |  | 250000 | 250773 |
| Anchorage Capital CLO Ltd Series 2024-29A Class A1, CME Term SOFR 3 month Index + 1.6%, 5.4844% 7/20/2037 (b)(c)(d) |  | 250000 | 250781 |
| Apidos CLO Series 2021-37A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.249% 10/22/2034 (b)(c)(d) |  | 1650000 | 1651487 |
| Apidos CLO Series 2021-37A Class D, CME Term SOFR 3 month Index + 3.3116%, 7.169% 10/22/2034 (b)(c)(d) |  | 250000 | 250684 |
| Apidos Clo Xxxiv Series 2021-34A Class A1R, CME Term SOFR 3 month Index + 1.4116%, 5.2961% 1/20/2035 (b)(c)(d) |  | 250000 | 250295 |
| Apidos Clo Xxxix Series 2025-39A Class A1R, CME Term SOFR 3 month Index + 1.23%, 5.3996% 10/21/2038 (b)(c)(d) |  | 250000 | 250269 |
| Apidos Clo Xxxvi Series 2021-36A Class B, CME Term SOFR 3 month Index + 1.8616%, 5.7461% 7/20/2034 (b)(c)(d) |  | 1160000 | 1160537 |
| Arbor Realty Collateralized Loan Obligation Ltd Series 2025-BTR1 Class A, CME Term SOFR 1 month Index + 1.925%, 5.8848% 1/20/2041 (b)(c)(d) |  | 408000 | 409722 |
| ARCLO Series 2022-FL1 Class A, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.592% 1/15/2037 (b)(c)(d) |  | 121209 | 121207 |
| AREIT Ltd Series 2025-CRE10 Class A, CME Term SOFR 1 month Index + 1.3879%, 5.3469% 12/17/2029 (b)(c)(d) |  | 133000 | 132998 |
| AREIT Trust Series 2024-CRE9 Class A, CME Term SOFR 1 month Index + 1.6865%, 5.6454% 5/17/2041 (b)(c)(d) |  | 511725 | 511994 |
| Ares LIV CLO Ltd Series 2025-54A Class AR2, CME Term SOFR 3 month Index + 1.31%, 5.2145% 7/15/2038 (b)(c)(d) |  | 5230000 | 5234513 |
| Ares Lv Clo Ltd Series 2024-55A Class A1R2, CME Term SOFR 3 month Index + 1.37%, 5.2745% 10/15/2037 (b)(c)(d) |  | 4228000 | 4243331 |
| Ares Lvii Clo Ltd / Ares Lvii Clo LLC Series 2021-57A Class AR, CME Term SOFR 3 month Index + 1.4116%, 5.7301% 1/25/2035 (b)(c)(d) |  | 330000 | 330000 |
| Ares Lviii Clo Ltd / Ares Lviii Clo LLC Series 2025-58A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 5.1445% 4/15/2038 (b)(c)(d) |  | 3511000 | 3516130 |
| Ares Lxii Clo Ltd Series 2025-62A Class BR, CME Term SOFR 3 month Index + 1.5%, 5.358% 1/25/2034 (b)(c)(d) |  | 5100000 | 5102678 |
| Ares Xxvii Clo Ltd Series 2024-2A Class BR3, CME Term SOFR 3 month Index + 1.65%, 5.5094% 10/28/2034 (b)(c)(d) |  | 3900000 | 3902418 |
| Atlantic Ave Ltd / Atlantic Ave LLC Series 2025-4A Class A, CME Term SOFR 3 month Index + 1.38%, 5.2664% 10/15/2038 (b)(c)(d) |  | 3500000 | 3504837 |
| Atlas Senior Loan Fund Xv Ltd Series 2024-15A Class A1R, CME Term SOFR 3 month Index + 1.22%, 5.0798% 10/23/2032 (b)(c)(d) |  | 3917578 | 3922001 |
| Babson CLO Ltd/Cayman Islands Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.26%, 5.1645% 1/15/2038 (b)(c)(d) |  | 3908000 | 3910986 |
| Bain Capital Credit Clo 2020-2 Ltd Series 2024-2A Class ARR, CME Term SOFR 3 month Index + 1.24%, 5.1244% 7/19/2034 (b)(c)(d) |  | 8600000 | 8609701 |
| Bain Capital Credit Clo Ltd Series 2024-2A Class A1R, CME Term SOFR 3 month Index + 1.23%, 5.1236% 7/16/2034 (b)(c)(d) |  | 13800000 | 13819430 |
| Bain Capital Credit Clo Ltd Series 2025-3A Class ARR, CME Term SOFR 3 month Index + 1.03%, 4.9% 10/21/2034 (b)(c)(d) |  | 1000000 | 998577 |
| Bain Capital Credit CLO Series 2024-2A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.4245% 7/15/2037 (b)(c)(d) |  | 380000 | 381327 |
| Bain Capital Credit CLO Series 2024-3A Class A1RR, CME Term SOFR 3 month Index + 1.21%, 5.0698% 10/23/2034 (b)(c)(d) |  | 7300000 | 7304095 |
| Barings Clo Ltd Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.75%, 5.6344% 1/20/2037 (b)(c)(d) |  | 7479000 | 7492702 |
| Barings Clo Ltd Series 2024-4A Class AR, CME Term SOFR 3 month Index + 1.37%, 5.2544% 10/20/2037 (b)(c)(d) |  | 1560000 | 1565901 |
| Barings Ln Partners Clo Ltd 2 / Barings Ln Partners Clo 2 LLC Series 2025-2A Class CR, CME Term SOFR 3 month Index + 1.65%, 5.5344% 1/20/2034 (b)(c)(d) |  | 4500000 | 4491185 |
| Battalion Clo X Ltd / Battalion Clo X LLC Series 2021-10A Class A1R2, CME Term SOFR 3 month Index + 1.4316%, 5.297% 1/25/2035 (b)(c)(d) |  | 12000000 | 12001488 |
| Bbam US Clo I Ltd Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.2%, 5.1045% 3/30/2038 (b)(c)(d) |  | 250000 | 249254 |
| Bbam US Clo I Ltd Series 2025-1A Class D1R, CME Term SOFR 3 month Index + 3%, 6.9045% 3/30/2038 (b)(c)(d) |  | 125000 | 124560 |
| BCRED BSL Static Clo Ltd / LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.5413% 7/24/2035 (b)(c)(d) |  | 3430000 | 3422794 |
| Benefit Street Partners CLO 42 Ltd Series 2025-42A Class A, CME Term SOFR 3 month Index + 1.3%, 5.3707% 10/25/2038 (b)(c)(d) |  | 250000 | 250849 |
| Benefit Street Partners Clo 44 Ltd / LLC Series 2025-44A Class A1, CME Term SOFR 3 month Index + 1.22%, 1.22% 1/15/2039 (b)(c)(d)(f) |  | 3210000 | 3210000 |
| Benefit Street Partners Clo Xviii Ltd Series 2025-18A Class AR2, CME Term SOFR 3 month Index + 1.24%, 5.1445% 10/15/2038 (b)(c)(d) |  | 360000 | 360302 |
| Benefit Street Partners Clo Xx Ltd Series 2025-20A Class ARR, CME Term SOFR 3 month Index + 1.29%, 5.1945% 7/15/2037 (b)(c)(d) |  | 500000 | 501472 |
| Benefit Street Partners Clo Xxxvii Ltd Series 2024-37A Class A, CME Term SOFR 3 month Index + 1.35%, 5.208% 1/25/2038 (b)(c)(d) |  | 560000 | 561180 |
| BETHP Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.2962% 1/15/2035 (b)(c)(d) |  | 4844000 | 4850782 |
| Birch Grove Clo Ltd / Birch Grove Clo LLC Series 2024-19A Class A1RR, CME Term SOFR 3 month Index + 1.59%, 5.4716% 7/17/2037 (b)(c)(d) |  | 700000 | 701794 |
| Birch Grove CLO Ltd Series 2025-13A Class A1, CME Term SOFR 3 month Index + 1.31%, 5.4668% 10/23/2038 (b)(c)(d) |  | 250000 | 250369 |
| Birch Grove Clo Series 2025-6A Class A1R, CME Term SOFR 3 month Index + 1.38%, 5.7509% 7/20/2037 (b)(c)(d) |  | 250000 | 250629 |
| Bluemountain Clo Ltd / Bluemountain Clo LLC Series 2024-3A Class A1R, CME Term SOFR 3 month Index + 1.19%, 5.048% 10/25/2030 (b)(c)(d) |  | 85837 | 85992 |
| Bluemountain Clo Ltd / Bluemountain Clo LLC Series 2024-3A Class BR, CME Term SOFR 3 month Index + 1.85%, 5.708% 10/25/2030 (b)(c)(d) |  | 410000 | 412044 |
| Bluemountain CLO Ltd Series 2018-2A Class B, CME Term SOFR 3 month Index + 1.9616%, 5.8134% 8/15/2031 (b)(c)(d) |  | 500000 | 501430 |
| Bluemountain CLO Ltd Series 2024-3A Class A1R2, CME Term SOFR 3 month Index + 1.2%, 5.0518% 11/15/2030 (b)(c)(d) |  | 248348 | 248414 |
| Bluemountain Clo Ltd Series 2025-4A Class CR2, CME Term SOFR 3 month Index + 1.3%, 5.1844% 4/20/2030 (b)(c)(d) |  | 1000000 | 1000595 |
| Bridge Street Clo VI Ltd Series 2025-2A Class A1, CME Term SOFR 3 month Index + 1.28%, 5.0671% 1/15/2039 (b)(c)(d) |  | 370000 | 370541 |
| Buckhorn Park Clo Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.07%, 4.9544% 7/18/2034 (b)(c)(d) |  | 280000 | 280073 |
| BXMT Ltd Series 2025-FL5 Class A, CME Term SOFR 1 month Index + 1.6388%, 5.6014% 10/18/2042 (b)(c)(d) |  | 628000 | 627228 |
| Canyon Capital Clo Ltd Series 2018-1A Class AR, CME Term SOFR 3 month Index + 1.3316%, 5.2362% 7/15/2031 (b)(c)(d) |  | 100126 | 100190 |
| Canyon Clo Ltd Series 2025-4A Class AR, CME Term SOFR 3 month Index + 1.1%, 5.0045% 10/15/2034 (b)(c)(d) |  | 5700000 | 5694306 |
| Carlyle US Clo Ltd / Carlyle US Clo LLC Series 2024-6A Class B, CME Term SOFR 3 month Index + 1.7%, 5.558% 10/25/2037 (b)(c)(d) |  | 1890000 | 1897844 |
| Carlyle US CLO Ltd Series 2024-10A Class A1R, CME Term SOFR 3 month Index + 1.31%, 5.1944% 1/20/2038 (b)(c)(d) |  | 3508000 | 3511869 |
| Carlyle US CLO Ltd Series 2024-11A Class A1R, CME Term SOFR 3 month Index + 1.41%, 5.268% 7/25/2037 (b)(c)(d) |  | 5360000 | 5375351 |
| Carlyle US CLO Ltd Series 2024-3A Class A1R2, CME Term SOFR 3 month Index + 1.4%, 5.27% 10/21/2037 (b)(c)(d) |  | 340000 | 340790 |
| Carlyle US CLO Ltd Series 2024-3A Class BR2, CME Term SOFR 3 month Index + 1.78%, 5.65% 10/21/2037 (b)(c)(d) |  | 250000 | 250859 |
| Carlyle US Clo Ltd Series 2024-6A Class E, CME Term SOFR 3 month Index + 5.75%, 9.608% 10/25/2037 (b)(c)(d) |  | 150000 | 151007 |
| Carlyle US Clo Ltd Series 2025-6A Class A1, CME Term SOFR 3 month Index + 1.22%, 0% 1/20/2039 (b)(c)(d)(f) |  | 3635000 | 3635000 |
| Carval Clo Series 2024-2A Class A1R, CME Term SOFR 3 month Index + 1.42%, 5.2774% 10/22/2037 (b)(c)(d) |  | 250000 | 250695 |
| Cedar Fdg Xii Clo Ltd / Cedar Fdg Xii Clo LLC Series 2025-12A Class ARR, CME Term SOFR 3 month Index + 1.2%, 5.058% 1/25/2038 (b)(c)(d) |  | 3215000 | 3214884 |
| Cedar Fdg Xvii Clo Ltd Series 2025-17A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.2344% 7/20/2038 (b)(c)(d) |  | 4739000 | 4750923 |
| Cedar Funding Ltd Series 2022-15A Class A, CME Term SOFR 3 month Index + 1.32%, 5.2044% 4/20/2035 (b)(c)(d) |  | 7060000 | 7054013 |
| Cedar Funding Ltd Series 2024-10A Class AR2, CME Term SOFR 3 month Index + 1.36%, 5.2444% 10/20/2037 (b)(c)(d) |  | 4327000 | 4335572 |
| Cifc Fdg Ltd / Cifc Fdg LLC Series 2024-1A Class BR, CME Term SOFR 3 month Index + 1.7%, 5.5844% 1/18/2038 (b)(c)(d) |  | 500000 | 501391 |
| Cifc Funding 2014-Iii Ltd Series 2025-3A Class A1R, CME Term SOFR 3 month Index + 1.18%, 5.0845% 3/31/2038 (b)(c)(d) |  | 250000 | 249750 |
| Cifc Funding 2025-Vi Ltd Series 2025-6A Class A1, CME Term SOFR 3 month Index + 1.25%, 5.1098% 10/23/2038 (b)(c)(d) |  | 2185000 | 2187799 |
| CIFC Funding Ltd Series 2018-1A Class BR2, CME Term SOFR 3 month Index + 1.6616%, 5.5461% 1/18/2031 (b)(c)(d) |  | 250000 | 250483 |
| Cifc Funding Ltd Series 2024-1A Class A1R2, CME Term SOFR 3 month Index + 1.36%, 5.2444% 10/20/2037 (b)(c)(d) |  | 294000 | 295146 |
| CIFC Funding Ltd Series 2024-1A Class BR, CME Term SOFR 3 month Index + 1.75%, 5.608% 7/25/2037 (b)(c)(d) |  | 250000 | 250711 |
| CIFC Funding Ltd Series 2024-2A Class A1R, CME Term SOFR 3 month Index + 1.37%, 5.2544% 10/20/2037 (b)(c)(d) |  | 28750000 | 28806350 |
| CIFC Funding Ltd Series 2024-3A Class A, CME Term SOFR 3 month Index + 1.6%, 5.4844% 1/20/2037 (b)(c)(d) |  | 250000 | 250537 |
| Cifc Funding Ltd Series 2024-4A Class A1R, CME Term SOFR 3 month Index + 1.3%, 5.2045% 1/15/2040 (b)(c)(d) |  | 680000 | 680836 |
| CIFC Funding Ltd Series 2024-6A Class A1R, CME Term SOFR 3 month Index + 1.45%, 5.3436% 7/16/2037 (b)(c)(d) |  | 310000 | 310904 |
| CIFC Funding Ltd Series 2025-2A Class D1RR, CME Term SOFR 3 month Index + 2.6%, 6.7429% 10/17/2038 (b)(c)(d) |  | 550000 | 551534 |
| CIFC Funding Ltd Series 2025-4A Class AR, CME Term SOFR 3 month Index + 1.22%, 5.1016% 1/17/2038 (b)(c)(d) |  | 2500000 | 2503603 |
| CIFC Funding Ltd Series 2025-4RA Class A1A2, CME Term SOFR 3 month Index + 0.99%, 4.8716% 1/17/2035 (b)(c)(d) |  | 4300000 | 4298745 |
| CIFC Funding Ltd Series 2025-5A Class A1R2, CME Term SOFR 3 month Index + 1.27%, 5.3593% 10/15/2038 (b)(c)(d) |  | 3307000 | 3313148 |
| Clover Clo Ltd Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1%, 4.8844% 4/18/2035 (b)(c)(d) |  | 3981000 | 3982238 |
| Crown Point Clo 7 Ltd Series 2024-7A Class AR, CME Term SOFR 3 month Index + 1.23%, 5.1144% 10/20/2031 (b)(c)(d) |  | 192867 | 192930 |
| Diameter Cap Clo 10 Ltd / Diameter Cap Clo 10 LLC Series 2025-10A Class A, CME Term SOFR 3 month Index + 1.31%, 5.1944% 4/20/2038 (b)(c)(d) |  | 574000 | 575144 |
| Diameter Capital CLO 8 Ltd Series 2024-8A Class A1A, CME Term SOFR 3 month Index + 1.4%, 5.2844% 10/20/2037 (b)(c)(d) |  | 1100000 | 1102292 |
| Dryden 104 Clo Ltd / Dryden 104 Clo LLC Series 2024-104A Class A1R, CME Term SOFR 3 month Index + 1.29%, 5.179% 8/20/2034 (b)(c)(d) |  | 250000 | 250410 |
| Dryden 40 Senior Loan Fund Series 2024-40A Class AR2, CME Term SOFR 3 month Index + 1.15%, 5.0018% 8/15/2031 (b)(c)(d) |  | 134511 | 134587 |
| Dryden 41 Senior Loan Fund Series 2018-41A Class AR, CME Term SOFR 3 month Index + 1.2316%, 5.1362% 4/15/2031 (b)(c)(d) |  | 20260 | 20260 |
| Dryden 45 Senior Loan Fund Series 2024-45A Class BRR, CME Term SOFR 3 month Index + 1.65%, 5.5545% 10/15/2030 (b)(c)(d) |  | 4000000 | 4002392 |
| Dryden 54 Senior Loan Fund Series 2024-54A Class AR, CME Term SOFR 3 month Index + 1.15%, 5.0344% 10/19/2029 (b)(c)(d) |  | 43111 | 43116 |
| Dryden 55 Clo Ltd Series 2018-55A Class A1, CME Term SOFR 3 month Index + 1.2816%, 5.1862% 4/15/2031 (b)(c)(d) |  | 62370 | 62436 |
| Dryden CLO Ltd Series 2022-98A Class A, CME Term SOFR 3 month Index + 1.3%, 5.1844% 4/20/2035 (b)(c)(d) |  | 4007000 | 4009645 |
| Dryden CLO Ltd Series 2024-83A Class AR, CME Term SOFR 3 month Index + 1.53%, 5.4144% 4/18/2037 (b)(c)(d) |  | 5321000 | 5335553 |
| Dryden CLO Ltd Series 2024-85A Class A1R2, CME Term SOFR 3 month Index + 1.38%, 5.2845% 7/15/2037 (b)(c)(d) |  | 5727000 | 5741678 |
| E3 2019-1 Series 2019-1 Class A, 3.1% 9/20/2055 (b) |  | 111233 | 97962 |
| Eaton Vance CLO Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.39%, 5.2945% 10/15/2037 (b)(c)(d) |  | 3921000 | 3927423 |
| Eaton Vance CLO Ltd Series 2024-2A Class AR2, CME Term SOFR 3 month Index + 1.38%, 5.2845% 10/15/2037 (b)(c)(d) |  | 6200000 | 6209635 |
| Elevation CLO Ltd Series 2024-3A Class A1R2, CME Term SOFR 3 month Index + 1.3%, 5.158% 1/25/2035 (b)(c)(d) |  | 12500000 | 12475300 |
| Elm CLO Ltd Series 2025-14A Class A, CME Term SOFR 3 month Index + 1.3%, 5.1574% 1/22/2038 (b)(c)(d) |  | 250000 | 250613 |
| Elmwood Clo 30 Ltd / Elmwood Clo 30 LLC Series 2024-6A Class A, CME Term SOFR 3 month Index + 1.43%, 5.3116% 7/17/2037 (b)(c)(d) |  | 250000 | 250882 |
| Elmwood Clo 36 Ltd / Elmwood Clo 36 LLC Series 2024-12RA Class AR, CME Term SOFR 3 month Index + 1.34%, 5.2244% 10/20/2037 (b)(c)(d) |  | 500000 | 501160 |
| Elmwood CLO 38 Ltd Series 2025-1A Class A, CME Term SOFR 3 month Index + 1.15%, 5.0074% 4/22/2038 (b)(c)(d) |  | 250000 | 249862 |
| Elmwood CLO 39 Ltd Series 2025-2A Class A1, CME Term SOFR 3 month Index + 1.14%, 5.0216% 4/17/2038 (b)(c)(d) |  | 15250000 | 15224075 |
| Elmwood Clo II Ltd Series 2024-2A Class A1RR, CME Term SOFR 3 month Index + 1.35%, 5.2344% 10/20/2037 (b)(c)(d) |  | 22750000 | 22784830 |
| Elmwood Clo III Ltd Series 2024-3A Class A1RR, CME Term SOFR 3 month Index + 1.38%, 5.2644% 7/18/2037 (b)(c)(d) |  | 12000000 | 12028296 |
| Elmwood Clo III Ltd Series 2024-3A Class ERR, CME Term SOFR 3 month Index + 5.95%, 9.8344% 7/18/2037 (b)(c)(d) |  | 400000 | 385345 |
| Elmwood Clo VI Ltd Series 2024-3A Class ARR, CME Term SOFR 3 month Index + 1.38%, 5.2644% 7/18/2037 (b)(c)(d) |  | 250000 | 250592 |
| Flat Series 2025-30A Class A1, CME Term SOFR 3 month Index + 1.16%, 5.0645% 4/15/2038 (b)(c)(d) |  | 3505000 | 3499427 |
| Flatiron Clo 20 Ltd / Flatiron Clo 20 LLC Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 5.129% 11/20/2038 (b)(c)(d) |  | 8080000 | 8084872 |
| Flatiron Clo 32 Ltd Series 2025-32A Class A1, CME Term SOFR 3 month Index + 1.29%, 5.6063% 10/22/2038 (b)(c)(d) |  | 3345000 | 3354637 |
| Flatiron Clo Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.2444% 10/19/2037 (b)(c)(d) |  | 6432000 | 6453335 |
| Flatiron Clo Ltd Series 2024-1A Class A2R, CME Term SOFR 3 month Index + 1.58%, 5.4644% 10/19/2037 (b)(c)(d) |  | 250000 | 250016 |
| Gcbsl Series 2025-48A Class A1R, CME Term SOFR 3 month Index + 1.31%, 5.1916% 4/17/2038 (b)(c)(d) |  | 250000 | 250266 |
| Generate Clo 16 Ltd Series 2024-16A Class B, CME Term SOFR 3 month Index + 1.85%, 5.7344% 7/20/2037 (b)(c)(d) |  | 500000 | 501002 |
| Generate Clo 4 Ltd / Generate Clo 4 LLC Series 2024-4A Class ARR, CME Term SOFR 3 month Index + 1.43%, 5.3144% 7/20/2037 (b)(c)(d) |  | 500000 | 501921 |
| Generate Clo 7 Ltd / Generate Clo 7 LLC Series 2024-7A Class A1R, CME Term SOFR 3 month Index + 1.62%, 5.4774% 4/22/2037 (b)(c)(d) |  | 250000 | 250550 |
| Goldentree Ln Mgmt Us Clo 11 Ltd Series 2024-11A Class AR, CME Term SOFR 3 month Index + 1.08%, 4.9644% 10/20/2034 (b)(c)(d) |  | 250000 | 249760 |
| Golub Cap Partners Clo 77b Ltd Series 2025-77A Class A1, CME Term SOFR 3 month Index + 1.25%, 5.108% 1/25/2038 (b)(c)(d) |  | 515422 | 516054 |
| Golub Capital Partners Clo 81 B Ltd Series 2025-81A Class A1, CME Term SOFR 3 month Index + 1.31%, 5.639% 7/20/2038 (b)(c)(d) |  | 420000 | 420883 |
| Golub Capital Private Credit Fund CLO 2 Series 2025-1A Class A1, CME Term SOFR 3 month Index + 1.47%, 5.6222% 10/18/2039 (b)(c)(d) |  | 680000 | 681016 |
| Goodgreen 2017-2 Trust Series 2017-2A Class A, 3.26% 10/15/2053 (b) |  | 106611 | 97301 |
| Goodgreen 2018-1 Series 2018-1A Class A, 3.93% 10/15/2053 (b)(d) |  | 94103 | 87497 |
| Gracie Point International Funding LLC Series 2023-2A Class A, U.S. 90-Day Avg. SOFR Index + 2.25%, 6.6056% 3/1/2027 (b)(c)(d) |  | 166176 | 166432 |
| Greywolf Clo II Ltd Series 2021-1A Class A1SR, CME Term SOFR 3 month Index + 1.4%, 5.3045% 4/15/2034 (b)(c)(d) |  | 35000000 | 35025130 |
| Gt Loan Financing I Ltd Series 2025-1A Class AR2, CME Term SOFR 3 month Index + 1.22%, 5.0769% 4/28/2039 (b)(c)(d) |  | 810000 | 810405 |
| Ha Cr Partners Xvi Ltd / Oha Cr Partners Xvi LLC Series 2024-16A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.2344% 10/18/2037 (b)(c)(d) |  | 280000 | 280393 |
| Halseypoint Clo 6 Ltd / Halseypoint Clo 6 LLC Series 2025-6A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.2344% 1/20/2038 (b)(c)(d) |  | 250000 | 250499 |
| Hero Funding Trust Series 2017-1A Class A, 3.5% 9/21/2043 (b) |  | 46875 | 42299 |
| Hero Funding Trust Series 2017-1A Class A2, 4.46% 9/20/2047 (b) |  | 41618 | 39927 |
| Hero Funding Trust Series 2017-3A Class A1, 3.19% 9/20/2048 (b) |  | 45599 | 42007 |
| Hero Funding Trust Series 2017-3A Class A2, 3.95% 9/20/2048 (b) |  | 37637 | 35513 |
| HGI Cre CLO, Ltd. Series 2022-FL3 Class D, U.S. 30-Day Avg. SOFR Index + 3.75%, 7.892% 4/20/2037 (b)(c)(d) |  | 320500 | 319973 |
| Horizon Aircraft Finance Ltd Series 2019-1 Class A, 3.721% 7/15/2039 (b) |  | 2736202 | 2681379 |
| Icg US Clo Ltd Series 2025-1A Class A2R3, CME Term SOFR 3 month Index + 1.6%, 5.4428% 4/29/2034 (b)(c)(d) |  | 5150000 | 5151942 |
| Invesco Clo Ltd Series 2025-2A Class BR, CME Term SOFR 3 month Index + 1.6%, 5.5045% 7/15/2034 (b)(c)(d) |  | 2500000 | 2497038 |
| Invesco US CLO Series 2024-1RA Class AR, CME Term SOFR 3 month Index + 1.55%, 5.4545% 4/15/2037 (b)(c)(d) |  | 4340000 | 4347847 |
| Jamestown Clo Xviii Ltd / Jamestown Clo Xviii LLC Series 2024-18A Class A1R, CME Term SOFR 3 month Index + 1.27%, 5.128% 7/25/2035 (b)(c)(d) |  | 11700000 | 11681701 |
| Kkr Clo 35 Ltd Series 2025-35A Class AR, CME Term SOFR 3 month Index + 1.2%, 5.0844% 1/20/2038 (b)(c)(d) |  | 250000 | 249850 |
| Lakeside Pk Clo Ltd / Lakeside Pk Clo LLC Series 2025-1A Class A, CME Term SOFR 3 month Index + 1.15%, 5.0545% 4/15/2038 (b)(c)(d) |  | 2529000 | 2527632 |
| Lcm 31 Ltd Series 2024-31A Class AR, CME Term SOFR 3 month Index + 1.28%, 5.1644% 7/20/2034 (b)(c)(d) |  | 4500000 | 4501638 |
| Madison Park Funding Ltd Series 2024-57A Class A1R, CME Term SOFR 3 month Index + 1.28%, 5.138% 7/27/2034 (b)(c)(d) |  | 250000 | 250075 |
| Madison Park Funding Lxxi Ltd Series 2025-71A Class A1, CME Term SOFR 3 month Index + 1.14%, 4.9998% 4/23/2038 (b)(c)(d) |  | 2880000 | 2877823 |
| Madison Park Funding Xxxi Ltd Series 2024-31A Class B1R, CME Term SOFR 3 month Index + 1.8%, 5.6598% 7/23/2037 (b)(c)(d) |  | 600000 | 601356 |
| Madison Park Funding Xxxix Ltd Series 2024-39A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.1074% 10/22/2034 (b)(c)(d) |  | 5300000 | 5285123 |
| Madison Pk Fdg Lxvii Ltd / Madison Pk Fdg Lxvii LLC Series 2024-67A Class B, CME Term SOFR 3 month Index + 2.05%, 5.908% 4/25/2037 (b)(c)(d) |  | 270000 | 270782 |
| Madison Pk Fdg Xlv Ltd / Madison Pk Fdg Xlv LLC Series 2024-45A Class ARR, CME Term SOFR 3 month Index + 1.08%, 4.9845% 7/15/2034 (b)(c)(d) |  | 4233000 | 4235235 |
| Madison Pk Fdg Xxix Ltd / Madison Pk Fdg Xxix LLC Series 2025-29A Class A1R2, CME Term SOFR 3 month Index + 1.18%, 5.0644% 3/25/2038 (b)(c)(d) |  | 23220000 | 23179388 |
| Madison Pk Fdg Xxx Ltd / Madison Pk Fdg Xxx LLC Series 2024-30A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.2536% 7/16/2037 (b)(c)(d) |  | 950000 | 952610 |
| Madison Pk Fdg Xxxvii LLC Series 2024-37A Class AR2, CME Term SOFR 3 month Index + 1.53%, 5.4345% 4/15/2037 (b)(c)(d) |  | 5600000 | 5613009 |
| Magnetite CLO LTD Series 2025-36A Class AR, CME Term SOFR 3 month Index + 1.32%, 5.178% 7/25/2038 (b)(c)(d) |  | 3400000 | 3408704 |
| Magnetite Clo Ltd Series 2025-45A Class A1, CME Term SOFR 3 month Index + 1.15%, 5.0545% 4/15/2038 (b)(c)(d) |  | 2446000 | 2445900 |
| Magnetite Xli Ltd Series 2024-41A Class A, CME Term SOFR 3 month Index + 1.29%, 5.148% 1/25/2038 (b)(c)(d) |  | 2869000 | 2873283 |
| Magnetite Xxiii Ltd Series 2021-23A Class AR, CME Term SOFR 3 month Index + 1.3916%, 5.2496% 1/25/2035 (b)(c)(d) |  | 4904000 | 4908845 |
| Magnetite Xxv Ltd Series 2020-25A Class A, CME Term SOFR 3 month Index + 1.4616%, 5.3196% 1/25/2032 (b)(c)(d) |  | 1655323 | 1656121 |
| Magnetite Xxvi Ltd / Magnetite Xxvi LLC Series 2025-26A Class AR2, CME Term SOFR 3 month Index + 1.15%, 5.008% 1/25/2038 (b)(c)(d) |  | 3261000 | 3258346 |
| Magnetite Xxviii Ltd Series 2025-28A Class A1RR, CME Term SOFR 3 month Index + 1.24%, 5.1445% 1/15/2038 (b)(c)(d) |  | 5256000 | 5259311 |
| Marble Point Clo Xviii Ltd Series 2025-2A Class A1R2, CME Term SOFR 3 month Index + 1.21%, 5.1145% 3/15/2038 (b)(c)(d) |  | 15750000 | 15717224 |
| Morgan Stanley Eaton Vance CLO Ltd / LLC Series 2025-21A Class A1, CME Term SOFR 3 month Index + 1.17%, 5.0745% 4/15/2038 (b)(c)(d) |  | 4173000 | 4162154 |
| Neuberger Berman CLO Ltd Series 2024-56A Class B, CME Term SOFR 3 month Index + 1.75%, 5.6154% 7/24/2037 (b)(c)(d) |  | 500000 | 501357 |
| Neuberger Berman Loan Advisers Clo 25 Ltd Series 2024-25A Class AR2, CME Term SOFR 3 month Index + 1.4%, 5.2844% 7/18/2038 (b)(c)(d) |  | 4828000 | 4841301 |
| Neuberger Berman Loan Advisers CLO 36R Ltd Series 2025-36RA Class A, CME Term SOFR 3 month Index + 1.27%, 5.5517% 7/20/2039 (b)(c)(d) |  | 690000 | 691401 |
| New Mtn Clo 7 Ltd / LLC Series 2025-7A Class A1, CME Term SOFR 3 month Index + 1.2%, 5.0844% 3/31/2038 (b)(c)(d) |  | 250000 | 249863 |
| Northwoods Capital Xii-B Ltd Series 2024-12BA Class AR, CME Term SOFR 3 month Index + 1.19%, 5.2278% 6/15/2031 (b)(c)(d) |  | 6362820 | 6356330 |
| Oaktree CLO 2025-31 Ltd Series 2025-31A Class A, CME Term SOFR 3 month Index + 1.32%, 5.599% 7/15/2038 (b)(c)(d) |  | 500000 | 501060 |
| Oaktree Clo Ltd Series 2025-2A Class AR, CME Term SOFR 3 month Index + 0.97%, 4.8745% 1/15/2035 (b)(c)(d) |  | 250000 | 249386 |
| Ocean Trails Clo 8 Series 2024-8A Class ARR, CME Term SOFR 3 month Index + 1.29%, 5.1945% 7/15/2034 (b)(c)(d) |  | 6000000 | 6005418 |
| Ocp Aegis Clo Ltd Series 2025-47A Class A1, CME Term SOFR 3 month Index + 1.11%, 0% 1/21/2038 (b)(c)(d)(f) |  | 2909000 | 2909000 |
| OCP CLO Ltd / OCP CLO LLC Series 2024-13A Class AR2, CME Term SOFR 3 month Index + 1.34%, 5.21% 11/26/2037 (b)(c)(d) |  | 860000 | 861960 |
| OCP CLO Ltd / OCP CLO LLC Series 2024-38A Class A, CME Term SOFR 3 month Index + 1.33%, 5.2% 1/21/2038 (b)(c)(d) |  | 250000 | 250466 |
| OCP CLO Ltd Series 2024-17A Class AR2, CME Term SOFR 3 month Index + 1.4%, 5.2844% 7/20/2037 (b)(c)(d) |  | 250000 | 250850 |
| OCP Clo Ltd Series 2025-44A Class A, CME Term SOFR 3 month Index + 1.3%, 5.5622% 10/24/2038 (b)(c)(d) |  | 3520000 | 3523935 |
| OCP CLO Ltd Series 2025-46A Class A, CME Term SOFR 3 month Index + 1.2%, 0% 10/15/2038 (b)(c)(d)(f) |  | 2260000 | 2260608 |
| OCP CLO Series 2024-12A Class BAR3, CME Term SOFR 3 month Index + 1.68%, 5.5644% 10/18/2037 (b)(c)(d) |  | 250000 | 250349 |
| OCP CLO Series 2024-12A Class XR3, CME Term SOFR 3 month Index + 1.2%, 5.0844% 10/18/2037 (b)(c)(d) |  | 200000 | 200011 |
| Octagon 66 Ltd Series 2023-1A Class A1R, CME Term SOFR 3 month Index + 1.75%, 5.6018% 11/16/2036 (b)(c)(d) |  | 500000 | 500000 |
| Octagon 75 Ltd Series 2025-1A Class A1, CME Term SOFR 3 month Index + 1.2%, 5.0574% 1/22/2038 (b)(c)(d) |  | 250000 | 250108 |
| Octagon Investment Partners 39 Ltd Series 2024-3A Class AR, CME Term SOFR 3 month Index + 1.15%, 5.0344% 10/20/2030 (b)(c)(d) |  | 38601 | 38601 |
| Octagon Investment Partners 39 Ltd Series 2024-3A Class BR, CME Term SOFR 3 month Index + 1.8%, 5.6844% 10/20/2030 (b)(c)(d) |  | 360000 | 360871 |
| Octagon Investment Partners 40 Ltd Series 2025-1A Class A1RR, CME Term SOFR 3 month Index + 1.04%, 4.9244% 1/20/2035 (b)(c)(d) |  | 6300000 | 6299969 |
| Octagon Investment Partners 40 Ltd Series 2025-1A Class BRR, CME Term SOFR 3 month Index + 1.55%, 5.4344% 1/20/2035 (b)(c)(d) |  | 4800000 | 4785172 |
| Octagon Investment Partners 41 Ltd Series 2025-2A Class A1R2, CME Term SOFR 3 month Index + 1.09%, 4.9945% 10/15/2033 (b)(c)(d) |  | 4250000 | 4246864 |
| Octagon Investment Partnrs 51 Ltd Series 2025-1A Class BR, CME Term SOFR 3 month Index + 1.5%, 5.3844% 7/20/2034 (b)(c)(d) |  | 4200000 | 4201785 |
| OFSI BSL XIV CLO Ltd Series 2024-14A Class A, CME Term SOFR 3 month Index + 1.46%, 5.3444% 7/20/2037 (b)(c)(d) |  | 10000000 | 10007480 |
| Oha Cr Fdg 17 LLC Series 2024-17A Class A, CME Term SOFR 3 month Index + 1.48%, 5.3644% 4/20/2037 (b)(c)(d) |  | 250000 | 250410 |
| Oha Cr Fdg 4 Ltd / Oha Cr Fdg 4 LLC Series 2024-4A Class AR2, CME Term SOFR 3 month Index + 1.29%, 5.1474% 1/22/2038 (b)(c)(d) |  | 5150000 | 5159538 |
| Oha Cr Fdg 7 Ltd / Oha Cr Fdg 7 LLC Series 2025-7A Class A1R2, CME Term SOFR 3 month Index + 1.28%, 5.1644% 7/19/2038 (b)(c)(d) |  | 470000 | 470316 |
| Oha Credit Funding 14-R Ltd Series 2025-14RA Class A, CME Term SOFR 3 month Index + 1.23%, 5.1144% 4/20/2038 (b)(c)(d) |  | 2310000 | 2310996 |
| Oha Credit Funding 22 Ltd Series 2025-22A Class A1, CME Term SOFR 3 month Index + 1.33%, 5.614% 7/20/2038 (b)(c)(d) |  | 440000 | 440818 |
| Oha Credit Funding 5 Ltd Series 2024-5A Class B1R, CME Term SOFR 3 month Index + 1.7%, 5.5844% 10/18/2037 (b)(c)(d) |  | 250000 | 250711 |
| OHA Credit Funding 6 Ltd Series 2024-6A Class AR2, CME Term SOFR 3 month Index + 1.33%, 5.2144% 10/20/2037 (b)(c)(d) |  | 4087000 | 4092799 |
| OHA Credit Funding 9 Ltd Series 2024-9A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.2344% 10/19/2037 (b)(c)(d) |  | 270000 | 270396 |
| OHA Credit Funding 9 Ltd Series 2024-9A Class B1R, CME Term SOFR 3 month Index + 1.7%, 5.5844% 10/19/2037 (b)(c)(d) |  | 250000 | 250689 |
| Oha Credit Partners VII Ltd Series 2025-7A Class AR4, CME Term SOFR 3 month Index + 1.14%, 5.029% 2/20/2038 (b)(c)(d) |  | 3159000 | 3149526 |
| Oha Credit Partners Xi Ltd Series 2024-11A Class A1R2, CME Term SOFR 3 month Index + 1.46%, 5.3444% 4/20/2037 (b)(c)(d) |  | 750000 | 751642 |
| OHA Credit Partners XVII Ltd Series 2024-17A Class A, CME Term SOFR 3 month Index + 1.32%, 5.2044% 1/18/2038 (b)(c)(d) |  | 9030000 | 9045315 |
| Oha Loan Funding 2013-2 Ltd Series 2025-2A Class AR2, CME Term SOFR 3 month Index + 1.22%, 5.3488% 10/20/2038 (b)(c)(d) |  | 1180000 | 1180255 |
| OHA Loan Funding Ltd Series 2024-1A Class A1R2, CME Term SOFR 3 month Index + 1.46%, 5.3444% 7/20/2037 (b)(c)(d) |  | 250000 | 250899 |
| OHA Loan Funding Ltd Series 2025-1A Class A1R4, CME Term SOFR 3 month Index + 1.25%, 5.1344% 10/19/2038 (b)(c)(d) |  | 250000 | 250498 |
| Orchard Park Clo Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.36%, 5.2444% 10/20/2037 (b)(c)(d) |  | 730000 | 732515 |
| Ozlm Funding II Ltd Series 2025-2A Class AR4, CME Term SOFR 3 month Index + 1.2%, 5.0383% 7/30/2037 (b)(c)(d) |  | 250000 | 249719 |
| Ozlm Xviii Ltd Series 2018-18A Class A, CME Term SOFR 3 month Index + 1.2816%, 5.1862% 4/15/2031 (b)(c)(d) |  | 30260 | 30272 |
| Palmer Square Clo 2021-4 Ltd Series 2025-4A Class A1R, CME Term SOFR 3 month Index + 1.32%, 5.2245% 7/15/2038 (b)(c)(d) |  | 480000 | 481461 |
| Palmer Square Clo 2021-4 Ltd Series 2025-4A Class BR, CME Term SOFR 3 month Index + 1.7%, 5.6045% 7/15/2038 (b)(c)(d) |  | 1260000 | 1264725 |
| Palmer Square CLO Ltd Series 2025-1A Class A1AR, CME Term SOFR 3 month Index + 1.15%, 5.0344% 4/20/2038 (b)(c)(d) |  | 3000000 | 3001314 |
| Palmer Square CLO Ltd Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.25%, 5.1031% 8/14/2038 (b)(c)(d) |  | 1100000 | 1100600 |
| Palmer Square CLO Ltd Series 2025-4A Class A, CME Term SOFR 3 month Index + 1.27%, 5.2268% 10/20/2038 (b)(c)(d) |  | 250000 | 250576 |
| Palmer Square LLC Series 2024-2A Class B, CME Term SOFR 3 month Index + 1.65%, 5.5344% 7/20/2037 (b)(c)(d) |  | 250000 | 250473 |
| Palmer Square Ln Fdg 2025-2 Ltd / Palmer Square Ln Fdg 2025-2 LLC Series 2025-2A Class A1, CME Term SOFR 3 month Index + 0.94%, 5.2277% 7/15/2033 (b)(c)(d) |  | 3384000 | 3383492 |
| Palmer Square Loan Funding Ltd Series 2024-2A Class A1N, CME Term SOFR 3 month Index + 1%, 4.9045% 1/15/2033 (b)(c)(d) |  | 2045155 | 2045809 |
| Palmer Square Loan Funding Ltd Series 2024-3A Class A1BR, CME Term SOFR 3 month Index + 1.4%, 5.3045% 4/15/2031 (b)(c)(d) |  | 250000 | 250400 |
| Palmer Square Loan Funding Ltd Series 2024-3A Class A2R, CME Term SOFR 3 month Index + 1.6%, 5.5045% 4/15/2031 (b)(c)(d) |  | 660000 | 661668 |
| Palmer Square Loan Funding Ltd Series 2025-1A Class A1, CME Term SOFR 3 month Index + 0.8%, 4.6518% 2/15/2033 (b)(c)(d) |  | 3446866 | 3436871 |
| Park Avenue Institutional Advisers CLO Ltd Series 2025-1A Class A2R2, CME Term SOFR 3 month Index + 1.55%, 5.4031% 2/14/2034 (b)(c)(d) |  | 2000000 | 1999956 |
| Park Blue CLO Ltd Series 2025-7A Class A1, CME Term SOFR 3 month Index + 1.22%, 5.078% 4/25/2038 (b)(c)(d) |  | 500000 | 498451 |
| Peace Park Clo Ltd Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.1344% 10/20/2038 (b)(c)(d) |  | 5651000 | 5661098 |
| PFP Ltd Series 2024-11 Class A, CME Term SOFR 1 month Index + 1.8324%, 5.8044% 9/17/2039 (b)(c)(d) |  | 4321906 | 4334398 |
| Pikes Peak Clo 2 Series 2024-2A Class ARR, CME Term SOFR 3 month Index + 1.22%, 5.1044% 10/11/2034 (b)(c)(d) |  | 5000000 | 4999985 |
| Pikes Peak Clo 4 Series 2024-4A Class ARR, CME Term SOFR 3 month Index + 1.21%, 5.1145% 7/15/2034 (b)(c)(d) |  | 11300000 | 11314509 |
| Pikes Peak Clo 6 / Pikes Peak Clo 6 LLC Series 2025-6A Class DRR, CME Term SOFR 3 month Index + 2.5%, 6.3748% 5/18/2034 (b)(c)(d) |  | 935000 | 932727 |
| Point Au Roche Pk Clo Ltd / PT Au Roche Pk Clo LLC Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3416%, 5.2261% 7/20/2034 (b)(c)(d) |  | 250000 | 250265 |
| Rad Clo 18 Ltd Series 2025-18A Class A1R, CME Term SOFR 3 month Index + 1.4%, 5.3045% 7/15/2037 (b)(c)(d) |  | 250000 | 250407 |
| Rad Clo 21 Ltd Series 2025-21A Class A1R, CME Term SOFR 3 month Index + 1.07%, 4.928% 1/25/2037 (b)(c)(d) |  | 250000 | 249500 |
| Rad CLO 7 Ltd Series 2024-7A Class B1R, CME Term SOFR 3 month Index + 1.9%, 5.7816% 4/17/2036 (b)(c)(d) |  | 250000 | 250206 |
| Rad CLO 7 Ltd Series 2024-7A Class CR, CME Term SOFR 3 month Index + 2.6%, 6.4816% 4/17/2036 (b)(c)(d) |  | 250000 | 250462 |
| Regata Xii Funding Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.39%, 5.2945% 10/15/2037 (b)(c)(d) |  | 1320000 | 1322970 |
| Regatta 30 Fdg Ltd / Regatta 30 Fdg LLC Series 2024-4A Class A1, CME Term SOFR 3 month Index + 1.32%, 5.178% 1/25/2038 (b)(c)(d) |  | 250000 | 250358 |
| Regatta 32 Funding Ltd Series 2025-4A Class A1, CME Term SOFR 3 month Index + 1.34%, 5.6277% 7/25/2038 (b)(c)(d) |  | 5150000 | 5165259 |
| Regatta IX Funding Ltd Series 2024-1A Class B1R, CME Term SOFR 3 month Index + 2%, 5.8816% 4/17/2037 (b)(c)(d) |  | 1250000 | 1253339 |
| Regatta Xi Funding Ltd Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.4%, 5.2816% 7/17/2037 (b)(c)(d) |  | 800000 | 801054 |
| Regatta Xix Fdg Ltd / Regatta Xix Fdg LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.24%, 5.1244% 10/20/2038 (b)(c)(d) |  | 250000 | 250144 |
| Regatta Xvi Funding Ltd Series 2024-2A Class A1R, CME Term SOFR 3 month Index + 1.2%, 5.1045% 1/15/2033 (b)(c)(d) |  | 11244665 | 11269078 |
| Regatta Xvi Funding Ltd Series 2024-2A Class CR, CME Term SOFR 3 month Index + 1.9%, 5.8045% 1/15/2033 (b)(c)(d) |  | 250000 | 250611 |
| Regatta Xviii Funding Ltd Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.16%, 5.0645% 4/15/2038 (b)(c)(d) |  | 1085039 | 1082866 |
| Regatta Xxix Fdg Ltd / Regatta Xxix Fdg LLC Series 2024-3A Class A, CME Term SOFR 3 month Index + 1.38%, 5.2845% 9/6/2037 (b)(c)(d) |  | 26000000 | 26077584 |
| Renew 2017-2 Series 2017-2A Class A, 3.22% 9/22/2053 (b) |  | 236618 | 217822 |
| Rockford Tower Clo Ltd Series 2018-1A Class A, CME Term SOFR 3 month Index + 1.3616%, 5.2506% 5/20/2031 (b)(c)(d) |  | 127382 | 127386 |
| Rockford Tower Clo Ltd Series 2018-1A Class B, CME Term SOFR 3 month Index + 1.9816%, 5.8706% 5/20/2031 (b)(c)(d) |  | 1750000 | 1753698 |
| Rockford Tower Clo Ltd Series 2025-1A Class BR, CME Term SOFR 3 month Index + 1.7%, 5.5844% 7/20/2035 (b)(c)(d) |  | 3055000 | 3058883 |
| Rockford Tower Clo Ltd Series 2025-2A Class BR, CME Term SOFR 3 month Index + 1.7%, 5.5844% 7/20/2034 (b)(c)(d) |  | 5080000 | 5080198 |
| Romark CLO Ltd Series 2021-1A Class A1R, CME Term SOFR 3 month Index + 1.2916%, 5.1514% 10/23/2030 (b)(c)(d) |  | 7038 | 7038 |
| Rr 32 Ltd / Rr 32 LLC Series 2024-32RA Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.2645% 10/15/2039 (b)(c)(d) |  | 250000 | 250545 |
| Rr 32 Ltd / Rr 32 LLC Series 2024-32RA Class A2R, CME Term SOFR 3 month Index + 1.7%, 5.6045% 10/15/2039 (b)(c)(d) |  | 250000 | 250597 |
| Rr 34 Ltd Series 2024-34RA Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.2545% 10/15/2039 (b)(c)(d) |  | 2273000 | 2279724 |
| Rr 7 Ltd Series 2022-7A Class A1AB, CME Term SOFR 3 month Index + 1.34%, 5.2445% 1/15/2037 (b)(c)(d) |  | 7731000 | 7740324 |
| Rr15 Ltd / Rr15 LLC Series 2021-15A Class A2, CME Term SOFR 3 month Index + 1.7116%, 5.6162% 4/15/2036 (b)(c)(d) |  | 1000000 | 999986 |
| Sagard-Halseypoint Clo 8 Ltd Series 2024-8A Class A1, CME Term SOFR 3 month Index + 1.39%, 5.2283% 1/30/2038 (b)(c)(d) |  | 250000 | 250648 |
| Sandstone Peak II Ltd Series 2025-1A Class BR, CME Term SOFR 3 month Index + 1.75%, 5.6344% 7/20/2038 (b)(c)(d) |  | 310000 | 310775 |
| Sandstone Peak III Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.63%, 5.488% 4/25/2037 (b)(c)(d) |  | 2000000 | 2005922 |
| Sandstone Peak Ltd Series 2024-1A Class A2R, CME Term SOFR 3 month Index + 1.68%, 5.5845% 10/15/2034 (b)(c)(d) |  | 250000 | 250309 |
| Sandstone Peak Ltd Series 2024-1A Class B1R, CME Term SOFR 3 month Index + 1.83%, 5.7345% 10/15/2034 (b)(c)(d) |  | 250000 | 250125 |
| Sculptor Clo Xxxv Ltd Series 2025-35A Class A1, CME Term SOFR 3 month Index + 1.25%, 5.108% 4/27/2038 (b)(c)(d) |  | 330000 | 328966 |
| Signal Peak Clo 5 Ltd / Signal Peak Clo 5 LLC Series 2024-5A Class A1R, CME Term SOFR 3 month Index + 1.55%, 5.408% 4/25/2037 (b)(c)(d) |  | 250000 | 250741 |
| Silver Point Clo 8 Ltd Series 2025-8A Class A1, CME Term SOFR 3 month Index + 1.21%, 5.1145% 4/15/2038 (b)(c)(d) |  | 250000 | 250095 |
| Silver Point Clo Ltd Series 2025-12A Class A1, CME Term SOFR 3 month Index + 1.31%, 5.2885% 10/15/2038 (b)(c)(d) |  | 270000 | 270642 |
| Silver PT Clo 7 Ltd / Silver PT Clo 7 LLC Series 2025-7A Class A1, CME Term SOFR 3 month Index + 1.36%, 5.2645% 1/15/2038 (b)(c)(d) |  | 250000 | 250595 |
| Sixth Str Clo IX Ltd/Llc Series 2024-9A Class AR, CME Term SOFR 3 month Index + 1.38%, 5.25% 7/21/2037 (b)(c)(d) |  | 250000 | 250695 |
| Sixth Street Clo Xix Ltd Series 2025-19A Class A1R, CME Term SOFR 3 month Index + 1.28%, 5.1616% 7/17/2038 (b)(c)(d) |  | 2160000 | 2165396 |
| Sixth Street Clo Xviii Ltd Series 2025-18A Class A1R, CME Term SOFR 3 month Index + 1.25%, 5.1316% 10/17/2038 (b)(c)(d) |  | 3554000 | 3558681 |
| Sixth Street CLO XX Ltd Series 2025-20A Class A1R, CME Term SOFR 3 month Index + 1.32%, 5.2016% 7/17/2038 (b)(c)(d) |  | 3776000 | 3785293 |
| Slam Ltd Series 2024-1A Class A, 5.335% 9/15/2049 (b) |  | 3428537 | 3486807 |
| Sound Point Clo Vii-R Ltd Series 2021-3RA Class A1R, CME Term SOFR 3 month Index + 1.3316%, 5.1914% 10/23/2031 (b)(c)(d) |  | 2788525 | 2789359 |
| Sycamore Tree CLO Ltd Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.39%, 5.2744% 1/20/2038 (b)(c)(d) |  | 480000 | 481520 |
| Symphony Clo 43 Ltd Series 2024-43A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.4245% 4/15/2037 (b)(c)(d) |  | 4315000 | 4326103 |
| Symphony CLO 46 Ltd Series 2024-46A Class A2, CME Term SOFR 3 month Index + 1.59%, 5.4744% 1/20/2038 (b)(c)(d) |  | 250000 | 250302 |
| Symphony Clo Ltd Series 2024-22A Class A1AR, CME Term SOFR 3 month Index + 1.18%, 5.0644% 4/18/2033 (b)(c)(d) |  | 4022744 | 4021481 |
| Symphony Clo Xxi Ltd Series 2025-21A Class AR2, CME Term SOFR 3 month Index + 0.9%, 4.8045% 7/15/2032 (b)(c)(d) |  | 192791 | 192784 |
| Symphony Clo Xxv Ltd / Symphony Clo Xxv LLC Series 2025-25A Class BR, CME Term SOFR 3 month Index + 1.5%, 0% 4/19/2034 (b)(c)(d) |  | 5125000 | 5125000 |
| Symphony Clo Xxviii Ltd Series 2021-28A Class A, CME Term SOFR 3 month Index + 1.4016%, 5.2614% 10/23/2034 (b)(c)(d) |  | 250000 | 250028 |
| TCW CLO Ltd Series 2025-2A Class A1R2, CME Term SOFR 3 month Index + 1.27%, 5.1544% 1/20/2038 (b)(c)(d) |  | 250000 | 250397 |
| Thunderbolt Aircraft Lease Series 2018-A Class A, 5.96% 9/15/2038 (b)(d) |  | 2493560 | 2494807 |
| Thunderbolt III Aircraft Lease Ltd Series 2019-1 Class A, 3.671% 11/15/2039 (b) |  | 3932853 | 3858379 |
| Tiaa Clo IV Ltd Series 2024-1A Class A1AR, CME Term SOFR 3 month Index + 1.14%, 5.01% 1/20/2032 (b)(c)(d) |  | 1456642 | 1457230 |
| Tralee Clo VI Ltd Series 2024-6A Class A1RR, CME Term SOFR 3 month Index + 1.22%, 5.078% 10/25/2032 (b)(c)(d) |  | 3017128 | 3018042 |
| Trestles Clo III Ltd Series 2024-3A Class A1R, CME Term SOFR 3 month Index + 1.39%, 5.2744% 10/20/2037 (b)(c)(d) |  | 280000 | 281093 |
| Trestles Clo IV Ltd / Trestles Clo IV LLC Series 2025-4A Class AR1, CME Term SOFR 3 month Index + 1.28%, 5.0706% 10/30/2038 (b)(c)(d) |  | 250000 | 250198 |
| Trestles Clo IX Ltd Series 2025-9A Class A1, CME Term SOFR 3 month Index + 1.26%, 5.1299% 1/15/2039 (b)(c)(d) |  | 360000 | 360328 |
| TRESTLES CLO Ltd Series 2024-1A Class A1RR, CME Term SOFR 3 month Index + 1.46%, 5.318% 7/25/2037 (b)(c)(d) |  | 530000 | 531140 |
| Trimaran Cavu Ltd / Trimaran Cavu LLC Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.19%, 5.0744% 1/20/2037 (b)(c)(d) |  | 16000000 | 15958432 |
| Trimaran CAVU Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.38%, 5.238% 1/25/2038 (b)(c)(d) |  | 350000 | 350432 |
| Voya CLO Ltd Series 2018-1A Class A1R, CME Term SOFR 3 month Index + 1.3316%, 5.2161% 1/20/2031 (b)(c)(d) |  | 19690 | 19693 |
| Voya Clo Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.4245% 4/15/2037 (b)(c)(d) |  | 4109000 | 4121639 |
| Voya CLO Ltd Series 2024-2A Class AR, CME Term SOFR 3 month Index + 1.2%, 5.0844% 7/20/2032 (b)(c)(d) |  | 345854 | 346137 |
| Voya Clo Ltd Series 2025-3A Class A3R4, CME Term SOFR 3 month Index + 1.45%, 5.3344% 10/20/2031 (b)(c)(d) |  | 250000 | 250256 |
| Voya CLO Ltd/Voya CLO LLC Series 2025-2A Class A1RR, CME Term SOFR 3 month Index + 1.31%, 5.1944% 1/20/2038 (b)(c)(d) |  | 1927000 | 1931278 |
| Wellfleet CLO Ltd Series 2024-1A Class A1RN, CME Term SOFR 3 month Index + 1.42%, 5.3245% 7/15/2037 (b)(c)(d) |  | 7750000 | 7757673 |
| Wellington Management Clo 5 Ltd Series 2025-5A Class A, CME Term SOFR 3 month Index + 1.29%, 5.2511% 10/18/2038 (b)(c)(d) |  | 250000 | 250506 |
| Whitebox Clo I Ltd Series 2024-1A Class A1RR, CME Term SOFR 3 month Index + 1.32%, 5.1854% 7/24/2036 (b)(c)(d) |  | 411100 | 411100 |
| Whitebox Clo II Ltd / Whitebox Clo II LLC Series 2024-2A Class A1R2, CME Term SOFR 3 month Index + 1.38%, 5.2454% 10/24/2037 (b)(c)(d) |  | 911000 | 913232 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  |  | 794951700 |
| IRELAND - 0.3%  |  |  |  |
| AlbaCore Euro CLO IV DAC Series 2024-4A Class AR, 3 month EURIBOR + 0.99%, 2.999% 7/15/2035 (b)(c)(d) | EUR | 999913 | 1159400 |
| Arbour CLO DAC Series 2024-11A Class AR, 3 month EURIBOR + 1.33%, 3.366% 5/15/2038 (b)(c)(d) | EUR | 1000000 | 1161127 |
| Arbour Clo VI Dac Series 2024-6A Class AR, 3 month EURIBOR + 1.15%, 3.214% 11/15/2037 (b)(c)(d) | EUR | 9400000 | 10912515 |
| Arbour Clo VII DAC Series 2024-7A Class BR, 3 month EURIBOR + 2.05%, 4.064% 12/15/2038 (b)(c)(d) | EUR | 5450000 | 6326178 |
| Arbour CLO XII DAC Series 2025-12A Class AR, 3 month EURIBOR + 1.35%, 3.359% 7/15/2038 (b)(c)(d) | EUR | 6200000 | 7199853 |
| Aurium CLO II DAC Series 2021-2A Class A1RR, 3 month EURIBOR + 0.93%, 2.959% 6/22/2034 (b)(c)(d) | EUR | 1000000 | 1158051 |
| Avoca CLO XXV DAC Series 2021-25A Class A, 3 month EURIBOR + 0.96%, 2.986% 10/15/2034 (b)(c)(d) | EUR | 5000000 | 5785749 |
| BlueMountain Fuji Eur CLO V DAC Series 2019-5A Class A, 3 month EURIBOR + 0.91%, 2.919% 1/15/2033 (b)(c)(d) | EUR | 804069 | 933016 |
| CVC Cordatus Loan Fund XXI DAC Series 2021-21A Class A1E, 3 month EURIBOR + 0.96%, 2.989% 9/22/2034 (b)(c)(d) | EUR | 8000000 | 9263984 |
| CVC Cordatus Loan Fund XXIX DAC Series 2025-29A Class BR, 3 month EURIBOR + 1.95%, 4.004% 8/15/2038 (b)(c)(d) | EUR | 2750000 | 3192357 |
| Fortuna Consumer Loan Series 2024-2 Class E, 1 month EURIBOR + 4.1%, 5.994% 10/18/2034 (c) | EUR | 94088 | 110855 |
| Grosvenor Place Clo Dac Series 2024-2A Class A, 3 month EURIBOR + 1.24%, 3.249% 1/15/2039 (b)(c)(d) | EUR | 10000000 | 11597536 |
| Harvest CLO XXV DAC Series 2021-25A Class AR, 3 month EURIBOR + 0.95%, 2.96% 10/21/2034 (b)(c)(d) | EUR | 3500000 | 4048018 |
| Hayfin Emerald CLO V DAC Series 2024-5A Class AR, 3 month EURIBOR + 1.21%, 3.274% 11/17/2037 (b)(c)(d) | EUR | 10000000 | 11603919 |
| Henley CLO IV DAC Series 2021-4A Class A, 3 month EURIBOR + 0.9%, 2.965% 4/25/2034 (b)(c)(d) | EUR | 1802828 | 2091786 |
| Henley CLO VII DAC Series 2024-7A Class AR, 3 month EURIBOR + 0.99%, 3.055% 4/25/2034 (b)(c)(d) | EUR | 3570533 | 4143404 |
| Invesco Euro CLO I DAC Series 2021-1A Class A1R, 3 month EURIBOR + 0.65%, 2.659% 7/15/2031 (b)(c)(d) | EUR | 5760164 | 6670840 |
| Invesco Euro CLO VII DAC Series 2022-7A Class A, 3 month EURIBOR + 0.99%, 2.999% 1/15/2035 (b)(c)(d) | EUR | 1934000 | 2237438 |
| Madison Park Euro Funding XIV DAC Series 2021-14A Class A1R, 3 month EURIBOR + 0.8%, 2.826% 7/15/2032 (b)(c)(d) | EUR | 6931128 | 8015591 |
| Palmer Square European CLO 2021-1 DAC Series 2025-1A Class BR, 3 month EURIBOR + 1.95%, 3.976% 4/15/2039 (b)(c)(d) | EUR | 3450000 | 4003363 |
| Palmer Square European Loan Funding DAC Series 2024-2A Class A, 3 month EURIBOR + 0.99%, 3.026% 5/15/2034 (b)(c)(d) | EUR | 3939623 | 4570574 |
| Providus CLO II DAC Series 2024-2A Class ARR, 3 month EURIBOR + 1.16%, 3.169% 10/15/2038 (b)(c)(d) | EUR | 9500000 | 11028594 |
| Rockford Tower Europe CLO Series 2025-1A Class A1RR, 3 month EURIBOR + 1.26%, 3.326% 8/29/2036 (b)(c)(d) | EUR | 1000000 | 1159903 |
| Secucor Finance DAC Series 2025-1 Class D, 1 month EURIBOR + 3.4%, 5.299% 9/20/2036 (c)(d)(e) | EUR | 200000 | 230959 |
| Secucor Finance DAC Series 2025-1 Class E, 1 month EURIBOR + 4.5%, 6.399% 9/20/2036 (c)(d)(e) | EUR | 100000 | 115477 |
| Secucor Finance DAC Series 2025-1 Class F, 1 month EURIBOR + 6.2%, 8.099% 9/20/2036 (c)(d)(e) | EUR | 200000 | 232067 |
| SILK Finance Series 2025-6 Class C, 3 month EURIBOR + 1.7%, 3.696% 12/25/2039 (c)(d)(e) | EUR | 100000 | 116242 |
| Taurs Series 2025-UK2X Class C, SONIA Overnight Deposit Rates SWAP + 2.5%, 6.4884% 2/18/2035 (c)(d)(e) | GBP | 143928 | 190841 |
| Taurs Series 2025-UK2X Class D, SONIA Overnight Deposit Rates SWAP + 3.2%, 7.1884% 2/18/2035 (c)(d)(e) | GBP | 315119 | 418565 |
| Trinitas Euro Clo VI Da Series 2025-6A Class AR, 3 month EURIBOR + 1.3%, 3.286% 1/15/2039 (b)(c)(d) | EUR | 15000000 | 17413675 |
| UK Logistics DAC Series 2025-1X Class D, SONIA Overnight Deposit Rates SWAP + 4%, 7.9884% 5/17/2035 (c)(d)(e) | GBP | 376886 | 499770 |
| Volofin Finance Designated Activity Co Series 2024-1A Class A, 5.935% 6/15/2037 (b) |  | 1539130 | 1571917 |
| Voya Euro Clo II DC Series 2021-2A Class AR, 3 month EURIBOR + 0.96%, 2.969% 7/15/2035 (b)(c)(d) | EUR | 8100000 | 9374125 |
| TOTAL IRELAND |  |  | 148537689 |
| ITALY - 0.0%  |  |  |  |
| Asset-Backed European Securitisation Transaction Twenty-Four Srl Series 2025-R Class D, 1 month EURIBOR + 1.6%, 3.664% 8/16/2040 (c)(d)(e) | EUR | 100000 | 116243 |
| Auto ABS Italian Stella Loans SRL Series 2025-1 Class C, 1 month EURIBOR + 1.25%, 3.21% 12/28/2040 (c)(d)(e) | EUR | 100000 | 115897 |
| Golden Bar Securitisation Srl Series 2024-1 Class B, 3 month EURIBOR + 1.5%, 3.529% 9/22/2043 (c)(d)(e) | EUR | 69802 | 81704 |
| TOTAL ITALY |  |  | 313844 |
| LUXEMBOURG - 0.0%  |  |  |  |
| SC Austria Sarl Series 2025-1 Class D, 3 month EURIBOR + 1.8%, 3.793% 7/25/2041 (c)(d)(e) | EUR | 100000 | 116337 |
| SC Germany SA Compartment Consumer Series 2025-2 Class D, 1 month EURIBOR + 1.5%, 0% 12/15/2038 (c)(d)(e) | EUR | 100000 | 116034 |
| TOTAL LUXEMBOURG |  |  | 232371 |
| MULTI-NATIONAL - 0.0%  |  |  |  |
| Aimco Clo 21 Ltd / Aimco Clo 21 LLC Series 2024-21A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.3844% 4/18/2037 (b)(c)(d) |  | 4144000 | 4153763 |
| Allegro Clo Xv Ltd / Allegro Clo Vx LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.18%, 5.0644% 4/20/2038 (b)(c)(d) |  | 4331000 | 4314789 |
| Ares Ln Fdg V Ltd / Ares Ln Fdg V LLC Series 2024-ALF5A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.358% 7/27/2037 (b)(c)(d) |  | 4720000 | 4737587 |
| Ocp Clo 2018-15 Ltd Series 2025-15A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.1344% 1/20/2038 (b)(c)(d) |  | 2189000 | 2188908 |
| TOTAL MULTI-NATIONAL |  |  | 15395047 |
| NETHERLANDS - 0.0%  |  |  |  |
| BNPP AM Euro CLO 2019 BV Series 2021-1A Class AR, 3 month EURIBOR + 0.82%, 2.835% 7/22/2032 (b)(c)(d) | EUR | 249551 | 288515 |
| Dryden 59 Euro CLO 2017 BV Series 2018-59A Class A, 3 month EURIBOR + 0.75%, 2.814% 5/15/2032 (b)(c)(d) | EUR | 1842770 | 2132352 |
| Dryden 73 Euro CLO 2019 BV Series 2019-73A Class A1, 3 month EURIBOR + 0.94%, 2.966% 1/15/2034 (b)(c)(d) | EUR | 3283380 | 3808175 |
| Hill FL BV Series 2025-1FL Class E, 1 month EURIBOR + 2.64%, 4.56% 10/18/2032 (c)(d)(e) | EUR | 218000 | 252955 |
| Hill Series 2024-2FL Class D, 1 month EURIBOR + 1.95%, 3.844% 10/18/2032 (c)(d)(e) | EUR | 93194 | 106560 |
| Mila BV Series 2025-1 Class D, 1 month EURIBOR + 1.35%, 3.2772% 10/12/2042 (c)(d)(e) | EUR | 100000 | 115606 |
| Mila BV Series 2025-1 Class E, 1 month EURIBOR + 2.72%, 4.6472% 10/12/2042 (c)(d)(e) | EUR | 100000 | 115671 |
| TOTAL NETHERLANDS |  |  | 6819834 |
| SPAIN - 0.0%  |  |  |  |
| AutoNoria Spain 2025-1 FT Series 2025-SP Class D, 1 month EURIBOR + 1.5%, 3.37% 4/30/2043 (c)(d)(e) | EUR | 100000 | 116180 |
| AutoNoria Spain 2025-1 FT Series 2025-SP Class E, 1 month EURIBOR + 3%, 4.87% 4/30/2043 (c)(d)(e) | EUR | 100000 | 117023 |
| Fondo DE Titulizacion Santander Consumo 9 Series 2025-9 Class F, 3 month EURIBOR + 4.87%, 6.889% 10/25/2040 (c)(d)(e) | EUR | 500000 | 580098 |
| FTA Consumo Santander Series 2024-7 Class B, 3 month EURIBOR + 1.3%, 3.304% 7/20/2038 (c)(d)(e) | EUR | 71375 | 83067 |
| FTA Consumo Santander Series 2024-7 Class C, 3 month EURIBOR + 1.65%, 3.654% 7/20/2038 (c)(d)(e) | EUR | 71375 | 83001 |
| Fta Consumo Santander Series 2025-8 Class C, 3 month EURIBOR + 1.5%, 3.51% 1/21/2040 (c)(d)(e) | EUR | 100000 | 115897 |
| TOTAL SPAIN |  |  | 1095266 |
| UNITED KINGDOM - 0.0%  |  |  |  |
| Asimi Funding PLC Series 2025-1 Class C, SONIA Overnight Deposit Rates SWAP + 1.75%, 5.7249% 5/16/2032 (c)(d)(e) | GBP | 75370 | 99908 |
| Asimi Funding PLC Series 2025-2 Class E, SONIA Overnight Deposit Rates SWAP + 2.8%, 6.7736% 12/16/2032 (c)(d)(e) | GBP | 100000 | 132370 |
| Asimi Funding PLC Series 2025-2 Class F, SONIA Overnight Deposit Rates SWAP + 4.8%, 8.7736% 12/16/2032 (c)(d)(e) | GBP | 100000 | 131966 |
| Cardiff Auto Receivables Securitisation 2024-1 Series 2024-1 Class C, SONIA Overnight Deposit Rates SWAP + 1.9%, 5.8704% 8/20/2031 (c)(d)(e) | GBP | 100000 | 133012 |
| Cardiff Auto Receivables Securitisation 2024-1 Series 2024-1 Class D, SONIA Overnight Deposit Rates SWAP + 2.6%, 6.5748% 8/20/2031 (c)(d)(e) | GBP | 100000 | 133345 |
| Dowson PLC Series 2024-1 Class E, SONIA Overnight Deposit Rates SWAP + 3.95%, 7.9255% 8/20/2031 (c)(d)(e) | GBP | 372000 | 497206 |
| Dowson PLC Series 2024-1 Class F, SONIA Overnight Deposit Rates SWAP + 6.95%, 10.9255% 8/20/2031 (c)(d)(e) | GBP | 544000 | 729400 |
| Hermitage 2025 PLC Series 2025-1 Class D, SONIA Overnight Deposit Rates SWAP + 1.7%, 5.6711% 4/21/2033 (c)(d)(e) | GBP | 100000 | 132247 |
| London Cards No3 PLC Series 2025-3X Class C, SONIA Overnight Deposit Rates SWAP + 2%, 5.9758% 12/15/2035 (c)(e) | GBP | 118000 | 156631 |
| Newday Funding Master Issuer PLC Series 2024-2X Class D, SONIA Overnight Deposit Rates SWAP + 2.65%, 6.6247% 7/15/2032 (c)(d)(e) | GBP | 100000 | 133314 |
| NewDay Funding Series 2025-2X Class C, SONIA Overnight Deposit Rates SWAP + 0%, 5.471% 7/15/2033 (c)(e) | GBP | 100000 | 132036 |
| TOTAL UNITED KINGDOM |  |  | 2411435 |
| UNITED STATES - 2.5%  |  |  |  |
| 37 Capital Clo 1 Ltd Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.28%, 5.1845% 10/15/2034 (b)(c)(d) |  | 11500000 | 11499494 |
| A10 Issuer LLC Series 2025-FL6 Class A, CME Term SOFR 1 month Index + 1.465%, 5.515% 5/15/2042 (b)(c)(d) |  | 375000 | 374298 |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A1, 6.261% 5/16/2049 (b) |  | 3462814 | 3563413 |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A2, 6.261% 5/16/2049 (b) |  | 3112569 | 3202992 |
| Aaset 2025-1 Ltd / Aaset 2025-1 LLC Series 2025-1A Class A, 5.943% 2/16/2050 (b) |  | 2047524 | 2088243 |
| AASET Trust Series 2019-2 Class A, 3.376% 10/16/2039 (b) |  | 449893 | 448544 |
| AASET Trust Series 2019-2 Class B, 4.458% 10/16/2039 (b) |  | 263377 | 259953 |
| AASET Trust Series 2021-1A Class A, 2.95% 11/16/2041 (b) |  | 2571804 | 2472014 |
| ACC Trust Series 2022-1 Class C, 3.24% 10/20/2025 (b) |  | 241517 | 43420 |
| Accelarated LLC Series 2021-1H Class D, 3.58% 10/20/2040 (b) |  | 65124 | 60205 |
| Accelerated LLC Series 2024-1A Class D, 7.85% 8/22/2044 (b) |  | 2047064 | 2064217 |
| Accredited Mortgage Loan Trust Series 2006-1 Class M1, CME Term SOFR 1 month Index + 0.4445%, 1.5941% 4/25/2036 (c)(d) |  | 1072698 | 1027251 |
| ACE Securities Corp Mortgage Loan Trust Series 2007-D1 Class A4, 6.93% 2/25/2038 (b)(g) |  | 508846 | 436427 |
| Achv Abs Trust Series 2024-3AL Class A, 5.01% 12/26/2031 (b) |  | 337517 | 340576 |
| ACRES 2025-FL3 LLC Series 2025-FL3 Class A, CME Term SOFR 1 month Index + 1.619%, 5.5816% 8/18/2040 (b)(c)(d) |  | 478000 | 476886 |
| Affirm Asset Securitization Trust Series 2024-A Class 1A, 5.61% 2/15/2029 (b) |  | 2300000 | 2305670 |
| Affirm Asset Securitization Trust Series 2024-A Class A, 5.61% 2/15/2029 (b) |  | 155000 | 155388 |
| Affirm Asset Securitization Trust Series 2024-B Class B, 4.88% 9/15/2029 (b) |  | 1000000 | 1002278 |
| Affirm Asset Securitization Trust Series 2024-B Class C, 5.06% 9/15/2029 (b) |  | 1000000 | 1000771 |
| Affirm Asset Securitization Trust Series 2025-X1 Class C, 5.34% 4/15/2030 (b) |  | 100000 | 100145 |
| Affirm Asset Securitization Trust Series 2025-X2 Class A, 4.45% 10/15/2030 (b) |  | 638000 | 638612 |
| Affirm Asset Securitization Trust Series 2025-X2 Class B, 4.56% 10/15/2030 (b) |  | 100000 | 100091 |
| Affirm Master Trust Series 2025-1A Class A, 4.99% 2/15/2033 (b) |  | 1491000 | 1503109 |
| Affirm Master Trust Series 2025-1A Class B, 5.13% 2/15/2033 (b) |  | 156000 | 157152 |
| Affirm Master Trust Series 2025-2A Class A, 4.67% 7/15/2033 (b) |  | 3300000 | 3317366 |
| Affirm Master Trust Series 2025-2A Class C, 5.26% 7/15/2033 (b) |  | 9400000 | 9461438 |
| Affirm Master Trust Series 2025-3A Class A, 4.45% 10/16/2034 (b) |  | 15500000 | 15528786 |
| Affirm Master Trust Series 2025-3A Class B, 4.75% 10/16/2034 (b) |  | 5700000 | 5702271 |
| ALLO Issuer LLC Series 2025-1A Class B, 6.163% 4/20/2055 (b) |  | 3260000 | 3324313 |
| Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/2028  |  | 2499556 | 2515374 |
| Altde Trust Series 2025-1A Class A, 5.9% 8/15/2050 (b) |  | 2804806 | 2875765 |
| American Credit Acceptance Receivables Trust Series 2023-2 Class D, 6.47% 8/13/2029 (b) |  | 1000000 | 1010942 |
| American Credit Acceptance Receivables Trust Series 2023-3 Class D, 6.82% 10/12/2029 (b) |  | 2180000 | 2221140 |
| American Credit Acceptance Receivables Trust Series 2025-1 Class D, 5.54% 8/12/2031 (b) |  | 2850000 | 2883120 |
| Ameriquest Mortgage Securities, Inc. Series 2004-R10 Class M3, CME Term SOFR 1 month Index + 1.3145%, 5.2688% 11/25/2034 (c)(d) |  | 3108480 | 2966010 |
| Amsr 2021-Sfr3 Trust Series 2021-SFR3 Class E2, 2.427% 10/17/2038 (b) |  | 3178896 | 3093275 |
| Amsr 2022-Sfr1 Trust Series 2022-SFR1 Class F, 6.021% 3/17/2039 (b) |  | 373005 | 371382 |
| Amsr 2023-Sfr2 Trust Series 2023-SFR2 Class E1, 3.95% 6/17/2040 (b) |  | 2650000 | 2543836 |
| Amsr 2023-Sfr2 Trust Series 2023-SFR2 Class E2, 3.95% 6/17/2040 (b) |  | 3100000 | 2960889 |
| AMSR Trust Series 2021-SFR1 Class B, 2.153% 6/17/2038 (b) |  | 4000000 | 3765611 |
| AMSR Trust Series 2021-SFR2 Class D, 2.278% 8/17/2038 (b) |  | 1150000 | 1126467 |
| AMSR Trust Series 2021-SFR2 Class F1, 3.275% 8/17/2038 (b) |  | 380318 | 373999 |
| AMSR Trust Series 2021-SFR4 Class F1, 3.158% 12/17/2038 (b) |  | 2500000 | 2418460 |
| AMSR Trust Series 2022-SFR3 Class D, 4% 10/17/2039 (b) |  | 2115000 | 2076467 |
| AMSR Trust Series 2022-SFR3 Class F, 4% 10/17/2039 (b) |  | 2400000 | 2307088 |
| AMSR Trust Series 2023-SFR1 Class F, 4% 4/17/2040 (b) |  | 4644946 | 4414284 |
| AMSR Trust Series 2024-SFR2G Class G1, 4.5% 8/19/2028  |  | 2500000 | 2156750 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/2040 (b) |  | 643669 | 637161 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class B, 4.335% 1/16/2040 (b) |  | 135302 | 130392 |
| Aqua Finance Trust 2019-A Series 2019-A Class B, 3.47% 7/16/2040 (b) |  | 232566 | 227678 |
| Aqua Finance Trust Series 2020-AA Class B, 2.79% 7/17/2046 (b) |  | 1186577 | 1139235 |
| Aqua Finance Trust Series 2020-AA Class C, 3.97% 7/17/2046 (b) |  | 87062 | 84465 |
| Aqua Finance Trust Series 2020-AA Class D, 7.15% 7/17/2046 (b) |  | 1053175 | 1064685 |
| Arbor Realty Commercial Real Estate Notes LLC Series 2025-FL1 Class A, CME Term SOFR 1 month Index + 1.354%, 5.3138% 1/20/2043 (b)(c)(d) |  | 405000 | 405937 |
| Argent Securities Inc Series 2005-W1 Class A2, CME Term SOFR 1 month Index + 0.5945%, 4.5488% 5/25/2035 (c) |  | 425760 | 358533 |
| Argent Securities Inc Series 2005-W5 Class A2D, CME Term SOFR 1 month Index + 0.7545%, 4.7088% 1/25/2036 (c)(d) |  | 2082849 | 1972162 |
| Argent Securities, Inc. Series 2006-M1 Class A2C, CME Term SOFR 1 month Index + 0.4145%, 4.3688% 7/25/2036 (c) |  | 146026 | 39319 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (b) |  | 316581 | 318833 |
| ARI Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (b) |  | 320000 | 320847 |
| Asset Backed Securities Corp Long Beach Home Equity Loan Trust 2000-LB1 Series 2004-HE9 Class M1, CME Term SOFR 1 month Index + 1.0895%, 5.0438% 12/25/2034 (c) |  | 855067 | 810346 |
| Autonation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (b) |  | 1498178 | 1501413 |
| Avis Budget Rental Car Funding AESOP LLC Series 2021-2A Class C, 2.35% 2/20/2028 (b) |  | 2435000 | 2375909 |
| Bank of America Auto Trust Series 2023-1A Class A3, 5.53% 2/15/2028 (b) |  | 1376259 | 1385712 |
| Bastion Funding I LLC Series 2023-1A Class A2, 7.119% 4/25/2038 (b) |  | 1072749 | 1081546 |
| Bear Stearns Asset Backed Securities I Trust Series 2006-EC1 Class M4, CME Term SOFR 1 month Index + 1.0595%, 5.0505% 12/25/2035 (c) |  | 592774 | 582883 |
| Bear Stearns Asset Backed Securities I Trust Series 2006-HE5 Class M2, CME Term SOFR 1 month Index + 0.5945%, 4.5488% 6/25/2036 (c) |  | 205901 | 204807 |
| Bear Stearns Asset Backed Securities Trust Series 2003-SD2 Class 2A, 6.1346% 6/25/2043 (d) |  | 2683 | 2639 |
| Bear Stearns Asset Backed Securities Trust Series 2005-2 Class M5, CME Term SOFR 1 month Index + 5.3645%, 9.3555% 6/25/2035 (c) |  | 600000 | 612055 |
| Bear Stearns Structured Products Trust Series 2007-EMX1 Class M1, CME Term SOFR 1 month Index + 2.1145%, 6.0688% 3/25/2037 (b)(c) |  | 94093 | 93727 |
| Bear Stearns Structured Products Trust Series 2007-EMX1 Class M3, CME Term SOFR 1 month Index + 2.1145%, 6.0688% 3/25/2037 (b)(c) |  | 1615045 | 1453124 |
| BHG Series 2025-2CON Class A, 4.84% 9/17/2036 (b) |  | 1566089 | 1582496 |
| Blackbird Cap II Aircraft Lease Ltd / Blackbird Cap II Aircraft Lease Us L Series 2021-1A Class A, 2.443% 7/15/2046 (b) |  | 6122066 | 5803471 |
| Blackbird Capital Aircraft Lease Securitization Ltd Series 2016-1A Class A, 4.213% 12/16/2041 (b)(g) |  | 1764265 | 1764812 |
| BMW Vehicle Lease Trust Series 2025-1 Class A3, 4.43% 6/26/2028  |  | 4600000 | 4633602 |
| BofA Auto Trust Series 2024-1A Class A3, 5.35% 11/15/2028 (b) |  | 1055475 | 1063291 |
| Bonds LLC Series 2024-FL13 Class A, CME Term SOFR 1 month Index + 1.5762%, 5.535% 9/19/2039 (b)(c)(d) |  | 262000 | 262655 |
| Bonds LLC Series 2025-FL14 Class AS, CME Term SOFR 1 month Index + 1.5714%, 5.5312% 10/17/2042 (b)(c)(d) |  | 3150000 | 3151690 |
| Bravo Residential Funding Trust Series 2024-CES2 Class A1A, 5.549% 9/25/2054 (b) |  | 377386 | 379387 |
| Brex Commercial Charge Card Master Trust Series 2024-1 Class A1, 6.05% 7/15/2027 (b) |  | 134000 | 134545 |
| Bridge Trust Series 2025-SFR1 Class E, 4.35% 9/17/2042 (b) |  | 1595000 | 1490133 |
| Bridgecrest Lending Auto Securitization Trust Series 2024-1 Class E, 8.43% 10/15/2030 (b) |  | 1995000 | 2051932 |
| Bridgecrest Lending Auto Securitization Trust Series 2024-3 Class E, 7.7% 4/15/2031 (b) |  | 5000000 | 5093733 |
| Bridgecrest Lending Auto Securitization Trust Series 2024-4 Class E, 7.47% 8/15/2031 (b) |  | 1500000 | 1534621 |
| BSPDF Issuer LLC Series 2025-FL2 Class A, CME Term SOFR 1 month Index + 1.524%, 5.5562% 12/15/2042 (b)(c)(d) |  | 105000 | 104934 |
| Business Jet Securities LLC Series 2022-1A Class C, 6.413% 6/15/2037 (b) |  | 200018 | 199870 |
| Business Jet Securities LLC Series 2024-1A Class C, 9.132% 5/15/2039 (b) |  | 1292970 | 1330438 |
| BXG Receivables Note Trust Series 2020-A Class B, 2.49% 2/28/2036 (b) |  | 704898 | 684599 |
| BXG Receivables Note Trust Series 2022-A Class A, 4.12% 9/28/2037 (b) |  | 2120222 | 2106217 |
| BXG Receivables Note Trust Series 2023-A Class C, 7.38% 11/15/2038 (b) |  | 376510 | 386267 |
| C-Bass Trust Series 2006-MH1 Class B2, 6.75% 10/25/2036 (b)(g) |  | 1068895 | 904473 |
| CarMax Auto Owner Trust Series 2023-4 Class A3, 6% 7/17/2028  |  | 2378488 | 2407059 |
| CarMax Auto Owner Trust Series 2024-2 Class A2A, 5.65% 5/17/2027  |  | 91273 | 91346 |
| CarMax Auto Owner Trust Series 2024-2 Class A3, 5.5% 1/16/2029  |  | 2253000 | 2280045 |
| CarMax Auto Owner Trust Series 2024-4 Class A3, 4.6% 10/15/2029  |  | 600000 | 605118 |
| Carmax Auto Owner Trust Series 2025-4 Class A3, 3.97% 12/16/2030  |  | 1500000 | 1502458 |
| Carmax Auto Owner Trust Series 2025-4 Class B, 4.42% 7/15/2031  |  | 400000 | 400562 |
| CarMax Select Receivables Trust Series 2024-A Class A2A, 5.78% 9/15/2027  |  | 219290 | 219784 |
| CarMax Select Receivables Trust Series 2024-A Class A3, 5.4% 11/15/2028  |  | 700000 | 706315 |
| CarNow Auto Receivables Trust Series 2022-1A Class E, 8.29% 8/15/2028 (b) |  | 351000 | 86275 |
| Carrington Mortgage Loan Trust Series 2005-FRE1 Class M2, CME Term SOFR 1 month Index + 0.8495%, 4.8038% 12/25/2035 (c) |  | 6683506 | 6523474 |
| Cars Mti-1 L P / Cars Mti-2 L L C / Cars Mti-3 L L C / Cars Mti-4 L P / Cars Mti-5 L P / (Cars Mti-7 L L C) Series 2020-1A Class A3, 3.1% 12/15/2050 (b) |  | 165509 | 159338 |
| CARS-DB4 LP Series 2020-1A Class A6, 3.81% 2/15/2050 (b) |  | 135864 | 129036 |
| CARS-DB4 LP Series 2020-1A Class B2, 4.52% 2/15/2050 (b) |  | 262127 | 256035 |
| CARS-DB4 LP Series 2020-1A Class B3, 4.95% 2/15/2050 (b) |  | 292260 | 268092 |
| Carvana Auto Receivables Series 2023-P3 Class A4, 5.71% 7/10/2029 (b) |  | 1418000 | 1451442 |
| Carvana Auto Receivables Trust 2023-P1 Series 2023-P1 Class A3, 5.98% 12/10/2027 (b) |  | 146240 | 146590 |
| Carvana Auto Receivables Trust Series 2022-P1 Class A4, 3.52% 2/10/2028  |  | 1843485 | 1838119 |
| Carvana Auto Receivables Trust Series 2024-N3 Class D, 5.38% 12/10/2030 (b) |  | 3000000 | 2992620 |
| Cascade MH Asset Trust Series 2019-MH1 Class B, 5% 11/25/2044 (b)(i) |  | 497340 | 468328 |
| Cascade MH Asset Trust Series 2024-MH1 Class B1, 7.504% 11/25/2056 (b)(d) |  | 2123000 | 2248575 |
| Cascade MH Asset Trust Series 2024-MH1 Class B2, 8.2238% 11/25/2056 (b)(d) |  | 1450000 | 1472998 |
| Castlelake Aircraft Securitization Series 2018-1 Class A, 4.125% 6/15/2043 (b) |  | 933139 | 923809 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class A, 3.967% 4/15/2039 (b) |  | 2624749 | 2567183 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class B, 5.095% 4/15/2039 (b) |  | 2927377 | 2781137 |
| Castlelake Aircraft Structured Trust Series 2025-2A Class A, 5.465% 8/15/2050 (b) |  | 1951241 | 1978490 |
| Centex Home Equity Loan Trust Series 2001-B Class A6, 6.36% 7/25/2032  |  | 275 | 265 |
| Cfin 2022-Rtl1 Issuer LLC Series 2022-RTL1 Class AA, 4.75% 2/16/2026 (b)(d) |  | 85056 | 84674 |
| Chase Auto Owner Trust Series 2022-AA Class A3, 3.98% 6/25/2027 (b) |  | 38782 | 38775 |
| Chase Auto Owner Trust Series 2024-1A Class A3, 5.13% 5/25/2029 (b) |  | 2635829 | 2659485 |
| Chase Issuance Trust Series 2024-A2 Class A, 4.63% 1/15/2031  |  | 1200000 | 1229052 |
| CIT Mortgage Loan Trust Series 2007-1 Class 1M2, CME Term SOFR 1 month Index + 1.8645%, 5.8188% 10/25/2037 (b)(c) |  | 700000 | 705602 |
| CIT Mortgage Loan Trust Series 2007-1 Class 2M2, CME Term SOFR 1 month Index + 1.8645%, 5.8188% 10/25/2037 (b)(c) |  | 1938000 | 1921053 |
| Citibank Credit Card Issuance Trust Series 2018-A7 Class A7, 3.96% 10/13/2030  |  | 5400000 | 5424137 |
| Citibank Credit Card Issuance Trust Series 2025-A2 Class A, 4.49% 6/21/2032  |  | 4600000 | 4708248 |
| Citizens Auto Receivables Trust Series 2023-1 Class A3, 5.84% 1/18/2028 (b) |  | 7380825 | 7423513 |
| Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/2028 (b) |  | 2330034 | 2345967 |
| Cldcd Series 2024-1A Class A2, 5.781% 11/22/2049 (b) |  | 5270000 | 5303175 |
| Clover CLOLLC Series 2024-1A Class A1RR, CME Term SOFR 3 month Index + 1.53%, 5.4144% 4/20/2037 (b)(c)(d) |  | 350000 | 351026 |
| CNSL Series 2025-4A Class B, 5.766% 12/20/2055 (b) |  | 1506000 | 1513477 |
| College Avenue Student Loans LLC Series 2021-C Class B, 2.72% 7/26/2055 (b) |  | 298553 | 278923 |
| College Avenue Student Loans LLC Series 2023-B Class A1A, 6.5% 6/25/2054 (b) |  | 252831 | 265153 |
| College Avenue Student Loans LLC Series 2024-A Class A1B, U.S. 30-Day Avg. SOFR Index + 1.75%, 5.8218% 6/25/2054 (b)(c)(d) |  | 320381 | 324999 |
| Compass Datacenters Issuer II LLC Series 2025-2A Class A1, 4.926% 11/25/2050 (b) |  | 457000 | 456492 |
| Compass Datacenters Issuer III LLC / Ltd (Partnership) Series 2025-3A Class A2, 5.286% 7/25/2050 (b) |  | 757000 | 768139 |
| Concord Music Royalties LLC Series 2024-1A Class A, 5.644% 10/20/2074 (b) |  | 163000 | 164241 |
| Conseco Finance Corp Series 1998-4 Class M1, 6.83% 4/1/2030  |  | 194331 | 197781 |
| Consolidated Communications LLC / Fidium Fiber Fin Holdco LLC Series 2025-1A Class A2, 6% 5/20/2055 (b) |  | 1600000 | 1632058 |
| COOF Securitization Trust 2014-1 Ltd Series 2014-1 Class A, 3.5103% 6/25/2040 (b)(d)(h) |  | 25213 | 1738 |
| Coopr Residential Mortgage Trust 2025-Ces2 Series 2025-CES2 Class A1A, 5.502% 6/25/2060 (b)(d) |  | 5690558 | 5758233 |
| Corevest American Finance Trust Series 2018-1 Class E, 5.9292% 6/15/2051 (b)(d) |  | 3034000 | 3011169 |
| Corevest American Finance Trust Series 2020-2 Class A, 3.376% 5/15/2052 (b) |  | 2244 | 2237 |
| Corevest American Finance Trust Series 2020-2 Class B, 4.244% 5/15/2052 (b) |  | 3444135 | 3428206 |
| Countrywide Asset Bd Ctf 06-11 Tr Series 2006-11 Class 1AF4, 6.3% 12/25/2035 (Ambac Assurance Corp Insured) (d) |  | 901245 | 878938 |
| CPS Auto Receivables Trust Series 2023-D Class C, 7.17% 1/15/2030 (b) |  | 2500000 | 2529322 |
| Credit Acceptance Auto Loan Trust Series 2022-3A Class D, 9% 4/18/2033 (b) |  | 292000 | 296104 |
| Credit Acceptance Auto Loan Trust Series 2023-1A Class C, 7.71% 7/15/2033 (b) |  | 1008000 | 1028542 |
| Credit Acceptance Auto Loan Trust Series 2023-2A Class C, 7.15% 9/15/2033 (b) |  | 658000 | 671255 |
| Credit Acceptance Auto Loan Trust Series 2023-3A Class C, 7.62% 12/15/2033 (b) |  | 4000000 | 4126472 |
| Credit Acceptance Auto Loan Trust Series 2023-5A Class C, 7.3% 4/17/2034 (b) |  | 2550000 | 2633288 |
| Credit Acceptance Auto Loan Trust Series 2024-3A Class C, 5.39% 1/16/2035 (b) |  | 3000000 | 3036847 |
| Cross Mtg Trust Series 2025-CES1 Class A1A, 5.296% 11/25/2060 (b) |  | 97138 | 97186 |
| CWABS Asset Backed Certificates Trust Series 2006-14 Class M1, CME Term SOFR 1 month Index + 0.5495%, 4.5038% 2/25/2037 (c) |  | 368737 | 391758 |
| CWABS Asset Backed Notes Trust Series 2007-SEA2 Class 2A1, CME Term SOFR 1 month Index + 1.6145%, 5.5688% 6/25/2047 (b)(c)(d) |  | 72283 | 60563 |
| CWABS Inc Asset-Backed Certificates Series 2004-1 Class 3A, CME Term SOFR 1 month Index + 0.6745%, 4.6288% 4/25/2034 (c)(d) |  | 8675 | 8285 |
| CWABS Inc Asset-Backed Certificates Series 2004-6 Class M1, CME Term SOFR 1 month Index + 1.0145%, 4.9688% 10/25/2034 (c)(d) |  | 2301 | 2292 |
| CWABS Inc Asset-Backed Certificates Series 2005-3 Class MF3, 5.682% 8/25/2035 (d) |  | 1179789 | 925338 |
| CyrusOne Data Centers Issuer I LLC Series 2025-1A Class A2, 5.91% 2/20/2050 (b) |  | 2590000 | 2638480 |
| DataBank Issuer II LLC Series 2025-1A Class A2, 5.18% 9/27/2055 (b) |  | 2575000 | 2547712 |
| Databank Issuer LLC Series 2021-1A Class A2, 2.06% 2/27/2051 (b) |  | 564627 | 560368 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/2047 (b) |  | 6745320 | 6671350 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/2051 (b) |  | 1382400 | 1352028 |
| DB Master Finance LLC Series 2025-1A Class A2I, 4.891% 8/20/2055 (b) |  | 3325000 | 3348717 |
| DB Master Finance LLC Series 2025-1A Class A2II, 5.165% 8/20/2055 (b) |  | 2200000 | 2215394 |
| Deephaven Residential Mtg Tr 2025-Ces1 Series 2025-CES1 Class A1A, 5.224% 10/25/2055 (b) |  | 340458 | 341239 |
| Dell Equip Fin Trust Series 2025-1 Class A2, 4.68% 7/22/2027 (b) |  | 1650000 | 1654802 |
| Dell Equipment Finance Trust Series 2025-2 Class A2, 4.1% 2/22/2028 (b) |  | 1700000 | 1701004 |
| Dell Equipment Finance Trust Series 2025-2 Class A3, 4.12% 3/24/2031 (b) |  | 1700000 | 1703128 |
| Diamond Infrastructure Funding LLC Series 2021-1A Class A, 1.76% 4/15/2049 (b) |  | 1200000 | 1159959 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (b) |  | 1752769 | 1771296 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (b) |  | 1030824 | 1035382 |
| DLLAD Series 2024-1A Class A3, 5.3% 7/20/2029 (b) |  | 979000 | 999703 |
| Domino's Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/2049 (b) |  | 1196160 | 1155059 |
| Drive Auto Receivables Trust Series 2024-2 Class D, 4.94% 5/17/2032  |  | 2200000 | 2218098 |
| DT Auto Owner Trust Series 2023-2A Class E, 11.06% 4/15/2030 (b) |  | 800000 | 848894 |
| DT Auto Owner Trust Series 2023-3A Class D, 7.12% 5/15/2029 (b) |  | 3936000 | 4043122 |
| DT Auto Owner Trust Series 2023-3A Class E, 10.21% 5/15/2030 (b) |  | 950000 | 1007885 |
| Dwight 2025-Fl1 Issuer LLC Series 2025-FL1 Class A, CME Term SOFR 1 month Index + 1.662%, 5.6246% 6/18/2042 (b)(c)(d) |  | 419000 | 419978 |
| Eaton Vance CLO Ltd Series 2024-1A Class AR2, CME Term SOFR 3 month Index + 1.51%, 5.4145% 7/15/2037 (b)(c)(d) |  | 4210000 | 4218534 |
| ECMC Group Student Loan Trust Series 2021-1A Class A1B, U.S. 30-Day Avg. SOFR Index + 0.6845%, 4.7563% 11/25/2070 (b)(c)(d) |  | 478534 | 473458 |
| Elara HGV Timeshare Issuer LLC Series 2019-A Class C, 3.45% 1/25/2034 (b) |  | 14505 | 14399 |
| Elara HGV Timeshare Issuer LLC Series 2021-A Class D, 3.32% 8/27/2035 (b) |  | 195487 | 186294 |
| ELFI Graduate Loan Program LLC Series 2023-A Class A, 6.37% 2/4/2048 (b) |  | 478658 | 503256 |
| Elfi Graduate Loan Program LLC Series 2024-A Class A, 5.56% 8/25/2049 (b) |  | 960648 | 983286 |
| Enterprise Fleet Financing 2025-2 LLC Series 2025-2 Class A4, 4.58% 12/22/2031 (b) |  | 960000 | 976905 |
| Enterprise Fleet Financing LLC Series 2023-3 Class A2, 6.4% 3/20/2030 (b) |  | 2258269 | 2288399 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A3, 4.56% 11/20/2028 (b) |  | 3400000 | 3434240 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (b) |  | 750575 | 753695 |
| Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/2028 (b) |  | 1900000 | 1932357 |
| Equity One Mortgage Pass-Through Trust 2002-5 Series 2003-3 Class M2, 5.459% 12/25/2033 (d) |  | 836576 | 764486 |
| Exeter Automobile Receivables Trust Series 2023-4A Class D, 6.95% 12/17/2029  |  | 1205000 | 1232708 |
| Exeter Automobile Receivables Trust Series 2023-4A Class E, 9.57% 2/18/2031 (b) |  | 1015000 | 1099226 |
| Exeter Automobile Receivables Trust Series 2023-5A Class D, 7.13% 2/15/2030  |  | 1467000 | 1516360 |
| Exeter Automobile Receivables Trust Series 2025-4A Class A3, 4.39% 9/17/2029  |  | 1500000 | 1506590 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  |  | 453733 | 454950 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  |  | 475000 | 479025 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A3, 4.43% 8/15/2030  |  | 370000 | 372345 |
| Exeter Select Automobile Receivables Trust Series 2025-3 Class A3, 4.18% 12/16/2030  |  | 615000 | 615426 |
| FHF Issuer Trust Series 2023-2A Class C, 7.97% 12/17/2029 (b) |  | 3000000 | 3040190 |
| FIGRE Trust 2024-HE6 Series 2024-HE6 Class A, 5.724% 12/25/2054 (b) |  | 6477681 | 6549133 |
| Figre Trust Series 2024-SL1 Class A1, 5.748% 7/25/2053 (b) |  | 1097411 | 1106052 |
| FIGRE Trust Series 2025-HE6 Class A, 5.044% 9/25/2055 (b) |  | 5831855 | 5817451 |
| FIGRE Trust Series 2025-HE7 Class A, 5.15% 11/25/2055 (b) |  | 249000 | 249254 |
| Finance of America Structured Securities Trust Series 2025-S2 Class A1, 3.5% 7/25/2075 (b) |  | 16289427 | 15877304 |
| First Frankin Mortgage Loan Trust Series 2006-FF13 Class A1, CME Term SOFR 1 month Index + 0.3545%, 4.3088% 10/25/2036 (c) |  | 32885 | 20516 |
| FirstKey Homes Trust Series 2021-SFR1 Class C, 1.888% 8/17/2038 (b) |  | 1100000 | 1077144 |
| FirstKey Homes Trust Series 2021-SFR1 Class E2, 2.489% 8/17/2038 (b) |  | 292000 | 286172 |
| FirstKey Homes Trust Series 2021-SFR1 Class F1, 3.238% 8/17/2038 (b) |  | 300000 | 295353 |
| FirstKey Homes Trust Series 2021-SFR1 Class F2, 3.452% 8/17/2038 (b) |  | 1500000 | 1477855 |
| FirstKey Homes Trust Series 2021-SFR2 Class E2, 2.358% 9/17/2038 (b) |  | 1763000 | 1721238 |
| FirstKey Homes Trust Series 2021-SFR2 Class F2, 3.157% 9/17/2038 (b) |  | 2400000 | 2341004 |
| FirstKey Homes Trust Series 2021-SFR3 Class F2, 3.832% 12/17/2038 (b) |  | 3000000 | 2928266 |
| Firstkey Homes Trust Series 2022-SFR1 Class E1, 5% 5/19/2039 (b) |  | 1826000 | 1809823 |
| Firstkey Homes Trust Series 2022-SFR1 Class F1, 0% 5/19/2039 (b)(j) |  | 2000000 | 1839708 |
| Firstkey Homes Trust Series 2022-SFR1 Class F2, 0% 5/19/2039 (b)(j) |  | 900000 | 826108 |
| Firstkey Homes Trust Series 2022-SFR2 Class E2, 4.5% 7/17/2039 (b) |  | 497000 | 486243 |
| Firstkey Homes Trust Series 2022-SFR2 Class F1, 4.5% 7/17/2039 (b) |  | 4000000 | 3889444 |
| Firstkey Homes Trust Series 2022-SFR2 Class F2, 4.5% 7/17/2039 (b) |  | 1000000 | 968639 |
| Firstkey Homes Trust Series 2022-SFR2 Class G, 4.5% 7/17/2039 (b) |  | 1700000 | 1627899 |
| Firstkey Homes Trust Series 2022-SFR3 Class E1, 3.5% 7/17/2038 (b) |  | 3500000 | 3445511 |
| Firstkey Homes Trust Series 2022-SFR3 Class E2, 3.5% 7/17/2038 (b) |  | 229000 | 225021 |
| Firstkey Homes Trust Series 2022-SFR3 Class F1, 0% 7/17/2038 (b)(j) |  | 2000000 | 1918933 |
| Flagship Credit Auto Trust Series 2024-1 Class A2, 5.64% 3/15/2028 (b) |  | 223112 | 223552 |
| Fmc Gmsr Issuer Tr Series 2020-GT1 Class A, 4.45% 1/25/2026 (b) |  | 438000 | 435270 |
| Fmc Gmsr Issuer Tr Series 2021-GT1 Class B, 4.36% 7/25/2026 (b) |  | 234042 | 225652 |
| Fmc Gmsr Issuer Tr Series 2021-GT2 Class A, 3.85% 10/25/2026 (b) |  | 4000000 | 3873228 |
| Fmc Gmsr Issuer Tr Series 2021-GT2 Class B, 4.44% 10/25/2026 (b) |  | 661257 | 636632 |
| Fmc Gmsr Issuer Tr Series 2022-GT1 Class A, 6.19% 4/25/2027 (b) |  | 4292553 | 4305852 |
| Fmc Gmsr Issuer Tr Series 2022-GT1 Class B, 7.17% 4/25/2027 (b) |  | 675797 | 679129 |
| Fmc Gmsr Issuer Tr Series 2022-GT2 Class A, 7.9% 7/25/2027 (b) |  | 373005 | 375593 |
| Fmc Gmsr Issuer Tr Series 2022-GT2 Class B, 10.07% 7/25/2027 (b) |  | 672872 | 687235 |
| Fna 8 LLC Series 2025-1 Class A, 5.623% 3/15/2045 (b)(d) |  | 541509 | 545713 |
| Ford Auto Securitization Trust II Series 2024-AA Class A2, 5.053% 7/15/2028 (b) | CAD | 2675979 | 1895993 |
| Ford Credit Auto Owner Trust Series 2021-1 Class C, 1.91% 10/17/2033 (b) |  | 1190000 | 1177409 |
| Ford Credit Floorplan Master Owner Trust A Series 2023-1 Class A1, 4.92% 5/15/2028 (b) |  | 1800000 | 1806300 |
| Foundation Finance Trust 2025-2 Series 2025-2A Class D, 5.68% 4/15/2052 (b) |  | 100000 | 100084 |
| Foundation Finance Trust Series 2023-2A Class A, 6.53% 6/15/2049 (b) |  | 188916 | 197329 |
| Foundation Finance Trust Series 2023-2A Class B, 6.97% 6/15/2049 (b) |  | 1737976 | 1815946 |
| Foundation Finance Trust Series 2024-2A Class B, 4.93% 3/15/2050 (b) |  | 86432 | 86714 |
| Foundation Finance Trust Series 2025-1A Class A, 4.95% 4/15/2050 (b) |  | 207699 | 210449 |
| FRTKL Series 2021-SFR1 Class F, 3.171% 9/17/2038 (b) |  | 128000 | 124713 |
| FS Rialto Issuer LLC Series 2024-FL9 Class A, CME Term SOFR 1 month Index + 1.6306%, 5.5895% 10/19/2039 (b)(c)(d) |  | 245000 | 245920 |
| FS Rialto Issuer LLC Series 2025-FL10 Class A, CME Term SOFR 1 month Index + 1.3851%, 5.3439% 8/19/2042 (b)(c)(d) |  | 110000 | 109966 |
| GE Mortgage Services LLC Series 1999-HE1 Class A6, 6.7% 4/25/2029  |  | 1779 | 1786 |
| Genesis Sales Fin Master Tr Series 2024-B Class A, 5.87% 12/20/2032 (b) |  | 7400000 | 7473847 |
| Ggam Master Tr Internationa Ltd / LLC Series 2025-1A Class A, 5.923% 9/30/2060 (b) |  | 7695000 | 7783245 |
| Gilead Aviation LLC Series 2025-1A Class A, 5.789% 3/15/2050 (b) |  | 4781590 | 4878060 |
| Gls Auto Receivables Issuer Tr 2023-2 Series 2023-2A Class C, 5.69% 3/15/2029 (b) |  | 341000 | 342594 |
| GLS Auto Receivables Issuer Trust Series 2022-1A Class D, 3.97% 1/18/2028 (b) |  | 2661230 | 2658788 |
| Gls Auto Receivables Trust 2023-3 Series 2023-3A Class D, 6.44% 5/15/2029 (b) |  | 1407000 | 1442605 |
| Gls Auto Receivables Trust 2023-3 Series 2023-3A Class E, 9.27% 8/15/2030 (b) |  | 1000000 | 1069592 |
| GLS Auto Select Receivables Trust Series 2023-1A Class B, 6.09% 3/15/2029 (b) |  | 175000 | 178559 |
| GMF Floorplan Owner Revolving Trust Series 2024-4A Class A1, 4.73% 11/15/2029 (b) |  | 3610000 | 3660891 |
| Goldman Home Improvement Trust 2022-Grn1 Issuer Trust Series 2022-GRN1 Class A, 4.5% 6/25/2052 (b) |  | 147120 | 146849 |
| Goodgreen 2023-1 Series 2023-1A Class A, 5.9% 1/17/2061 (b) |  | 555290 | 550101 |
| Goodleap Home Improvement Solutions Trust 2025-2 Series 2025-2A Class A, 5.32% 6/20/2049 (b) |  | 1345755 | 1362609 |
| Goodleap Home Improvement Solutions Trust 2025-2 Series 2025-2A Class B, 5.98% 6/20/2049 (b) |  | 1146066 | 1157130 |
| Goodleap Home Improvement Solutions Trust Series 2024-1A Class A, 5.35% 10/20/2046 (b) |  | 975664 | 989774 |
| Goodleap Home Improvement Solutions Trust Series 2025-1A Class A, 5.38% 2/20/2049 (b) |  | 2203688 | 2238418 |
| Goodleap Home Improvement Solutions Trust Series 2025-1A Class B, 6.27% 2/20/2049 (b) |  | 28913 | 29376 |
| GoodLeap Home Improvement Solutions Trust Series 2025-3A Class A, 5% 10/20/2049 (b) |  | 1197000 | 1199533 |
| Goodleap Sustainable Home Solution Trust Series 2023-4C Class A, 6.48% 3/20/2057 (b) |  | 1469423 | 1464648 |
| Goodleap Sustainable Home Solution Trust Series 2024-1GS Class A, 6.25% 6/20/2057 (b) |  | 2531648 | 2497608 |
| Gracie Point International Funding LLC Series 2024-1A Class A, U.S. 90-Day Avg. SOFR Index + 1.7%, 6.0555% 3/1/2028 (b)(c)(d) |  | 318000 | 318388 |
| Granite Park Equipment Leasing LLC Series 2023-1A Class E, 7% 6/20/2035 (b) |  | 1587000 | 1572611 |
| Great America Leasing Receivables Funding LLC Series 2025-1 Series 2025-1 Class A2, 4.52% 10/15/2027 (b) |  | 5000000 | 5014938 |
| Green Lakes Park Clo LLC Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1.18%, 5.038% 1/25/2038 (b)(c)(d) |  | 4445000 | 4440515 |
| Greensky Home Improvement Issuer Trust Series 2025-2A Class C, 5.26% 6/25/2060 (b) |  | 133000 | 134281 |
| Greensky Home Improvement Issuer Trust Series 2025-2A Class D, 5.56% 6/25/2060 (b) |  | 106000 | 106955 |
| Greensky Home Improvement Series 2025-3A Class A3, 4.52% 12/27/2060 (b) |  | 4131000 | 4133582 |
| Greensky Home Improvement Trust 2024-1 Series 2024-1 Class A3, 5.55% 6/25/2059 (b) |  | 500000 | 513712 |
| Greensky Home Improvement Trust 2024-1 Series 2024-1 Class A4, 5.67% 6/25/2059 (b) |  | 738097 | 756893 |
| Greensky Home Improvement Trust 2024-1 Series 2024-1 Class B, 5.87% 6/25/2059 (b) |  | 85779 | 87690 |
| Greensky Home Improvement Trust Series 2024-2 Class A2, 5.25% 10/27/2059 (b) |  | 1221882 | 1225256 |
| Greensky Home Improvement Trust Series 2024-2 Class A3, 5.15% 10/27/2059 (b) |  | 3500000 | 3566845 |
| Greensky Home Improvement Trust Series 2024-2 Class A4, 5.15% 10/27/2059 (b) |  | 124688 | 126831 |
| Greensky Home Improvement Trust Series 2024-2 Class B, 5.26% 10/27/2059 (b) |  | 758000 | 767734 |
| Greensky Home Improvement Trust Series 2024-2 Class C, 5.55% 10/27/2059 (b) |  | 1000000 | 1010201 |
| Greensky Home Improvement Trust Series 2024-2 Class D, 6.43% 10/27/2059 (b) |  | 664000 | 677058 |
| Greensky Home Impt Issuer Trust Series 2025-1A Class A3, 5.32% 3/25/2060 (b) |  | 3900000 | 4002179 |
| Greensky Home Impt Issuer Trust Series 2025-1A Class A4, 5.22% 3/25/2060 (b) |  | 9208594 | 9361747 |
| Greystone CRE Notes Series 2025-FL4 Class A, CME Term SOFR 1 month Index + 1.4811%, 5.44% 1/15/2043 (b)(c)(d) |  | 250000 | 250775 |
| Gs Mortgage-Backed Securities Trust Series 2024-HE2 Class A1, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.5718% 1/25/2055 (b)(c)(d) |  | 2593047 | 2593038 |
| GSAA Home Equity Trust Series 2006-18 Class AF3A, 5.7723% 11/25/2036  |  | 43073 | 12104 |
| Hero Fdg 2017-2 Series 2017-2A Class A2, 4.07% 9/20/2048 (b) |  | 43058 | 41145 |
| Hero Funding Trust 2016-3 Series 2016-3A Class A1, 3.08% 9/20/2042 (b) |  | 11170 | 10464 |
| Hero Funding Trust Series 2015-3A Class A, 4.28% 9/20/2041 (b) |  | 24792 | 24312 |
| Hertz Vehicle Financing LLC Series 2023-3A Class A, 5.94% 2/25/2028 (b) |  | 1197000 | 1214968 |
| Hilton Grand Vacations Trust Series 2020-AA Class C, 6.42% 2/25/2039 (b) |  | 44373 | 44962 |
| Hilton Grand Vacations Trust Series 2023-1A Class C, 6.94% 1/25/2038 (b) |  | 1576592 | 1629283 |
| Hilton Grand Vacations Trust Series 2024-1B Class D, 8.85% 9/15/2039 (b) |  | 1078168 | 1106558 |
| Hinnt 2024-A LLC Series 2024-A Class E, 8% 3/15/2043 (b) |  | 806151 | 792644 |
| Home Partners of America Trust Series 2019-2 Class E, 3.32% 10/19/2039 (b) |  | 269944 | 261587 |
| Home Partners of America Trust Series 2021-3 Class E2, 3.347% 1/17/2041 (b) |  | 387714 | 360281 |
| Horizon Aircraft Finance I Limited Series 2018-1 Class A, 4.458% 12/15/2038 (b) |  | 1712823 | 1705069 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/2031 (b) |  | 1500000 | 1508071 |
| HSI Asset Securitization Corp Trust Series 2007-HE1 Class 1A1, CME Term SOFR 1 month Index + 0.2545%, 4.2088% 1/25/2037 (c)(d) |  | 2157005 | 1690564 |
| Huntington Bank Auto Credit-Linked Notes Series 2024-1 Class B2, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.4989% 5/20/2032 (b)(c)(d) |  | 160180 | 160597 |
| Huntington Bank Auto Credit-Linked Notes Series 2024-2 Class B2, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.4489% 10/20/2032 (b)(c)(d) |  | 327438 | 328384 |
| Huntington Bank Auto Credit-Linked Notes Series 2025-2 Class B2, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.2989% 9/20/2033 (b)(c)(d) |  | 284201 | 284557 |
| Hyundai Auto Lease Securitization Trust Series 2024-B Class A3, 5.41% 5/17/2027 (b) |  | 5373000 | 5400825 |
| Hyundai Auto Lease Securitization Trust Series 2025-B Class A2A, 4.58% 9/15/2027 (b) |  | 3376089 | 3385656 |
| Hyundai Auto Receivables Trust Series 2023-B Class A3, 5.48% 4/17/2028  |  | 828841 | 834858 |
| Hyundai Auto Receivables Trust Series 2024-A Class A3, 4.99% 2/15/2029  |  | 3357000 | 3383903 |
| Incref LLC Series 2025-FL1 Class A, CME Term SOFR 1 month Index + 1.7284%, 5.6872% 10/19/2042 (b)(c)(d) |  | 201000 | 201703 |
| J P Morgan Mortgage Trust Series 2024-HE2 Class A1, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.2989% 10/20/2054 (b)(c)(d) |  | 470970 | 471351 |
| Jersey Mike's Funding Series 2024-1A Class A2, 5.636% 2/15/2055 (b) |  | 3806238 | 3890345 |
| Jersey Mike's Funding Series 2025-1A Class A2, 5.61% 8/16/2055 (b) |  | 2084775 | 2128320 |
| John Deere Owner Trust Series 2025-A Class A2A, 4.23% 3/15/2028  |  | 1662660 | 1665019 |
| Jonah Energy Abs I LLC Series 2022-1 Class A1, 7.2% 12/10/2037 (b) |  | 282764 | 288306 |
| Kgs-Alpha Sba Coof Tr Ser 2012-2 Series 2012-2 Class A, 0.9961% 8/25/2038 (b)(d)(h) |  | 32832 | 508 |
| KGS-Alpha SBA COOF Trust Series 2012-4 Class A, 0.831% 9/25/2037 (b)(d)(h) |  | 34892 | 506 |
| KGS-Alpha SBA COOF Trust Series 2013-2 Class A, 1.9015% 3/25/2039 (b)(d)(h) |  | 30275 | 785 |
| Lending Funding Trust 2020-2 Series 2020-2A Class A, 2.32% 4/21/2031 (b) |  | 3340674 | 3277521 |
| Lending Funding Trust 2020-2 Series 2020-2A Class D, 6.77% 4/21/2031 (b) |  | 3455000 | 3449347 |
| Lendmark Fdg Trust Series 2024-2A Class B, 4.86% 2/21/2034 (b) |  | 100000 | 100452 |
| Lendmark Funding Trust 2021-2 Series 2021-2A Class D, 4.46% 4/20/2032 (b) |  | 3000000 | 2785726 |
| Lendmark Funding Trust Series 2021-1A Class A, 1.9% 11/20/2031 (b) |  | 4200000 | 4079124 |
| Lendmark Funding Trust Series 2021-1A Class D, 5.05% 11/20/2031 (b) |  | 3000000 | 2849646 |
| Lendmark Funding Trust Series 2024-1A Class B, 5.88% 6/21/2032 (b) |  | 520000 | 527600 |
| Lendmark Funding Trust Series 2024-1A Class D, 7.21% 6/21/2032 (b) |  | 100000 | 101950 |
| Lendmark Funding Trust Series 2025-1A Class A, 4.94% 9/20/2034 (b) |  | 509000 | 515113 |
| Lendmark Funding Trust Series 2025-1A Class B, 5.33% 9/20/2034 (b) |  | 558000 | 567289 |
| Lendmark Funding Trust Series 2025-1A Class E, 8.91% 9/20/2034 (b) |  | 4065000 | 4228373 |
| Lendmark Funding Trust Series 2025-3A Class A, 4.51% 5/21/2035 (b) |  | 696000 | 695497 |
| Lendmark Funding Trust Series 2025-3A Class B, 4.83% 5/21/2035 (b) |  | 115000 | 115468 |
| Lendmark Funding Trust Series 2025-3A Class D, 5.98% 5/21/2035 (b) |  | 2620000 | 2631506 |
| LMRE Trust Series 2025-SFR1 Class A, 4.5% 12/17/2042 (b) |  | 258000 | 253174 |
| Loancore Issuer LLC Series 2025-CRE8 Class A, CME Term SOFR 1 month Index + 1.385%, 5.344% 8/17/2042 (b)(c)(d) |  | 143000 | 142911 |
| LoanCore Issuer LLC Series 2025-CRE9 Class A, CME Term SOFR 1 month Index + 1.45%, 5.5125% 8/18/2042 (b)(c)(d) |  | 300000 | 300094 |
| LoanCore Issuer LLC Series 2025-CRE9 Class AS, CME Term SOFR 1 month Index + 1.7%, 5.7625% 8/18/2042 (b)(c)(d) |  | 2100000 | 2100660 |
| Lyra Music Assets Delaware LP Series 2024-2A Class A2, 5.76% 12/22/2064 (b) |  | 379455 | 385351 |
| Lyra Music Assets Delaware LP Series 2025-1A Class A2, 5.604% 9/20/2065 (b) |  | 259000 | 262303 |
| Madison Park Funding Lxxiii Ltd Series 2025-73A Class B, CME Term SOFR 3 month Index + 1.7%, 5.663% 10/17/2038 (b)(c)(d) |  | 250000 | 251095 |
| Mariner Finance Issuance Trust Series 2021-AA Class E, 5.4% 3/20/2036 (b) |  | 4500000 | 4361076 |
| Mariner Finance Issuance Trust Series 2021-BA Class E, 4.68% 11/20/2036 (b) |  | 3000000 | 2797840 |
| Mariner Finance Issuance Trust Series 2024-AA Class A, 5.13% 9/22/2036 (b) |  | 279000 | 282836 |
| Mariner Finance Issuance Trust Series 2024-BA Class A, 4.91% 11/20/2038 (b) |  | 792000 | 806405 |
| Mariner Finance Issuance Trust Series 2024-BA Class D, 6.36% 11/20/2038 (b) |  | 100000 | 103015 |
| Mariner Finance Issuance Trust Series 2024-BA Class E, 8.8% 11/20/2038 (b) |  | 4000000 | 4212357 |
| Mariner Finance Issuance Trust Series 2025-AA Class A, 4.98% 5/20/2038 (b) |  | 9763000 | 9895286 |
| Mariner Finance Issuance Trust Series 2025-AA Class B, 5.33% 5/20/2038 (b) |  | 104000 | 105659 |
| Mariner Finance Issuance Trust Series 2025-AA Class C, 5.69% 5/20/2038 (b) |  | 107000 | 108790 |
| Mariner Finance Issuance Trust Series 2025-BA Class A, 4.59% 11/22/2038 (b) |  | 595000 | 598136 |
| Marlette Funding Trust 2023-2 Series 2023-2A Class C, 6.96% 6/15/2033 (b) |  | 149074 | 149843 |
| Marlette Funding Trust 2025-1 Series 2025-1A Class A, 4.75% 7/16/2035 (b) |  | 674078 | 675179 |
| Marlette Funding Trust 2025-1 Series 2025-1A Class C, 5.26% 7/16/2035 (b) |  | 4065000 | 4096391 |
| MASTR Asset Backed Securities Trust Series 2005-WF1 Class M7, CME Term SOFR 1 month Index + 1.8395%, 5.7938% 6/25/2035 (c)(d) |  | 1816559 | 1841734 |
| MASTR Asset Backed Securities Trust Series 2007-NCW Class A1, CME Term SOFR 1 month Index + 0.4145%, 4.3688% 5/25/2037 (Assured Guaranty Inc Insured) (b)(c)(d) |  | 988795 | 894797 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/2028  |  | 1500000 | 1514893 |
| Mercedes-Benz Auto Lease Trust Series 2024-B Class A3, 4.23% 2/15/2028  |  | 6500000 | 6510878 |
| Mercedes-Benz Auto Receivables Series 2023-1 Class A3, 4.51% 11/15/2027  |  | 1736811 | 1739499 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (b) |  | 1915549 | 1925066 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (b) |  | 2324442 | 2339740 |
| MF1 LLC Series 2024-FL14 Class A, CME Term SOFR 1 month Index + 1.737%, 5.6958% 3/19/2039 (b)(c)(d) |  | 100000 | 100250 |
| MF1 LLC Series 2025-FL19 Class A, CME Term SOFR 1 month Index + 1.4881%, 5.4507% 5/18/2042 (b)(c)(d) |  | 289000 | 289718 |
| MFA Trust Series 2024-NPL1 Class A1, 6.33% 9/25/2054  |  | 490525 | 493756 |
| Mid-State Capital Corp Trust Series 2005-1 Class M1, 6.106% 1/15/2040  |  | 7172 | 7172 |
| Mid-State Capital Corp Trust Series 2006-1 Class A, 5.787% 10/15/2040 (b) |  | 12987 | 13057 |
| Mid-State Capital Corp Trust Series 2006-1 Class M1, 6.083% 10/15/2040 (b) |  | 15757 | 15852 |
| Mission Lane Credit Card Master Trust Series 2025-B Class A, 5.06% 9/15/2031 (b) |  | 2620000 | 2639761 |
| Morgan Stanley ABS Capital I Inc Series 2003-SD1 Class M1, CME Term SOFR 1 month Index + 2.3645%, 6.3188% 3/25/2033 (c) |  | 378 | 363 |
| Morgan Stanley ABS Capital I Inc Series 2006-HE4 Class A4, CME Term SOFR 1 month Index + 0.5945%, 4.5488% 6/25/2036 (c) |  | 3171925 | 1610111 |
| Morgan Stanley ABS Capital I Inc Series 2007-NC3 Class A2D, CME Term SOFR 1 month Index + 0.3745%, 4.3288% 5/25/2037 (c)(d) |  | 1732377 | 1357035 |
| Morgan Stanley ABS Capital I Inc Trust Series 2006-HE8 Class A2FP, CME Term SOFR 1 month Index + 0.07%, 4.1388% 10/25/2036 (c)(d) |  | 120386 | 52029 |
| Morgan Stanley Mortgage Loan Trust Series 2006-12XS Class A4, 6.5119% 10/25/2036 (g) |  | 74674 | 16657 |
| Morgan Stanley Mortgage Loan Trust Series 2006-16AX Class 2A3, CME Term SOFR 1 month Index + 0.6145%, 4.5688% 11/25/2036 (c) |  | 40331 | 10766 |
| Morgan Stanley Mortgage Loan Trust Series 2007-3XS Class 2A4S, 6.4631% 1/25/2047 (g) |  | 792460 | 282207 |
| Mosaic Solar Loans Trust Series 2023-4A Class A, 6.4% 5/20/2053 (b) |  | 180754 | 182047 |
| MVW 2022-2 LLC Series 2022-2A Class D, 9% 10/21/2041 (b) |  | 182695 | 185366 |
| Navesink CLO 2 Ltd Series 2024-2A Class A1, CME Term SOFR 3 month Index + 1.27%, 5.1745% 4/15/2036 (b)(c)(d) |  | 1000000 | 997429 |
| Navient Private Education Loan Trust Series 2020-CA Class A2A, 2.15% 11/15/2068 (b) |  | 583359 | 562664 |
| Navient Private Education Refi Loan Trust Series 2019-FA Class A2, 2.6% 8/15/2068 (b) |  | 1424896 | 1377347 |
| Navient Private Education Refi Loan Trust Series 2024-A Class A, 5.66% 10/15/2072 (b) |  | 510645 | 524189 |
| Navient Refinance Loan Trust Series 2025-B Class A, 4.72% 9/15/2055 (b) |  | 587987 | 589668 |
| Navient Refinance Loan Trust Series 2025-C Class A, 4.8% 10/15/2055 (b) |  | 407000 | 408061 |
| Navient Student Loan Trust Series 2015-1 Class A2, U.S. 30-Day Avg. SOFR Index + 0.7145%, 4.7863% 4/25/2040 (c)(d) |  | 1550026 | 1505731 |
| Navient Student Loan Trust Series 2023-BA Class A1A, 6.48% 3/15/2072 (b) |  | 87522 | 90696 |
| Navient Student Loan Trust Series 2023-BA Class A1B, U.S. 30-Day Avg. SOFR Index + 1.7%, 5.9337% 3/15/2072 (b)(c)(d) |  | 121752 | 122822 |
| Navigator Aircraft Abs Ltd Series 2025-1 Class A, 5.107% 10/15/2050 (b) |  | 5018863 | 4991277 |
| Nelnet Student Loan Trust Series 2021-A Class A1, CME Term SOFR 1 month Index + 0.9145%, 4.8743% 4/20/2062 (b)(c)(d) |  | 741757 | 740382 |
| Nelnet Student Loan Trust Series 2021-A Class A2, CME Term SOFR 1 month Index + 1.1445%, 5.1043% 4/20/2062 (b)(c)(d) |  | 410000 | 408526 |
| Nelnet Student Loan Trust Series 2021-A Class B1, 2.85% 4/20/2062 (b) |  | 142000 | 127900 |
| Nelnet Student Loan Trust Series 2023-PL1A Class A1A, U.S. 30-Day Avg. SOFR Index + 2.25%, 6.3218% 11/25/2053 (b)(c)(d) |  | 86244 | 87411 |
| Nelnet Student Loan Trust Series 2025-AA Class A1B, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.3337% 3/15/2057 (b)(c)(d) |  | 903974 | 900620 |
| Nelnet Student Loan Trust Series 2025-BA Class A1B, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.492% 5/17/2055 (b)(c)(d) |  | 1578716 | 1589221 |
| Nelnet Student Loan Trust Series 2025-BA Class B, 4.98% 5/17/2055 (b) |  | 630000 | 632351 |
| Nelnet Student Loan Trust Series 2025-BA Class C, 5.38% 5/17/2055 (b) |  | 260000 | 262533 |
| Nelnet Student Loan Trust Series 2025-BA Class D, 6.04% 5/17/2055 (b) |  | 222000 | 223662 |
| Nelnet Student Loan Trust Series 2025-CA Class A1A, 4.67% 6/22/2065 (b) |  | 7191265 | 7193597 |
| Nelnet Student Loan Trust Series 2025-CA Class A1B, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.706% 6/22/2065 (b)(c)(d) |  | 6447844 | 6472757 |
| Nelnet Student Loan Trust Series 2025-CA Class D, 5.82% 6/22/2065 (b) |  | 370000 | 368250 |
| New Century Home Equity Loan Trust Series 2003-5 Class AI6, 4.8539% 11/25/2033 (g) |  | 4574 | 4508 |
| New Residential Mortgage Loan Trust Series 2022-SFR1 Class F, 4.443% 2/17/2039 (b) |  | 2100000 | 2061365 |
| Newcastle Mortgage Securities Trust Series 2007-1 Class 2A3, CME Term SOFR 1 month Index + 0.3445%, 4.2988% 4/25/2037 (c) |  | 604035 | 600953 |
| Newrez LLC / Newres Gmsr Excess Owner LLC Series 2021-GNT1 Class A, 3.474% 11/25/2026 (b) |  | 1446786 | 1419451 |
| Nissan Auto Receivables Owner Trust Series 2023-B Class A3, 5.93% 3/15/2028  |  | 3036526 | 3059014 |
| Nissan Auto Receivables Owner Trust Series 2024-B Class A3, 4.34% 3/15/2029  |  | 1000000 | 1003605 |
| OCCU Auto Receivables Trust Series 2025-1A Class A3, 4.81% 11/15/2029 (b) |  | 700000 | 705824 |
| OCP CLO Ltd Series 2025-8RA Class AR2, CME Term SOFR 3 month Index + 1.22%, 5.1016% 10/17/2038 (b)(c)(d) |  | 4223000 | 4227206 |
| OCP CLO Ltd Series 2025-8RA Class B1R2, CME Term SOFR 3 month Index + 1.55%, 5.4316% 10/17/2038 (b)(c)(d) |  | 250000 | 250497 |
| Octane Receivables Trust Series 2023-2A Class C, 6.24% 6/20/2031 (b) |  | 2589000 | 2628395 |
| Onemain Financial Issuance Trust 2025-1 Series 2025-1A Class C, 5.2% 7/14/2038 (b) |  | 3500000 | 3557547 |
| Onemain Financial Issuance Trust 2025-1 Series 2025-1A Class D, 5.79% 7/14/2038 (b) |  | 156000 | 158382 |
| OneMain Financial Issuance Trust Series 2020-2A Class B, 2.21% 9/14/2035 (b) |  | 1050000 | 1009074 |
| OneMain Financial Issuance Trust Series 2023-2A Class B, 6.17% 9/15/2036 (b) |  | 5714000 | 5907980 |
| OneMain Financial Issuance Trust Series 2023-2A Class C, 6.74% 9/15/2036 (b) |  | 1300000 | 1344514 |
| OneMain Financial Issuance Trust Series 2023-2A Class D, 7.52% 9/15/2036 (b) |  | 2400000 | 2480798 |
| OneMain Financial Issuance Trust Series 2024-1A Class A, 5.79% 5/14/2041 (b) |  | 777000 | 822441 |
| Oportun Funding Trust Series 2024-3 Class A, 5.26% 8/15/2029 (b) |  | 442035 | 441591 |
| Oportun Issuance Trust 2025-B Series 2025-B Class A, 4.88% 5/9/2033 (b) |  | 1200000 | 1203776 |
| Oportun Issuance Trust Series 2021-B Class B, 1.96% 5/8/2031 (b) |  | 40325 | 39582 |
| Oportun Issuance Trust Series 2021-B Class C, 3.65% 5/8/2031 (b) |  | 645864 | 639321 |
| Oportun Issuance Trust Series 2021-C Class A, 2.18% 10/8/2031 (b) |  | 1870712 | 1837210 |
| Oportun Issuance Trust Series 2025-D Class A, 4.53% 2/8/2033 (b) |  | 3900000 | 3903781 |
| Option One Mortgage Loan Trust 2007-FXD1 Series 2007-FXD1 Class 3A4, 5.86% 1/25/2037 (Ambac Assurance Corp Insured) (g) |  | 78871 | 77511 |
| Owl Rock Clo Xviii LLC Series 2024-18A Class A, CME Term SOFR 3 month Index + 1.7%, 5.5654% 7/24/2036 (b)(c)(d) |  | 250000 | 250657 |
| OWN Equipment Fund I LLC Series 2024-2M Class A, 5.7% 12/20/2032 (b) |  | 2085072 | 2091517 |
| Peac Solutions Receivables Series 2025-1A Class A2, 4.94% 10/20/2028 (b) |  | 1415000 | 1423594 |
| Pk Alift Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/2039 (b) |  | 858704 | 879799 |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/2049 (b) |  | 5857638 | 5621382 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2I, 3.251% 12/5/2051 (b) |  | 4521990 | 4450601 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2II, 4.008% 12/5/2051 (b) |  | 4041420 | 3788502 |
| Pmt Credit Risk Transfer Trust 2024-3r Series 2024-3R Class A, U.S. 30-Day Avg. SOFR Index + 3.1%, 7.2952% 9/27/2028 (b)(c)(d) |  | 4184464 | 4232443 |
| Post Road Equipment Finance LLC Series 2025-1A Class A2, 4.9% 5/15/2031 (b) |  | 5302506 | 5339304 |
| PowerPay Issuance Trust Series 2025-1A Class A, 5.23% 11/18/2041 (b) |  | 3508100 | 3519833 |
| PRET 2025-NPL6 LLC Series 2025-NPL6 Class A1, 5.7437% 6/25/2055 (b) |  | 2783150 | 2794191 |
| Pret 2025-NPL7 LLC Series 2025-NPL7 Class A1, 5.6571% 7/25/2055 (b)(d) |  | 1917401 | 1922017 |
| Pret LLC Series 2025-NPL3 Class A1, 6.7076% 4/25/2055 (b) |  | 3347929 | 3371481 |
| PRET Trust Series 2025-NPL1 Class A1, 6.063% 2/25/2055 (b) |  | 8070102 | 8081762 |
| PRMI Securitization Trust Series 2024-CMG1 Class A1, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.6585% 7/25/2054 (b)(c)(d) |  | 1438005 | 1439271 |
| Progress Residential 2025-Sfr3 Tr Series 2025-SFR3 Class C, 3.39% 7/17/2042 (b) |  | 694000 | 648724 |
| Progress Residential Trust Series 2021-SFR10 Class E1, 3.567% 12/17/2040 (b) |  | 5500967 | 5301124 |
| Progress Residential Trust Series 2021-SFR11 Class E1, 3.378% 1/17/2039 (b) |  | 4000000 | 3806440 |
| Progress Residential Trust Series 2021-SFR3 Class E2, 2.688% 5/17/2026 (b) |  | 281728 | 278293 |
| Progress Residential Trust Series 2021-SFR3 Class F, 3.436% 5/17/2026 (b) |  | 1500000 | 1485730 |
| Progress Residential Trust Series 2021-SFR8 Class E1, 2.382% 10/17/2038 (b) |  | 722000 | 708029 |
| Progress Residential Trust Series 2021-SFR8 Class F, 3.181% 10/17/2038 (b) |  | 4000000 | 3930352 |
| Progress Residential Trust Series 2022-SFR1 Class E1, 3.93% 2/17/2041 (b) |  | 479000 | 462801 |
| Progress Residential Trust Series 2022-SFR1 Class F, 4.88% 2/17/2041 (b) |  | 4000000 | 3924016 |
| Progress Residential Trust Series 2022-SFR2 Class E2, 4.8% 4/17/2027 (b) |  | 643616 | 630489 |
| Progress Residential Trust Series 2022-SFR3 Class D, 4.45% 4/17/2039 (b) |  | 4705000 | 4642529 |
| Progress Residential Trust Series 2022-SFR3 Class E2, 5.6% 4/17/2039 (b) |  | 588000 | 587385 |
| Progress Residential Trust Series 2022-SFR3 Class F, 6.6% 4/17/2039 (b) |  | 2169037 | 2176218 |
| Progress Residential Trust Series 2023-SFR1 Class E1, 6.15% 3/17/2040 (b) |  | 1822000 | 1826045 |
| Progress Residential Trust Series 2023-SFR2 Class D, 4.5% 10/17/2040 (b) |  | 2550000 | 2511425 |
| Progress Residential Trust Series 2023-SFR2 Class E1, 4.75% 10/17/2040 (b) |  | 3231000 | 3186567 |
| Progress Residential Trust Series 2024-SFR2 Class E1, 3.4% 4/17/2041 (b)(d) |  | 100000 | 93961 |
| Progress Residential Trust Series 2025-SFR2 Class E1, 3.725% 4/17/2042 (b)(d) |  | 3390518 | 3162730 |
| PRPM Trust Series 2023-RCF2 Class A1, 4% 11/25/2053 (b)(d) |  | 1072696 | 1062087 |
| QTS Issuer ABS II LLC Series 2025-1A Class A2, 5.044% 10/5/2055 (b) |  | 662000 | 664899 |
| Rckt Mortgage Trust 2024-Ces3 Series 2024-CES3 Class A1A, 6.591% 5/25/2044 (b)(d) |  | 635150 | 645575 |
| RCKT Mortgage Trust Series 2024-CES1 Class A1A, 6.025% 2/25/2044 (b) |  | 1051667 | 1060206 |
| RCKT Mortgage Trust Series 2024-CES2 Class B1, 8.005% 4/25/2044 (b)(d) |  | 914000 | 938101 |
| RCKT Mortgage Trust Series 2024-CES2 Class B2, 9.5782% 4/25/2044 (b)(d) |  | 100000 | 102810 |
| RCKT Mortgage Trust Series 2025-CES7 Class A1A, 5.377% 7/25/2055 (b) |  | 3972206 | 4014318 |
| RCKT Mortgage Trust Series 2025-CES9 Class A1A, 4.795% 9/25/2055 (b) |  | 6160947 | 6139968 |
| RCKT Trust Series 2025-1A Class A, 4.9% 7/25/2034 (b) |  | 606098 | 607574 |
| Rcktl Series 2025-2A Class A, 4.48% 11/27/2034 (b) |  | 1290000 | 1290377 |
| Reach Abs Trust Series 2025-2A Class A, 4.93% 8/18/2032 (b) |  | 2780557 | 2791125 |
| Regional Management Issuance Trust Series 2021-2 Class A, 1.9% 8/15/2033 (b) |  | 520000 | 502716 |
| Regional Management Issuance Trust Series 2022-1 Class A, 3.07% 3/15/2032 (b) |  | 32779 | 32701 |
| Regional Management Issuance Trust Series 2024-1 Class D, 7.46% 7/15/2036 (b) |  | 100000 | 103112 |
| Regional Management Issuance Trust Series 2024-2 Class A, 5.11% 12/15/2033 (b) |  | 125000 | 125945 |
| Regional Management Issuance Trust Series 2025-2 Class A, 4.59% 11/16/2037 (b) |  | 833000 | 831895 |
| Renew 2017-1 Series 2017-1A Class A, 3.67% 9/20/2052 (b) |  | 21478 | 20188 |
| Renew 2017-1 Series 2017-1A Class B, 5.75% 9/20/2052 (b) |  | 2140 | 2131 |
| Republic Fin Issuance Tr 2024-A Series 2024-A Class B, 6.47% 8/20/2032 (b) |  | 280000 | 286529 |
| Republic Finance Issuance Trust Series 2024-B Class A, 5.42% 11/20/2037 (b) |  | 2996000 | 3055624 |
| Republic Finance Issuance Trust Series 2024-B Class B, 5.86% 11/20/2037 (b) |  | 210000 | 214926 |
| Republic Finance Issuance Trust Series 2025-A Class A, 4.59% 11/20/2034 (b) |  | 743000 | 744610 |
| Retained Vantage Data Ctrs Issuer LLC / Vantage Data Ctrs CDA Qc4 Ltd Partnership Series 2025-1A Class A2A, 5.091% 8/15/2050 (b) |  | 546000 | 548005 |
| Saluda Grade Alternative Mortgage Trust Series 2025-LOC4 Class A1A, 5.8218% 6/25/2055 (b)(d) |  | 5419566 | 5431969 |
| Santander Drive Auto Receivables Trust Series 2022-6 Class D, 5.69% 2/18/2031  |  | 3300000 | 3323603 |
| Santander Drive Auto Receivables Trust Series 2023-2 Class C, 5.47% 12/16/2030  |  | 740000 | 753049 |
| Santander Drive Auto Receivables Trust Series 2023-6 Class C, 6.4% 3/17/2031  |  | 500000 | 517408 |
| Santander Drive Auto Receivables Trust Series 2024-2 Class D, 6.28% 8/15/2031  |  | 1000000 | 1028991 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class D, 5.47% 5/15/2031  |  | 8100000 | 8222690 |
| SAPPHIRE AVIATION FINANCE Series 2020-1A Class A, 3.228% 3/15/2040 (b) |  | 3755082 | 3641242 |
| SAPPHIRE AVIATION FINANCE Series 2020-1A Class B, 4.335% 3/15/2040 (b) |  | 350564 | 341998 |
| SBA Tower Trust Series 2020, 1.884% 7/15/2050 (b) |  | 2753000 | 2742425 |
| SBA Tower Trust Series 2020, 2.328% 7/15/2052 (b) |  | 2105000 | 2019724 |
| SBNA Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/2027 (b) |  | 2718460 | 2733376 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (b) |  | 2461251 | 2466490 |
| SCCU Auto Receivables Trust Series 2023-1A Class A4, 5.7% 8/15/2029 (b) |  | 500000 | 511598 |
| Scf Equipment Leasing Series 2023-1A Class B, 6.37% 5/20/2032 (b) |  | 2500000 | 2577577 |
| Sclp 2025-2 Series 2025-2 Class A, 4.82% 6/25/2034 (b) |  | 3057397 | 3073005 |
| Securitized Asset Backed LLC Trust Series 2006-CB5 Class A3, CME Term SOFR 1 month Index + 0.3945%, 4.3488% 6/25/2036 (c)(d) |  | 1885092 | 1298654 |
| Service Experts Issuer LLC Series 2024-1A Class A, 6.39% 11/20/2035 (b) |  | 146566 | 150094 |
| Sesac Finance LLC Series 2024-1 Class A2, 6.421% 1/25/2054 (b) |  | 52073 | 53326 |
| Sesac Finance LLC Series 2025-1 Class A2, 5.5% 7/25/2055 (b) |  | 557000 | 558082 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/2029 (b) |  | 1716541 | 1733696 |
| Sierra Timeshare 2022-1 Receivables Funding LLC Series 2022-1A Class D, 6% 10/20/2038 (b) |  | 83291 | 83091 |
| Sierra Timeshare Receivables Funding LLC Series 2023-1A Class D, 9.8% 1/20/2040 (b) |  | 577397 | 606491 |
| Sierra Timeshare Receivables Funding LLC Series 2023-2A Class D, 9.72% 4/20/2040 (b) |  | 377080 | 397199 |
| Sierra Timeshare Receivables Funding LLC Series 2023-3A Class D, 9.44% 9/20/2040 (b) |  | 289897 | 304091 |
| Sierra Timeshare Receivables Funding LLC Series 2025-2A Class D, 6.79% 4/20/2044 (b) |  | 1317382 | 1326211 |
| Sierra Timeshare Receivables Funding LLC Series 2025-3A Class D, 6.54% 8/22/2044 (b) |  | 2093855 | 2103881 |
| SLAM Ltd Series 2025-1A Class A, 5.807% 5/15/2050 (b) |  | 2298918 | 2367480 |
| Smb Private Ed Ln Tr 2023-B Series 2023-B Class A1B, U.S. 30-Day Avg. SOFR Index + 1.8%, 5.942% 10/16/2056 (b)(c)(d) |  | 858662 | 875766 |
| SMB Private Education Loan Trust Series 2017-B Class B, 3.5% 12/16/2041 (b) |  | 500000 | 492103 |
| SMB Private Education Loan Trust Series 2018-B Class A2B, CME Term SOFR 1 month Index + 0.8345%, 4.7934% 1/15/2037 (b)(c)(d) |  | 201430 | 201245 |
| SMB Private Education Loan Trust Series 2018-C Class A2B, CME Term SOFR 1 month Index + 0.8645%, 4.8234% 11/15/2035 (b)(c)(d) |  | 327447 | 327202 |
| SMB Private Education Loan Trust Series 2021-A Class B, 2.31% 1/15/2053 (b) |  | 417926 | 408612 |
| SMB Private Education Loan Trust Series 2024-A Class A1A, 5.24% 3/15/2056 (b) |  | 9571051 | 9783593 |
| SMB Private Education Loan Trust Series 2024-A Class A1B, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.592% 3/15/2056 (b)(c)(d) |  | 10958495 | 11058723 |
| SMB Private Education Loan Trust Series 2024-A Class B, 5.88% 3/15/2056 (b) |  | 156000 | 161068 |
| SMB Private Education Loan Trust Series 2024-C Class A1B, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.2357% 6/17/2052 (b)(c)(d) |  | 139386 | 139037 |
| SMB Private Education Loan Trust Series 2024-E Class A1A, 5.09% 10/16/2056 (b) |  | 1666374 | 1697563 |
| SMB Private Education Loan Trust Series 2025-C Class A1A, 4.96% 3/15/2055 (b) |  | 21618164 | 21782175 |
| SMB Private Education Loan Trust Series 2025-C Class A1B, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.342% 3/15/2055 (b)(c)(d) |  | 2434478 | 2434463 |
| SMB Private Education Loan Trust Series 2025-C Class B, 5.1% 3/15/2055 (b) |  | 1100000 | 1104655 |
| SMB Private Education Loan Trust Series 2025-C Class C, 4.78% 3/15/2055 (b) |  | 1100000 | 1085777 |
| SMB Private Education Loan Trust Series 2025-C Class D, 5.26% 3/15/2055 (b)(i) |  | 2100000 | 2030628 |
| SMB Private Education Loan Trust Series 2025-C Class R, 0% 3/15/2055 (b) |  | 1370 | 16589 |
| Sofi Consumer Loan Program Series 2025-3 Class A, 4.47% 8/15/2034 (b) |  | 1481040 | 1484175 |
| SoFi Consumer Loan Program Trust Series 2025-1 Class A, 4.8% 2/27/2034 (b) |  | 1337276 | 1341638 |
| SoFi Consumer Loan Program Trust Series 2025-1 Class B, 5.12% 2/27/2034 (b) |  | 239000 | 242049 |
| SoFi Professional Loan Program Trust Series 2024-1A Class A, 6.06% 2/12/2031 (b) |  | 132984 | 133829 |
| SoFi Professional Loan Program Trust Series 2024-1A, 0% 2/12/2031 (b) |  | 10000 | 296603 |
| Soundview Home Loan Trust Series 2005-OPT3 Class M4, CME Term SOFR 1 month Index + 1.1345%, 5.0888% 11/25/2035 (c)(d) |  | 45000 | 38186 |
| Soundview Home Loan Trust Series 2007-NS1 Class M1, CME Term SOFR 1 month Index + 0.6395%, 4.5938% 1/25/2037 (c) |  | 31415 | 32189 |
| Soundview Home Loan Trust Series 2007-OPT1 Class 2A1, CME Term SOFR 1 month Index + 0.1945%, 4.1488% 6/25/2037 (c)(d) |  | 19281 | 12760 |
| Star Trust Series 2025-SFR5 Class D, CME Term SOFR 1 month Index + 2.45%, 6.409% 2/17/2042 (b)(c)(d) |  | 1083333 | 1084007 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/2051 (b) |  | 1466875 | 1368256 |
| Stream Innovations Issuer Trust Series 2024-2A Class A, 5.21% 2/15/2045 (b) |  | 3507203 | 3557057 |
| Stream Innovations Issuer Trust Series 2024-2A Class C, 9.05% 2/15/2045 (b) |  | 1050000 | 1105657 |
| Stream Innovations Issuer Trust Series 2025-1A Class A, 5.05% 9/15/2045 (b) |  | 3821996 | 3863816 |
| Structured Asset Securities Corp Mortgage Loan Trust 2007-GEL2 Series 2007-GEL2 Class M1, CME Term SOFR 1 month Index + 1.1645%, 5.1188% 5/25/2037 (b)(c) |  | 84502 | 71082 |
| STWD LLC Series 2025-FL4 Class AS, CME Term SOFR 1 month Index + 1.7%, 5.7% 11/19/2042 (b)(c)(d) |  | 1035000 | 1034997 |
| Subway Funding LLC Series 2024-1A Class A23, 6.505% 7/30/2054 (b) |  | 4360950 | 4517839 |
| Subway Funding LLC Series 2024-1A Class A2I, 6.028% 7/30/2054 (b) |  | 8364510 | 8459676 |
| Subway Funding LLC Series 2024-1A Class A2II, 6.268% 7/30/2054 (b) |  | 5241060 | 5357711 |
| Subway Funding LLC Series 2024-3A Class A23, 5.914% 7/30/2054 (b) |  | 5247000 | 5229724 |
| Subway Funding LLC Series 2024-3A Class A2I, 5.246% 7/30/2054 (b) |  | 5247000 | 5227678 |
| Subway Funding LLC Series 2024-3A Class A2II, 5.566% 7/30/2054 (b) |  | 2623500 | 2607986 |
| Summit Issuer LLC Series 2025-1A Class A2, 5.208% 11/20/2055 (b) |  | 488000 | 492595 |
| Sunrun Artemis Issuer LLC Series 2024-2A Class A1, 6.25% 7/30/2059 (b) |  | 4879142 | 4930401 |
| Switch Abs Issuer LLC Series 2024-2A Class A2, 5.436% 6/25/2054 (b) |  | 2665000 | 2671335 |
| Switch Abs Issuer LLC Series 2025-1A Class A2, 5.036% 3/25/2055 (b) |  | 3470000 | 3433949 |
| Taco Bell Fdg LLC Series 2025-1A Class A2I, 4.821% 8/25/2055 (b) |  | 5434000 | 5442737 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 month Index + 0.9745%, 4.9288% 9/25/2034 (c)(d) |  | 2963 | 3171 |
| Terwin Mortgage Trust Series 2005-10HE Class M5, CME Term SOFR 1 month Index + 1.1345%, 5.0888% 6/25/2036 (c) |  | 172829 | 161134 |
| Tesla Auto Lease Trust Series 2023-B Class A4, 6.22% 3/22/2027 (b) |  | 2321828 | 2323993 |
| Tesla Sustainable Energy Trust Series 2024-1A Class A2, 5.08% 6/21/2050 (b) |  | 3261199 | 3272614 |
| Towd Point Mortgage Trust 2025-CES1 Series 2025-CES1 Class A1, 5.705% 2/25/2055 (b) |  | 3255311 | 3299985 |
| Towd Point Mortgage Trust 2025-CES2 Series 2025-CES2 Class A1, 5.348% 7/25/2065 (b) |  | 3686407 | 3712182 |
| TOWD Point Mortgage Trust Series 2024-CES1 Class A1A, 5.848% 1/25/2064 (b) |  | 590942 | 592790 |
| TOWD Point Mortgage Trust Series 2024-CES2 Class A1A, 6.125% 2/25/2064 (b) |  | 452763 | 455471 |
| TOWD Point Mortgage Trust Series 2024-CES3 Class A1, 6.29% 5/25/2064 (b) |  | 1335409 | 1347521 |
| Towd Point Mortgage Trust Series 2024-CES5 Class A1, 5.167% 9/25/2064 (b) |  | 3647001 | 3648357 |
| Towd Point Mortgage Trust Series 2024-CES5 Class A2, 5.202% 9/25/2064 (b) |  | 3000000 | 2986251 |
| Towd Point Mortgage Trust Series 2024-CES6 Class A1, 5.725% 11/25/2064 (b) |  | 8636161 | 8730466 |
| Towd Point Mortgage Trust Series 2025-CRM1 Class A1, 5.799% 1/25/2065 (b) |  | 3322734 | 3365228 |
| Towd Point Mortgage Trust Series 2025-HE2 Class A1A, 5.4218% 9/25/2065 (b)(d) |  | 4487916 | 4492585 |
| Toyota Auto Receivables 2022-D Owner Trust Series 2022-D Class A3, 5.3% 9/15/2027  |  | 1818976 | 1827052 |
| Tricon American Homes Series 2019-SFR1 Class F, 3.745% 3/17/2038 (b) |  | 204000 | 203000 |
| Tricon American Homes Series 2020-SFR1 Class E, 3.544% 7/17/2038 (b) |  | 800000 | 791143 |
| Truist Bank Series 2025-1 Class B, 4.728% 9/26/2033 (b) |  | 427163 | 427532 |
| Upg HI Issuer Trust Series 2025-2 Class A, 5% 9/25/2047 (b) |  | 247000 | 247494 |
| Upgrade Master Pass-Thru Trust Series 2025-ST4 Series 2025-ST4 Class A, 5.495% 8/16/2032 (b) |  | 246670 | 247801 |
| Upgrade Master Pass-Thru Trust Series 2025-ST5 Class B, 5.254% 9/15/2032 (b) |  | 145000 | 145583 |
| Upgrade Master Pass-Thru Trust Series 2025-ST7 Class A, 4.546% 11/15/2032 (b) |  | 541638 | 541685 |
| Upgrade Master Pass-Thru Trust Series 2025-ST7 Class B, 4.979% 11/15/2032 (b) |  | 194000 | 194132 |
| Upgrade Master Pass-Thru Trust Series Series 2025-ST8 Class C, 5.25% 12/15/2033 (b) |  | 216000 | 216557 |
| Upgrade Receivables Trust Series 2024-1A Class A, 5.37% 2/18/2031 (b) |  | 35615 | 35629 |
| UPX HIL Issuer Trust Series 2025-1 Class A, 5.16% 1/25/2047 (b) |  | 691910 | 695948 |
| USAA Auto Owner Trust Series 2024-A Class A3, 5.03% 3/15/2029 (b) |  | 2700000 | 2721877 |
| Vantage Data Centers Issuer LLC Series 2021-1A Class A2, 2.165% 10/15/2046 (b) |  | 3175000 | 3103178 |
| Verdant Receivables 2023-1 LLC Series 2023-1A Class A2, 6.24% 1/13/2031 (b) |  | 1239016 | 1260568 |
| Vericrest Opportunity Loan Transferee Series 2021-NP11 Class A1, 5.8678% 8/25/2051 (b)(g) |  | 981382 | 981200 |
| Vista Point Securitization Trust Series 2024-CES3 Class A1, 5.679% 1/25/2055 (b)(g) |  | 4867333 | 4899439 |
| Vista Point Securitization Trust Series 2025-CES3 Class A1, 5.297% 11/25/2055 (b) |  | 151000 | 151184 |
| Volt C LLC Series 2021-NPL9 Class A1, 5.9918% 5/25/2051 (b)(d) |  | 161096 | 161062 |
| VOLT CI LLC Series 2021-NP10 Class A1, 5.9918% 5/25/2051 (b)(d) |  | 29940 | 29929 |
| VOLT XCV LLC Series 2021-NPL4 Class A1, 6.2396% 3/27/2051 (b)(g) |  | 18513 | 18512 |
| WaMu Asset-Backed Certificates WaMu Trust Series 2007-HE1 Class 2A3, CME Term SOFR 1 month Index + 0.2645%, 4.3688% 1/25/2037 (c)(d) |  | 1534727 | 700857 |
| WaMu Asset-Backed Certificates WaMu Trust Series 2007-HE2 Class 2A2, CME Term SOFR 1 month Index + 0.4945%, 4.4488% 4/25/2037 (c) |  | 2282123 | 829346 |
| WaMu Asset-Backed Certificates WaMu Trust Series 2007-HE2 Class 2A3, CME Term SOFR 1 month Index + 0.25%, 4.5688% 4/25/2037 (c)(d) |  | 2586728 | 889976 |
| WaMu Asset-Backed Certificates WaMu Trust Series 2007-HE2 Class 2A4, CME Term SOFR 1 month Index + 0.36%, 4.7888% 4/25/2037 (c)(d) |  | 1183610 | 402025 |
| Washington Mutural Asset-Backed Certificates Wmabs Series 2007-He1 Trust Series 2007-HE1 Class 2A1, CME Term SOFR 1 month Index + 0.2345%, 4.2255% 11/25/2036 (c) |  | 16515 | 5198 |
| Washington Mutural Asset-Backed Certificates Wmabs Series 2007-He1 Trust Series 2007-HE1 Class 2A2, CME Term SOFR 1 month Index + 0.4545%, 3.9891% 11/25/2036 (c)(d) |  | 146811 | 46391 |
| Western Funding Auto Loan Trust Series 2025-1 Class C, 5.34% 11/15/2035 (b) |  | 1855000 | 1881579 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (b) |  | 3596035 | 3657322 |
| Westlake Automobile Receivable Tr Series 2023-4A Class D, 7.19% 7/16/2029 (b) |  | 2100000 | 2173463 |
| Westlake Automobile Receivables Trust Series 2023-3A Class C, 6.02% 9/15/2028 (b) |  | 1900000 | 1921836 |
| Westlake Automobile Receivables Trust Series 2023-3A Class D, 6.47% 3/15/2029 (b) |  | 2169000 | 2219484 |
| Wheels Fleet Lease Funding 1 LLC Series 2023-2A Class A, 6.46% 8/18/2038 (b) |  | 5224752 | 5288973 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-1A Class A1, 5.49% 2/18/2039 (b) |  | 2190566 | 2215197 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (b) |  | 3701633 | 3731956 |
| Wheels Fleet Lease Funding 1 LLC Series 2025-3A Class A1, 4.08% 9/18/2040 (b) |  | 4410000 | 4405618 |
| Willis Engine Structured Tr VII Series 2023-A Class A, 8% 10/15/2048 (b) |  | 673992 | 692576 |
| Wingstop Funding LLC Series 2020-1A Class A2, 2.841% 12/5/2050 (b) |  | 3694735 | 3569148 |
| World Omni Auto Receivables Trust 2023-B Series 2023-B Class A3, 4.66% 5/15/2028  |  | 1665059 | 1668619 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  |  | 1094200 | 1100000 |
| World Omni Auto Receivables Trust Series 2022-D Class A3, 5.61% 2/15/2028  |  | 1025652 | 1029871 |
| World Omni Select Auto Trust Series 2025-A Class A3, 4.08% 8/15/2031  |  | 645000 | 645053 |
| TOTAL UNITED STATES |  |  | 1054911480 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $2,083,707,118) |  |  | <br> **2112191093** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Bank Loan Obligations - 0.1%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.1%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.1%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.1%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| 1011778 BC ULC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.6657% 9/20/2030 (c)(d)(k) |  | 220193 | 219863 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Balcan Innovations Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 0% 10/18/2031 (c)(d)(k)(l) |  | 134274 | 106077 |
| TOTAL CANADA |  |  | 325940 |
| HONG KONG - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Diversified Consumer Services - 0.0% |  |  |  |
| Fugue Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.5724% 1/9/2032 (c)(d)(k) |  | 180829 | 181292 |
| IRELAND - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Flutter Financing BV Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2%, 6.6037% 11/30/2030 (c)(d)(k) |  | 282550 | 281315 |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Avolon TLB Borrower 1 US LLC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.7098% 6/22/2030 (c)(d)(k) |  | 784116 | 786720 |
| TOTAL IRELAND |  |  | 1068035 |
| NETHERLANDS - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| Ziggo BV Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 0% 1/15/2033 (c)(d)(k)(l) |  | 247972 | 243788 |
| Ziggo Financing Partnership Tranche I 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.7056% 4/30/2028 (c)(d)(k) |  | 37963 | 37937 |
|  |  |  | 281725 |
| Consumer Discretionary - 0.0% |  |  |  |
| Broadline Retail - 0.0% |  |  |  |
| Peer Holding III BV Tranche B5B 1LN, term loan CME Term SOFR 3 month Index + 2.5%, 0% 7/1/2031 (c)(d)(k)(l) |  | 448811 | 450095 |
| TOTAL NETHERLANDS |  |  | 731820 |
| SWEDEN - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Diversified Consumer Services - 0.0% |  |  |  |
| Verisure Holding AB Tranche B 1LN, term loan 3 month EURIBOR + 2.5%, 0% 11/3/2032 (c)(d)(k)(l) | EUR | 875000 | 1017530 |
| SWITZERLAND - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1975% 11/15/2030 (c)(d)(k) |  | 333308 | 265813 |
| UNITED KINGDOM - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Entain Holdings Gibraltar Ltd Tranche B6 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 6.2515% 10/31/2029 (c)(d)(k) |  | 121561 | 121206 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| EG America LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.5%, 7.3224% 2/7/2028 (c)(d)(k) |  | 4950 | 4966 |
| Information Technology - 0.0% |  |  |  |
| Software - 0.0% |  |  |  |
| Sophos Intermediate II Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 0% 3/5/2027 (c)(d)(k)(l) |  | 99534 | 99523 |
| TOTAL UNITED KINGDOM |  |  | 225695 |
| UNITED STATES - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Frontier Communications Holdings LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.5%, 6.459% 7/1/2031 (c)(d)(k) |  | 100899 | 100742 |
| Lumen Technologies Inc Tranche B1 1LN, term loan CME Term SOFR 1 month Index + 2.35%, 6.3802% 4/16/2029 (c)(d)(k) |  | 1591865 | 1581327 |
| Windstream Services LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.9157% 10/6/2032 (c)(d)(k) |  | 230000 | 228707 |
| Zayo Group Holdings Inc Tranche EXCH TL 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.0302% 3/11/2030 (c)(d)(k) |  | 56511 | 53521 |
|  |  |  | 1964297 |
| Entertainment - 0.0% |  |  |  |
| Showtime Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 0% 8/16/2031 (c)(d)(k)(l) |  | 232806 | 228149 |
| Interactive Media & Services - 0.0% |  |  |  |
| Delivery Hero Finco LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 0% 12/12/2029 (c)(d)(k)(l) |  | 409708 | 410392 |
| Main Street Sports Group LLC Tranche EXIT 1LN, term loan 0% 1/2/2028 (k)(l) |  | 233225 | 150041 |
|  |  |  | 560433 |
| Media - 0.0% |  |  |  |
| Advantage Sales & Marketing Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 8.4458% 10/28/2027 (c)(d)(k) |  | 213574 | 183473 |
| Charter Comm Operating LLC Tranche B5 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 6.2353% 12/15/2031 (c)(d)(k) |  | 385646 | 384575 |
| Endeavor Operating Co LLC Tranche A 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 0% 3/24/2028 (c)(d)(k)(l) |  | 106287 | 106287 |
| Virgin Media Bristol LLC Tranche N 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.5734% 1/31/2028 (c)(d)(k) |  | 33570 | 33537 |
|  |  |  | 707872 |
| TOTAL COMMUNICATION SERVICES |  |  | 3460751 |
| Consumer Discretionary - 0.1% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Clarios Global LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.6657% 1/28/2032 (c)(d)(k) |  | 720000 | 722023 |
| Tenneco Inc Tranche A 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 0% 11/17/2028 (c)(d)(k)(l) |  | 1861600 | 1815936 |
|  |  |  | 2537959 |
| Broadline Retail - 0.0% |  |  |  |
| Great Outdoors Group LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.1657% 1/23/2032 (c)(d)(k) |  | 257570 | 258086 |
| Red Ventures LLC Tranche B5 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.6657% 3/4/2030 (c)(d)(k) |  | 235918 | 220260 |
| StubHub Holdco Sub LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.75%, 0% 3/15/2030 (c)(d)(k)(l) |  | 155366 | 151385 |
|  |  |  | 629731 |
| Diversified Consumer Services - 0.0% |  |  |  |
| AI Aqua Merger Sub Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.9059% 7/31/2028 (c)(d)(k) |  | 97729 | 97970 |
| KUEHG Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.7515% 6/12/2030 (c)(d)(k) |  | 114583 | 108303 |
| Spin Holdco Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.3928% 3/4/2028 (c)(d)(k) |  | 351857 | 286411 |
| TKC Holdings Inc 1LN, term loan 13.5% 2/15/2027 (d)(k) |  | 263211 | 263869 |
|  |  |  | 756553 |
| Hotels, Restaurants & Leisure - 0.1% |  |  |  |
| Dave & Buster's Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 7.0724% 11/1/2031 (c)(d)(k) |  | 229049 | 202079 |
| Dessert Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 4%, 0% 6/9/2028 (c)(d)(k)(l) |  | 230713 | 229476 |
| Fertitta Entertainment LLC/NV Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.1657% 1/29/2029 (c)(d)(k) |  | 373067 | 372563 |
| Hilton Worldwide Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.7043% 11/8/2030 (c)(d)(k) |  | 934016 | 937341 |
| KFC Holding Co Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.827% 3/15/2028 (c)(d)(k) |  | 402281 | 402784 |
| MajorDrive Holdings IV LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.2631% 6/1/2028 (c)(d)(k) |  | 282859 | 252845 |
| Raising Cane's Restaurants LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 0% 11/3/2032 (c)(d)(k)(l) |  | 248826 | 248826 |
| Station Casinos LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.9157% 3/14/2031 (c)(d)(k) |  | 93111 | 93181 |
| Tacala Investment Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 0% 1/31/2031 (c)(d)(k)(l) |  | 392458 | 394036 |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.102% 12/30/2026 (c)(d)(k) |  | 127290 | 122304 |
| Voyager Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.75%, 0% 7/1/2032 (c)(d)(k)(l) |  | 381503 | 381473 |
|  |  |  | 3636908 |
| Specialty Retail - 0.0% |  |  |  |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.8098% 6/6/2031 (c)(d)(k) |  | 139295 | 131053 |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.9598% 6/6/2031 (c)(d)(k) |  | 64831 | 64031 |
| Michaels Cos Inc/The 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 8.5131% 4/15/2028 (c)(d)(k) |  | 748355 | 716475 |
| Peer USA LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 6.1928% 9/29/2032 (c)(d)(k) |  | 367348 | 367730 |
| Wand NewCo 3 Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.4157% 1/30/2031 (c)(d)(k) |  | 63427 | 63420 |
|  |  |  | 1342709 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 8903860 |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Celsius Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3%, 6.9853% 4/1/2032 (c)(d)(k) |  | 140071 | 140771 |
| Naked Juice LLC Tranche EXCH FLSO FL20 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 7.3515% 1/24/2029 (c)(d)(k) |  | 385278 | 275201 |
| Naked Juice LLC Tranche EXCH FLTO FL30 PIK 1LN, term loan CME Term SOFR 1 month Index + 6%, 10.1015% 1/24/2030 (c)(d)(k) |  | 81092 | 30055 |
| Naked Juice LLC Tranche NEW $$ FLFO 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.5015% 1/24/2029 (c)(d)(k) |  | 1175629 | 1177686 |
| Primo Brands Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 6.2515% 3/31/2028 (c)(d)(k) |  | 46557 | 46636 |
|  |  |  | 1670349 |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| C&S Wholesale Grocers Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 9.0033% 9/20/2030 (c)(d)(k) |  | 605381 | 595543 |
| United Natural Foods Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.75%, 0% 5/1/2031 (c)(d)(k)(l) |  | 178522 | 179504 |
|  |  |  | 775047 |
| Personal Care Products - 0.0% |  |  |  |
| Opal US LLC Tranche B 1LN, term loan CME Term SOFR 6 month Index + 3%, 6.9023% 4/23/2032 (c)(d)(k) |  | 173204 | 174314 |
| TOTAL CONSUMER STAPLES |  |  | 2619710 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| CVR CHC LP Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.0015% 12/30/2027 (c)(d)(k) |  | 337119 | 337541 |
| New Fortress Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.5%, 9.5699% 10/30/2028 (c)(d)(k) |  | 328350 | 146490 |
|  |  |  | 484031 |
| Financials - 0.0% |  |  |  |
| Capital Markets - 0.0% |  |  |  |
| GC Ferry Acquisition I Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 0% 8/16/2032 (c)(d)(k)(l) |  | 122872 | 122625 |
| GC Ferry Acquisition I Inc Tranche B-DD 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 0% 8/16/2032 (c)(d)(k)(l) |  | 20978 | 20936 |
| Hightower Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 6.6506% 2/3/2032 (c)(d)(k) |  | 79800 | 79700 |
| Hudson River Trading LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 0% 3/18/2030 (c)(d)(k)(l) |  | 341196 | 342104 |
| Jane Street Group LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2%, 5.8224% 12/15/2031 (c)(d)(k) |  | 262006 | 259273 |
| Pegasus Merger Co Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 0% 11/17/2028 (c)(d)(k)(l) |  | 3025000 | 2956938 |
|  |  |  | 3781576 |
| Consumer Finance - 0.0% |  |  |  |
| Blackhawk Network Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 0% 3/12/2029 (c)(d)(k)(l) |  | 223972 | 224644 |
| Financial Services - 0.0% |  |  |  |
| Boost Newco Borrower LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2%, 6.0015% 1/31/2031 (c)(d)(k) |  | 212179 | 212497 |
| HDI Aerospace Intermediate Holding III Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 0% 2/11/2032 (c)(d)(k)(l) |  | 233825 | 233972 |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.4157% 7/31/2031 (c)(d)(k) |  | 173690 | 171435 |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.9157% 7/31/2031 (c)(d)(k) |  | 70000 | 69891 |
| WH Borrower LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.389% 2/20/2032 (c)(d)(k) |  | 259350 | 259553 |
|  |  |  | 947348 |
| Insurance - 0.0% |  |  |  |
| Acrisure LLC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.9157% 11/6/2030 (c)(d)(k) |  | 4963 | 4955 |
| AmWINS Group Inc 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 6.2515% 1/30/2032 (c)(d)(k) |  | 223212 | 223697 |
| Asurion LLC Tranche B10 1LN, term loan CME Term SOFR 1 month Index + 4%, 8.0157% 8/19/2028 (c)(d)(k) |  | 312446 | 311761 |
| Asurion LLC Tranche B4 2LN, term loan CME Term SOFR 1 month Index + 5.25%, 9.2802% 1/20/2029 (c)(d)(k) |  | 145017 | 135530 |
|  |  |  | 675943 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.0% |  |  |  |
| Blackstone Mortgage Trust Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 2.6536% 4/23/2026 (c)(d)(k) |  | 40337 | 40337 |
| TOTAL FINANCIALS |  |  | 5669848 |
| Health Care - 0.0% |  |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |  |
| Archimedes Debt Merger Sub LLC 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 0% 5/27/2032 (c)(d)(k)(l) |  | 172027 | 170823 |
| Bausch + Lomb Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.1657% 1/15/2031 (c)(d)(k) |  | 438900 | 441314 |
| QuidelOrtho Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 8.0015% 8/23/2032 (c)(d)(k) |  | 510815 | 508102 |
|  |  |  | 1120239 |
| Health Care Providers & Services - 0.0% |  |  |  |
| Cano Health LLC Tranche INITIAL EXCHANGE TERM LOANS 1LN, term loan CME Term SOFR 3 month Index + 10%, 14.0015% 6/28/2029 (c)(d)(i)(k) |  | 60143 | 46911 |
| Heartland Dental LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.6657% 8/25/2032 (c)(d)(k) |  | 349420 | 350657 |
| ModivCare Inc 1LN, term loan CME Term SOFR 1 month Index + 7%, 11.006% 2/22/2026 (c)(d)(i)(k) |  | 271963 | 263805 |
| ModivCare Inc 1LN, term loan CME Term SOFR 3 month Index + 7.5%, 0% 1/12/2026 (c)(d)(k)(l) |  | 426537 | 174880 |
| ModivCare Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 6.75%, 10.7515% 7/1/2031 (c)(d)(k) |  | 603176 | 247302 |
| Pediatric Associates Holding Co LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 0% 12/29/2028 (c)(d)(k)(l) |  | 103025 | 100034 |
| Star Parent Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 0% 9/27/2030 (c)(d)(k)(l) |  | 81471 | 81565 |
| TTF Lower Intermediate LLC 1LN, term loan CME Term SOFR 6 month Index + 3.75%, 7.7935% 7/18/2031 (c)(d)(k) |  | 409894 | 343287 |
|  |  |  | 1608441 |
| Pharmaceuticals - 0.0% |  |  |  |
| 1261229 BC Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 6.25%, 10.1657% 10/8/2030 (c)(d)(k) |  | 219450 | 216487 |
| Jazz Financing Lux Sarl Tranche B2 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 6.1657% 5/5/2028 (c)(d)(k) |  | 223999 | 224808 |
|  |  |  | 441295 |
| TOTAL HEALTH CARE |  |  | 3169975 |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| TransDigm Group Inc Tranche M 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.5015% 8/19/2032 (c)(d)(k) |  | 349518 | 350203 |
| TransDigm Inc Tranche I 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 0% 8/24/2028 (c)(d)(k)(l) |  | 73153 | 73225 |
| TransDigm Inc Tranche J 1LN, term loan CME Term SOFR 3 month Index + 2.5%, 6.5015% 2/28/2031 (c)(d)(k) |  | 179686 | 179939 |
|  |  |  | 603367 |
| Air Freight & Logistics - 0.0% |  |  |  |
| Rand Parent LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3%, 7.0015% 3/18/2030 (c)(d)(k) |  | 64837 | 64864 |
| Commercial Services & Supplies - 0.0% |  |  |  |
| ABG Intermediate Holdings 2 LLC Tranche B1 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 6.1657% 12/21/2028 (c)(d)(k) |  | 173397 | 173624 |
| Action Environmental Group Inc/The Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 0% 10/24/2030 (c)(d)(k)(l) |  | 143364 | 143275 |
| Kelso Industries LLC 1LN, term loan CME Term SOFR 1 month Index + 5.75%, 0% 12/30/2029 (c)(d)(k)(l) |  | 198420 | 197924 |
| Kelso Industries LLC Tranche DD 1LN, term loan CME Term SOFR 1 month Index + 5.75%, 0% 12/30/2029 (c)(d)(k)(l) |  | 18064 | 18019 |
|  |  |  | 532842 |
| Ground Transportation - 0.0% |  |  |  |
| Genesee & Wyoming Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 1.75%, 5.7515% 4/10/2031 (c)(d)(k) |  | 242550 | 242121 |
| Machinery - 0.0% |  |  |  |
| Beach Acquisition Bidco LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.3084% 9/13/2032 (c)(d)(k) |  | 20000 | 20117 |
| Cleanova US Holdings LLC 1LN, term loan CME Term SOFR 1 month Index + 4.75%, 0% 6/14/2032 (c)(d)(k)(l) |  | 122555 | 122555 |
| Oregon Tool Lux LP 2LN, term loan CME Term SOFR 3 month Index + 4%, 0% 10/15/2029 (c)(d)(k)(l) |  | 311521 | 227152 |
|  |  |  | 369824 |
| Marine Transportation - 0.0% |  |  |  |
| Pelican Products Inc 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 9.4091% 12/29/2028 (c)(d)(k) |  | 394605 | 350709 |
| Passenger Airlines - 0.0% |  |  |  |
| SkyMiles IP Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.5%, 5.3844% 10/20/2028 (c)(d)(k) |  | 373574 | 375035 |
| Vista Management Holding Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 7.7353% 4/1/2031 (c)(d)(k) |  | 9900 | 9967 |
|  |  |  | 385002 |
| Professional Services - 0.0% |  |  |  |
| Cast & Crew LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.6657% 12/29/2028 (c)(d)(k) |  | 84260 | 56445 |
| DTI Holdco Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 0% 4/26/2029 (c)(d)(k)(l) |  | 102827 | 95772 |
| Ingenovis Health Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 8.7105% 3/6/2028 (c)(d)(k) |  | 111086 | 34992 |
| Ingenovis Health Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 8.5489% 3/6/2028 (c)(d)(k) |  | 181152 | 55818 |
|  |  |  | 243027 |
| TOTAL INDUSTRIALS |  |  | 2791756 |
| Information Technology - 0.0% |  |  |  |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |  |
| Lsf12 Crown US Commercial Bidco LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 0% 12/2/2031 (c)(d)(k)(l) |  | 105842 | 105842 |
| TCP Sunbelt Acquisition Co Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 8.0724% 10/24/2031 (c)(d)(k) |  | 173688 | 173470 |
|  |  |  | 279312 |
| IT Services - 0.0% |  |  |  |
| Arches Buyer Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.2657% 12/6/2027 (c)(d)(k) |  | 107295 | 107422 |
| Constant Contact Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.1662% 2/10/2028 (c)(d)(k) |  | 197766 | 188938 |
| Peraton Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.6904% 2/1/2028 (c)(d)(k) |  | 297259 | 260262 |
| Plano HoldCo Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.5%, 7.5015% 10/2/2031 (c)(d)(k) |  | 74625 | 72479 |
| Sabre GLBL Inc Tranche B-1 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 0% 12/17/2027 (c)(d)(k)(l) |  | 23320 | 22640 |
| Sabre GLBL Inc Tranche B-2 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 8.0697% 12/17/2027 (c)(d)(k) |  | 15617 | 15161 |
| Sabre GLBL Inc Tranche B1 1LN, term loan CME Term SOFR 1 month Index + 6%, 0% 11/15/2029 (c)(d)(k)(l) |  | 92688 | 84038 |
| X Corp 1LN, term loan 9.5% 10/26/2029 (k) |  | 458045 | 453657 |
| X Corp Tranche B1 1LN, term loan CME Term SOFR 3 month Index + 6.5%, 10.4475% 10/26/2029 (c)(d)(k) |  | 660770 | 642929 |
|  |  |  | 1847526 |
| Software - 0.0% |  |  |  |
| Ascend Learning LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.9157% 12/11/2028 (c)(d)(k) |  | 253737 | 253679 |
| Barracuda Networks Inc 1LN, term loan CME Term SOFR 3 month Index + 4%, 0% 8/15/2029 (c)(d)(k)(l) |  | 111153 | 93672 |
| EagleView Technology Corp 1LN, term loan CME Term SOFR 3 month Index + 6.5%, 0% 8/14/2028 (c)(d)(k)(l) |  | 271061 | 263862 |
| Genesys Cloud Services Holdings II LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.4157% 1/30/2032 (c)(d)(k) |  | 121902 | 119997 |
| McAfee Corp 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.9157% 3/1/2029 (c)(d)(k) |  | 44669 | 41167 |
| MH Sub I LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.2515% 5/3/2028 (c)(d)(k) |  | 489883 | 441673 |
| Modena Buyer LLC 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 8.0904% 7/1/2031 (c)(d)(k) |  | 74134 | 72570 |
| Polaris Newco LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.102% 6/2/2028 (c)(d)(k) |  | 203796 | 191776 |
| Project Alpha Intermediate Holding Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 7.2515% 10/26/2030 (c)(d)(k) |  | 458134 | 457466 |
| Proofpoint Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 0% 8/31/2028 (c)(d)(k)(l) |  | 155000 | 155595 |
| Proofpoint Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.9157% 8/31/2028 (c)(d)(k) |  | 193562 | 194305 |
| Renaissance Holdings Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9157% 4/5/2030 (c)(d)(k) |  | 561335 | 484995 |
| X.AI LLC 1LN, term loan 12.5% 6/28/2030 (k) |  | 49963 | 51337 |
| X.AI LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 7.25%, 11.1219% 6/28/2030 (c)(d)(k) |  | 24938 | 24078 |
|  |  |  | 2846172 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |  |
| Xerox Corp 1LN, term loan CME Term SOFR 1 month Index + 4%, 0% 11/19/2029 (c)(d)(k)(l) |  | 652556 | 589036 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 5562046 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Chemours Co/The Tranche B3 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.4157% 10/15/2032 (c)(d)(k) |  | 160000 | 154400 |
| Herens US Holdco Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.925%, 8.0265% 7/3/2028 (c)(d)(k) |  | 193107 | 171419 |
| Hexion Holdings Corp 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.9598% 3/15/2029 (c)(d)(k) |  | 193446 | 188045 |
| INEOS US Petrochem LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.2657% 4/2/2029 (c)(d)(k) |  | 144570 | 110379 |
| M2S Group Intermediate Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 8.5904% 8/25/2031 (c)(d)(k) |  | 270030 | 266036 |
| Technimark Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 0% 4/14/2031 (c)(d)(k)(l) |  | 568702 | 557090 |
| Tronox Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.5015% 9/30/2031 (c)(d)(k) |  | 165000 | 122887 |
|  |  |  | 1570256 |
| Containers & Packaging - 0.0% |  |  |  |
| Clydesdale Acquisition Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 3.175%, 7.0907% 4/13/2029 (c)(d)(k) |  | 100000 | 99575 |
| TOTAL MATERIALS |  |  | 1669831 |
| Real Estate - 0.0% |  |  |  |
| Health Care REITs - 0.0% |  |  |  |
| Healthpeak OP LLC Tranche DD 1LN, term loan CME Term SOFR 1 month Index + 0.85%, 0% 2/22/2027 (c)(d)(i)(k)(l) |  | 225641 | 222821 |
| Healthpeak OP LLC Tranche DD 1LN, term loan CME Term SOFR 1 month Index + 0.85%, 0% 8/20/2027 (c)(d)(i)(k)(l) |  | 225641 | 222820 |
|  |  |  | 445641 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Edgewater Generation LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 0% 8/1/2030 (c)(d)(k)(l) |  | 54547 | 54720 |
| NRG Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 1.75%, 5.593% 4/16/2031 (c)(d)(k) |  | 19949 | 19974 |
| Vistra Operations Co LLC Tranche B-3 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.6657% 12/20/2030 (c)(d)(k) |  | 414661 | 416259 |
| WEC US Holdings Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.984% 1/27/2031 (c)(d)(k) |  | 183517 | 183679 |
|  |  |  | 674632 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Alpha Generation LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.9157% 9/30/2031 (c)(d)(k) |  | 426743 | 427366 |
| Calpine Corp Tranche B10 1LN, term loan CME Term SOFR 1 month Index + 2%, 0% 1/31/2031 (c)(d)(k)(l) |  | 362353 | 362045 |
| Calpine Corp Tranche B5 1LN, term loan CME Term SOFR 1 month Index + 2%, 0% 2/15/2032 (c)(d)(k)(l) |  | 330486 | 330228 |
| Natgasoline LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.5015% 3/29/2030 (c)(d)(k) |  | 67126 | 67406 |
|  |  |  | 1187045 |
| TOTAL UTILITIES |  |  | 1861677 |
| TOTAL UNITED STATES |  |  | 36639126 |
| <br> **TOTAL BANK LOAN OBLIGATIONS**<br> (Cost $41,520,316) |  |  | <br> **40455251** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Capital One NA 4.65% 9/13/2028  | 500000 | 507567 |
| Capital One NA USD SOFR Spread-Adj ICE Swap Rate 5Y + 1.73%, 5.974% 8/9/2028 (c)(d) | 3503000 | 3624810 |
| Regions Bank/Birmingham AL 6.45% 6/26/2037  | 2533000 | 2767562 |
| <br> **TOTAL BANK NOTES**<br> (Cost $6,381,414) |  | <br> **6899939** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.4%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.4%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.4%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.4%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BERMUDA - 0.0%  |  |  |  |
| Bellemeade Re Ltd Series 2024-1 Class M1A, U.S. 30-Day Avg. SOFR Index + 2.15%, 6.2218% 8/25/2034 (b)(c)(d) |  | 1713686 | 1717256 |
| IRELAND - 0.0%  |  |  |  |
| Kinbane DAC Series 2025-RPL2A Class A, 1 month EURIBOR + 1.1%, 2.99% 8/24/2075 (b)(c)(d) | EUR | 2300000 | 2665352 |
| KINBN Series 2024-RPL2A Class A, 1 month EURIBOR + 1.1%, 2.99% 1/24/2063 (b)(c) | EUR | 2000759 | 2320458 |
| TOTAL IRELAND |  |  | 4985810 |
| ITALY - 0.0%  |  |  |  |
| Miltonia Mortgage Finance Srl Series 2024-1 Class B, 3 month EURIBOR + 1.3%, 3.365% 4/28/2062 (c)(e) | EUR | 100000 | 115896 |
| SPAIN - 0.0%  |  |  |  |
| Lugo Funding Dac Series 2024-1A Class A, 3 month EURIBOR + 0%, 3.059% 5/26/2066 (b)(c)(d) | EUR | 2799758 | 3253316 |
| UNITED KINGDOM - 0.0%  |  |  |  |
| Atlas Funding PLC Series 2025-2 Class E, SONIA Overnight Deposit Rates SWAP + 3.07%, 7.0427% 7/20/2067 (c)(e) | GBP | 100000 | 132195 |
| Atlas Funding PLC Series 2025-2 Class X1, SONIA Overnight Deposit Rates SWAP + 2.97%, 6.9427% 7/20/2067 (c)(d)(e) | GBP | 108000 | 142917 |
| Bletchley Park Funding PLC Series 2025-1 Class D, SONIA Overnight Deposit Rates SWAP + 1.88%, 5.8496% 1/27/2070 (c)(d)(e) | GBP | 100000 | 133327 |
| Bletchley Park Funding PLC Series 2025-1 Class E, SONIA Overnight Deposit Rates SWAP + 3.38%, 7.3496% 1/27/2070 (c)(d)(e) | GBP | 100000 | 133143 |
| Braccan Mortgage Funding Series 2024-1 Class X, SONIA Overnight Deposit Rates SWAP + 4.34%, 8.3121% 2/15/2067 (c)(d)(e) | GBP | 266218 | 354907 |
| Castell PLC Series 2025-1 Class X1, SONIA Overnight Deposit Rates SWAP + 4.15%, 8.1252% 1/27/2062 (c)(d)(e) | GBP | 69792 | 92450 |
| Cheshire PLC Series 2025-1 Class C, SONIA Overnight Deposit Rates SWAP + 1.35%, 5.3393% 6/28/2048 (c)(e) | GBP | 100000 | 132291 |
| East One PLC Series 2025-1 Class C, SONIA Overnight Deposit Rates SWAP + 1.9%, 5.8721% 2/25/2058 (c)(e) | GBP | 100000 | 132005 |
| Edenbrook Mortgage Funding PLC Series 2024-1 Class C, SONIA Overnight Deposit Rates SWAP + 1.95%, 5.9324% 3/22/2057 (c)(e) | GBP | 99231 | 133066 |
| Elstree PLC Series 2025-252-1ST Class E, SONIA Overnight Deposit Rates SWAP + 2.88%, 6.8504% 10/21/2065 (c)(e) | GBP | 100000 | 131146 |
| Meridian Funding PLC Series 2025-1 Class D, SONIA Overnight Deposit Rates SWAP + 2.05%, 6.0207% 2/20/2068 (c)(e) | GBP | 100000 | 131666 |
| Meridian Funding PLC Series 2025-1 Class E, SONIA Overnight Deposit Rates SWAP + 3.25%, 7.2207% 2/20/2068 (c)(e) | GBP | 100000 | 131506 |
| Towd Point Mortgage Trust Series 2024-GR6A Class A1, SONIA Overnight Deposit Rates SWAP + 0.925%, 4.9134% 7/20/2053 (b)(c) | GBP | 336062 | 445101 |
| TOTAL UNITED KINGDOM |  |  | 2225720 |
| UNITED STATES - 2.4%  |  |  |  |
| A&D Mortgage Trust Series 2023-NQM5 Class A1, 7.049% 11/25/2068 (b) |  | 278974 | 282539 |
| A&D Mortgage Trust Series 2024-NQM5 Class A1, 5.699% 11/25/2069 (b) |  | 587165 | 591316 |
| A&D Mortgage Trust Series 2024-NQM5 Class M1, 6.516% 11/25/2069 (b) |  | 638000 | 642697 |
| Abl 2025-Rtl1 Series 2025-RTL1 Class A1, 6.04% 6/25/2030 (b)(g) |  | 675000 | 680495 |
| ACRA Trust Series 2024-NQM1 Class A1, 5.608% 10/25/2064 (b) |  | 3561514 | 3588279 |
| Ajax Mortgage Loan Trust Series 2021-E Class A1, 1.74% 12/25/2060 (b) |  | 1233537 | 1104721 |
| Alternative Loan Trust Series 2004-22CB Class 1A1, 6% 10/25/2034  |  | 4942 | 5060 |
| Alternative Loan Trust Series 2004-J13 Class B, CME Term SOFR 1 month Index + 2.7395%, 6.6938% 2/25/2035 (c) |  | 869747 | 800131 |
| Alternative Loan Trust Series 2005-11CB Class 2A6, 5.5% 6/25/2025  |  | 18519 | 14986 |
| Alternative Loan Trust Series 2005-23CB Class A2, 5.5% 7/25/2035  |  | 3258 | 2644 |
| Alternative Loan Trust Series 2005-29CB Class A6, 5.5% 7/25/2035  |  | 77347 | 42923 |
| Alternative Loan Trust Series 2005-31 Class 1A1, CME Term SOFR 1 month Index + 0.6745%, 4.6288% 8/25/2035 (c) |  | 1058007 | 970387 |
| Alternative Loan Trust Series 2005-42CB Class A1, CME Term SOFR 1 month Index + 0.7945%, 4.7488% 10/25/2035 (c)(d) |  | 1090570 | 586112 |
| Alternative Loan Trust Series 2005-42CB Class A2, CME Term SOFR 1 month Index + 0.7645%, 4.7188% 10/25/2035 (c)(d) |  | 825773 | 442314 |
| Alternative Loan Trust Series 2005-54CB Class 1A11, 5.5% 11/25/2035  |  | 13096 | 9953 |
| Alternative Loan Trust Series 2005-55CW Class 2A3, CME Term SOFR 1 month Index + 0.4645%, 4.6224% 11/25/2035 (c)(d) |  | 135181 | 97281 |
| Alternative Loan Trust Series 2005-59 Class 1A1, CME Term SOFR 1 month Index + 0.66%, 4.7343% 11/20/2035 (c)(d) |  | 23914 | 22641 |
| Alternative Loan Trust Series 2005-86CB Class A11, 5.5% 2/25/2036  |  | 8260 | 4696 |
| Alternative Loan Trust Series 2006-28CB Class A14, 6.25% 10/25/2036  |  | 45713 | 21300 |
| Alternative Loan Trust Series 2006-J4 Class 2A1, 6% 7/25/2036  |  | 223464 | 123145 |
| Alternative Loan Trust Series 2006-OC1 Class 1A1, CME Term SOFR 1 month Index + 0.5745%, 4.5288% 3/25/2036 (c) |  | 39300 | 39986 |
| Alternative Loan Trust Series 2007-OA10 Class 2A1, CME Term SOFR 1 month Index + 0.6145%, 4.5688% 9/25/2047 (c)(d) |  | 4611922 | 658848 |
| Alternative Loan Trust Series 2007-OH3 Class A1B, CME Term SOFR 1 month Index + 0.5545%, 4.5088% 9/25/2047 (c) |  | 1469758 | 1332086 |
| Angel Oak Mortgage Trust Series 2021-6 Class A1, 1.458% 9/25/2066 (b) |  | 2755345 | 2367940 |
| Angel Oak Mortgage Trust Series 2023-1 Class A1, 4.75% 9/26/2067 (b) |  | 906823 | 903396 |
| Angel Oak Mortgage Trust Series 2023-7 Class A1, 4.8% 11/25/2067 (b) |  | 423557 | 422622 |
| Angel Oak Mortgage Trust Series 2024-1 Class A1, 5.21% 8/25/2068 (b) |  | 63351 | 63393 |
| Angel Oak Mortgage Trust Series 2024-10 Class A1, 5.348% 10/25/2069 (b) |  | 529465 | 532718 |
| Angel Oak Mortgage Trust Series 2024-11 Class A1, 5.7% 8/25/2069 (b) |  | 1009707 | 1019581 |
| Angel Oak Mortgage Trust Series 2024-4 Class A1, 6.197% 1/25/2069 (b) |  | 330575 | 335066 |
| Angel Oak Mortgage Trust Series 2025-1 Class A1, 5.691% 1/25/2070 (b) |  | 555678 | 560580 |
| Angel Oak Mortgage Trust Series 2025-2 Class A1, 5.637% 2/25/2070 (b) |  | 1323839 | 1334515 |
| Angel Oak Mortgage Trust Series 2025-8 Class A1, 5.41% 7/25/2070 (b)(g) |  | 619138 | 624188 |
| Angel Oak Mtg Tr 2024-8 Series 2024-8 Class A1, 5.338% 5/27/2069 (b) |  | 1887904 | 1897995 |
| Atlx Trust Series 2024-RPL2 Class A1, 3.85% 4/25/2063 (b) |  | 10631398 | 10399701 |
| ATXL Trust Series 2024-RPL1 Class A1, 3.85% 4/25/2064 (b) |  | 2677287 | 2621942 |
| Banc of America Alternative Loan Trust Series 2004-6 Class 4A1, 5% 5/25/2048  |  | 265 | 234 |
| Banc of America Alternative Loan Trust Series 2006-7 Class A4, 6.4983% 10/25/2036 (g) |  | 66286 | 17825 |
| Banc of America Funding Trust Series 2005-5 Class 3A5, 5.5% 8/25/2035  |  | 13240 | 13005 |
| Banc of America Funding Trust Series 2005-7 Class 30PO, 0% 11/25/2035 (i)(j) |  | 528 | 475 |
| Banc of America Funding Trust Series 2007-1 Class 1A6, 5.75% 1/25/2037  |  | 910 | 788 |
| Banc of America Funding Trust Series 2007-3 Class TA8, CME Term SOFR 1 month Index + 0.2945%, 4.2488% 4/25/2037 (c)(d) |  | 1180010 | 967121 |
| Banc of America Funding Trust Series 2015-R3 Class 1A2, 2.2461% 3/27/2036 (b)(d) |  | 291527 | 243623 |
| Bank of America Mortgage Trust Series 2003-8 Class 1CB1, 5.5% 10/25/2033  |  | 134912 | 135871 |
| Bank of America Mortgage Trust Series 2004-F Class 1A1, 5.8339% 7/25/2034 (d) |  | 1041 | 1005 |
| Barclays Mortgage Loan Trust Series 2025-NQM1 Class A1, 5.664% 1/25/2065 (b) |  | 2744277 | 2777849 |
| Barclays Mortgage Loan Trust Series 2025-NQM3 Class B1, 7.6054% 5/25/2065 (b)(d) |  | 111000 | 112967 |
| BCAP LLC Trust Series 2010-RR4 Class 31A6, 5.9529% 1/26/2037 (b)(d) |  | 2484195 | 1887928 |
| Bear Stearns Alt-A Trust Series 2007-1 Class 21A1, 4.7411% 1/25/2047 (d) |  | 179148 | 86558 |
| Bear Stearns ARM Trust Series 2003-7 Class 3A, 6.8635% 10/25/2033 (d) |  | 242 | 243 |
| Bear Stearns Asset Backed Securities I Trust Series 2006-AC2 Class 1A1, CME Term SOFR 1 month Index + 0.4645%, 4.4188% 3/25/2036 (c)(d) |  | 122874 | 30543 |
| Bear Stearns Asset Backed Securities I Trust Series 2006-IM1 Class A3, CME Term SOFR 1 month Index + 0.6745%, 4.6288% 4/25/2036 (c) |  | 573210 | 538862 |
| Bear Stearns Trust Series 2004-8 Class M2, CME Term SOFR 1 month Index + 1.8395%, 5.7938% 9/25/2034 (c) |  | 986779 | 967499 |
| Binom Securitization Trust Series 2022-INV1 Class A1, 4.441% 8/25/2057 (b) |  | 714390 | 706124 |
| Binom Securitization Trust Series 2022-RPL1 Class A1, 3% 2/25/2061 (b) |  | 3312795 | 3118256 |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (b)(d) |  | 1616576 | 1632081 |
| BRAVO Residential Funding Trust 2025-NQM4 Series 2025-NQM4 Class A2, 5.816% 2/25/2065 (b)(d) |  | 6722436 | 6785377 |
| Bravo Residential Funding Trust 2025-Nqm6 Series 2025-NQM6 Class A1, 5.333% 6/25/2065 (b) |  | 3397442 | 3422797 |
| Bravo Residential Funding Trust Series 2021-NQM1 Class B1, 3.172% 2/25/2049 (b) |  | 491388 | 433064 |
| Bravo Residential Funding Trust Series 2022-RPL1 Class A1, 2.75% 9/25/2061 (b) |  | 5896156 | 5470623 |
| Bravo Residential Funding Trust Series 2023-NQM6 Class A2, 6.956% 9/25/2063 (b) |  | 643256 | 648555 |
| Bravo Residential Funding Trust Series 2023-NQM6 Class B1, 7.9782% 9/25/2063 (b)(d) |  | 231000 | 232442 |
| BRAVO Residential Funding Trust Series 2024-NQM1 Class B1, 8.042% 12/1/2063 (b) |  | 100000 | 101374 |
| Bravo Residential Funding Trust Series 2024-NQM3 Class B1, 8.1% 3/25/2064 (b) |  | 150000 | 152557 |
| Bravo Residential Funding Trust Series 2025-NQM2 Class A1, 5.678% 11/25/2064 (b)(d) |  | 4443580 | 4486467 |
| Bravo Residential Funding Trust Series 2025-NQM2 Class A1, 5.79% 6/25/2070 (b)(d) |  | 478658 | 483851 |
| CAFL Issuer LLC Series 2024-RTL1 Class A1, 6.749% 11/28/2031 (b)(g) |  | 1307000 | 1318458 |
| Cascade MH Asset Trust Series 2022-MH1 Class M, 4.25% 8/25/2054 (b)(g) |  | 401577 | 326402 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (b)(d) |  | 1433038 | 1415054 |
| CFMT LLC Series 2024-HB14 Class M3, 3% 6/25/2034 (b)(d) |  | 104000 | 99460 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (b)(d) |  | 705642 | 702644 |
| CFMT LLC Series 2024-HB15 Class M2, 4% 8/25/2034 (b) |  | 121000 | 118037 |
| CFMT LLC Series 2024-R1 Class A1, 4% 10/25/2054 (b) |  | 275861 | 271707 |
| CFMT LLC Series 2024-R1 Class A2, 4% 10/25/2054 (b) |  | 150000 | 144288 |
| Chase Home Lending Mortgage Trust Series 2024-7 Class A11, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.3718% 6/25/2055 (b)(c)(d) |  | 3737072 | 3749117 |
| Chase Home Lending Mortgage Trust Series 2024-RPL2 Class A1A, 3.25% 8/25/2064 (b)(d) |  | 3491542 | 3155779 |
| Chase Home Lending Mortgage Trust Series 2024-RPL3 Class A1A, 3.25% 9/25/2064 (b) |  | 1884456 | 1705343 |
| Chase Home Lending Mortgage Trust Series 2024-RPL4 Class A1A, 3.375% 12/25/2064 (b) |  | 10236508 | 9334947 |
| Chase Mortgage Finance Trust Series Series 2007-A1 Class 3A1, 5.7204% 2/25/2037 (d) |  | 298237 | 288749 |
| Chase Mortgage Finance Trust Series Series 2007-A2 Class 2A1, 6.08% 6/25/2035 (d) |  | 5322 | 5232 |
| Chase Mortgage Finance Trust Series Series 2007-S5 Class 1A10, 6% 7/25/2037  |  | 2467335 | 1042708 |
| CHL Mortgage Pass-Through Trust Series 2006-17 Class A6, 6% 12/25/2036  |  | 14022 | 5934 |
| CHL Mortgage Pass-Through Trust Series 2007-16 Class A1, 6.5% 10/25/2037  |  | 213988 | 83909 |
| CHL Mortgage Pass-Through Trust Series 2007-3 Class A17, 6% 4/25/2037  |  | 962615 | 433318 |
| CHL Mortgage Pass-Through Trust Series 2007-4 Class 1A47, 6% 5/25/2037  |  | 733883 | 310202 |
| CHL Mortgage Pass-Through Trust Series 2007-8 Class 1A12, 5.875% 1/25/2038  |  | 844310 | 339314 |
| CHL Mortgage Pass-Through Trust Series 2007-8 Class 1A24, 6% 1/25/2038  |  | 261187 | 107200 |
| CHL Mortgage Pass-Through Trust Series 2007-9 Class A1, 5.75% 7/25/2037  |  | 52572 | 23589 |
| CHL Mortgage Pass-Through Trust Series 2007-9 Class A11, 5.75% 7/25/2037  |  | 28756 | 12902 |
| CHL Mortgage Pass-Through Trust Series 2007-J1 Class 2A1, 6% 2/25/2037  |  | 279080 | 97348 |
| CIM Trust Series 2021-INV1 Class A8, 2.5% 7/1/2051 (b) |  | 4193135 | 3782796 |
| CIM Trust Series 2021-R1 Class A2, 2.4% 8/25/2056 (b) |  | 3378432 | 3140638 |
| Cim Trust Series 2021-R3 Class A1A, 1.951% 6/25/2057 (b) |  | 885200 | 824546 |
| CIM Trust Series 2021-R4 Class A1A, 2% 5/1/2061 (b) |  | 4722828 | 4401287 |
| CIM Trust Series 2021-R5 Class A1A, 2% 8/25/2061 (b)(d) |  | 4948161 | 4427257 |
| CIM Trust Series 2024-R1 Class A1, 4.75% 6/25/2064 (b) |  | 7157686 | 7193887 |
| CIM Trust Series 2025-I1 Class A1, 5.655% 10/25/2069 (b) |  | 4374789 | 4424684 |
| CIM Trust Series 2025-I1 Class M1, 6.441% 10/25/2069 (b)(d) |  | 690000 | 701207 |
| CIM Trust Series 2025-R1 Class A1, 5% 2/25/2099 (b) |  | 4935991 | 4912893 |
| Citigroup Mortgage Loan Trust Series 2004-HYB4 Class AA, CME Term SOFR 1 month Index + 0.4445%, 4.3988% 12/25/2034 (c)(d) |  | 426 | 402 |
| Citigroup Mortgage Loan Trust Series 2004-UST1 Class A3, 6.4093% 8/25/2034 (d) |  | 687 | 666 |
| Citigroup Mortgage Loan Trust Series 2005-9 Class 22A1, 6% 11/25/2035  |  | 761957 | 735216 |
| Citigroup Mortgage Loan Trust Series 2007-6 Class 2A1, CME Term SOFR 1 month Index + 0.6145%, 4.5688% 5/25/2037 (c)(d) |  | 66121 | 63771 |
| Citigroup Mortgage Loan Trust Series 2009-12 Class 5A2, 4.3155% 7/25/2037 (b)(d) |  | 355468 | 158872 |
| Citigroup Mortgage Loan Trust Series 2024-1 Class A11, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.4218% 7/25/2054 (b)(c)(d) |  | 4067498 | 4081417 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class A1, 4.1% 2/25/2063 (b) |  | 6733162 | 6499908 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class A2, 4.2294% 2/25/2063 (b)(d) |  | 593449 | 533064 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class B1, 4.2294% 2/25/2063 (b)(d) |  | 179547 | 140938 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class B2, 0% 2/25/2063 (b)(d) |  | 64822 | 48273 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class B3, 0% 2/25/2063 (b)(d)(j) |  | 164547 | 22047 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class B4, 0% 2/25/2063 (b)(d)(j) |  | 298036 | 26672 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class M1, 4.2294% 2/25/2063 (b)(d) |  | 398943 | 342210 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class M2, 4.2294% 2/25/2063 (b)(d) |  | 304204 | 248990 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class SA, 0% 2/25/2063 (b)(d)(i) |  | 8501 | 8246 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class X, 0% 2/25/2063 (b)(d)(h)(i) |  | 8736709 | 5241 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class A1, 4.0195% 1/25/2064 (b)(d) |  | 8716998 | 8272925 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class A2, 4.0195% 1/25/2064 (b)(d) |  | 404415 | 308253 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class B1, 4.0195% 1/25/2064 (b)(d) |  | 161766 | 98900 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class B2, 4.0195% 1/25/2064 (b)(d) |  | 102463 | 54716 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class B3, 4.0201% 1/25/2064 (b)(d)(i) |  | 129413 | 59223 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class B4, 0% 1/25/2064 (b)(d)(i) |  | 123021 | 44194 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class M1, 4.0195% 1/25/2064 (b)(d) |  | 345112 | 249712 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class M2, 4.0195% 1/25/2064 (b)(d) |  | 215665 | 142752 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class SA, 0% 1/25/2064 (b)(d) |  | 18854 | 16685 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class X, 0% 1/25/2064 (b)(d)(i) |  | 10199277 | 1020 |
| CitiMortgage Alternative Loan Trust Series 2007-A6 Class 1A21, 5.5% 6/25/2037  |  | 129381 | 108037 |
| Colt Mortgage Loan Trust Series 2022-1 Class B2, 4.1476% 12/27/2066 (b)(d) |  | 152000 | 135372 |
| Colt 2023-1 Mortgage Loan Trust Series 2023-1 Class B1, 7.9936% 4/25/2068 (b)(d) |  | 288000 | 289400 |
| COLT 2023-2 Mortgage Loan Trust Series 2023-2 Class B1, 7.9442% 7/25/2068 (b)(d) |  | 1738000 | 1746008 |
| Colt 2023-3 Mortgage Loan Trust Series 2023-3 Class B1, 7.8067% 9/25/2068 (b)(d) |  | 1283000 | 1291447 |
| COLT Mortgage Loan Trust Series 2021-5 Class A1, 1.726% 11/26/2066 (b) |  | 325470 | 297256 |
| COLT Mortgage Loan Trust Series 2024-3 Class A1, 6.393% 6/25/2069 (b) |  | 1536675 | 1559055 |
| COLT Mortgage Loan Trust Series 2024-6 Class A1, 5.39% 11/25/2069 (b) |  | 760849 | 765665 |
| COLT Mortgage Loan Trust Series 2024-INV2 Class A1, 6.421% 5/25/2069 (b)(g) |  | 750366 | 761480 |
| COLT Mortgage Loan Trust Series 2025-11 Class A1, 5.053% 11/25/2070 (b)(d) |  | 520459 | 521979 |
| COLT Mortgage Loan Trust Series 2025-7 Class A1, 5.47% 6/25/2070 (b)(g) |  | 640413 | 645309 |
| COLT Mortgage Loan Trust Series 2025-8 Class A1, 5.48% 8/25/2070 (b) |  | 354727 | 357789 |
| Connecticut Avenue Securities Trust Series 2019-R07 Class 1B1, U.S. 30-Day Avg. SOFR Index + 3.5145%, 7.5863% 10/25/2039 (b)(c)(d) |  | 2781483 | 2835311 |
| Connecticut Avenue Securities Trust Series 2022-R03 Class 1B1, U.S. 30-Day Avg. SOFR Index + 6.25%, 10.3218% 3/25/2042 (b)(c)(d) |  | 130000 | 138636 |
| Connecticut Avenue Securities Trust Series 2022-R08 Class 1B1, U.S. 30-Day Avg. SOFR Index + 5.6%, 9.6718% 7/25/2042 (b)(c)(d) |  | 1500000 | 1602104 |
| Connecticut Avenue Securities Trust Series 2023-R01 Class 1M1, U.S. 30-Day Avg. SOFR Index + 2.4%, 6.4718% 12/25/2042 (b)(c)(d) |  | 591505 | 604070 |
| Connecticut Avenue Securities Trust Series 2023-R06 Class 1M2, U.S. 30-Day Avg. SOFR Index + 2.7%, 6.7718% 7/25/2043 (b)(c)(d) |  | 2500000 | 2570017 |
| Connecticut Avenue Securities Trust Series 2024-R05 Class 2M2, U.S. 30-Day Avg. SOFR Index + 1.7%, 5.7718% 7/25/2044 (b)(c)(d) |  | 250000 | 250303 |
| Countrywide Home Loans Inc Series 2003-J3 Class 2A1, 6.25% 12/25/2033  |  | 273 | 279 |
| Countrywide Home Loans Inc Series 2004-3 Class A25, 5.75% 4/25/2034  |  | 1503 | 1463 |
| Countrywide Home Loans Inc Series 2004-5 Class 2A9, 5.25% 5/25/2034  |  | 1640 | 1602 |
| Countrywide Home Loans Inc Series 2005-22 Class 2A1, 4.8857% 11/25/2035 (d) |  | 3664 | 3075 |
| Countrywide Home Loans Inc Series 2005-R1 Class 1AF2, CME Term SOFR 1 month Index + 0.4745%, 4.4288% 3/25/2035 (b)(c)(d) |  | 844583 | 822860 |
| Countrywide Home Loans Inc Series 2005-R2 Class 1AF1, CME Term SOFR 1 month Index + 0.34%, 4.4088% 6/25/2035 (b)(c)(d) |  | 32799 | 30786 |
| Countrywide Home Loans Inc Series 2006-OA2 Class A5, CME Term SOFR 1 month Index + 0.5745%, 4.5343% 5/20/2046 (c)(d) |  | 532945 | 469689 |
| Countrywide Home Loans Inc Series 2007-11 Class A1, 6% 8/25/2037  |  | 1420016 | 574118 |
| Credit Suisse Mortgage Trust Series 2021-RP11 Class PT, 3.728% 10/25/2061 (b)(d) |  | 6738887 | 5640985 |
| Cross Mortgage Trust Series 2023-H2 Class A1A, 7.135% 11/25/2068 (b)(g) |  | 70170 | 71131 |
| Cross Mortgage Trust Series 2024-H2 Class A1, 6.093% 4/25/2069 (b) |  | 640270 | 647088 |
| Cross Mortgage Trust Series 2024-H3 Class A1, 6.272% 6/25/2069 (b) |  | 835700 | 846848 |
| Cross Mortgage Trust Series 2024-H4 Class A1, 6.147% 7/25/2069 (b)(d) |  | 1703494 | 1726604 |
| Cross Mortgage Trust Series 2024-H7 Class A1, 5.585% 11/25/2069 (b)(d) |  | 1323574 | 1335810 |
| Cross Mortgage Trust Series 2025-H1 Class A1, 5.735% 2/25/2070 (b)(d) |  | 1426390 | 1440684 |
| Cross Mortgage Trust Series 2025-H1 Class M1, 6.48% 2/25/2070 (b) |  | 162000 | 164184 |
| Cross Mortgage Trust Series 2025-H4 Class A1, 5.596% 6/25/2070 (b)(d) |  | 2812280 | 2840289 |
| Cross Mortgage Trust Series 2025-H8 Class A1A, 5.003% 11/25/2070 (b) |  | 398287 | 399052 |
| CSMC 2021-RPL4 Trust Series 2021-RPL4 Class A1, 4.1392% 12/27/2060 (b)(d) |  | 3440917 | 3443864 |
| CSMC 2022-ATH3 Series 2022-ATH3 Class B1, 7.1% 8/25/2067 (b) |  | 173000 | 172207 |
| CSMC Mortgage-Backed Trust Series 2006-4 Class 4A1, 7% 5/25/2036  |  | 345738 | 86562 |
| CSMC Mortgage-Backed Trust Series 2006-6 Class 1A8, 6% 7/25/2036  |  | 1909941 | 843793 |
| CSMC Series 2014-10R Class 5A2, 7.4602% 5/27/2036 (b)(d)(i) |  | 196338 | 66118 |
| CSMC Trust Series 2005-10 Class 10A4, 6% 11/25/2035  |  | 5851 | 1357 |
| CSMC Trust Series 2005-10 Class 6A13, 5.5% 11/25/2035  |  | 5007 | 1723 |
| CSMC Trust Series 2005-12 Class 2A1, 6.5% 1/25/2036  |  | 1799611 | 930832 |
| CSMC Trust Series 2015-1R Class 6A1, CME Term SOFR 1 month Index + 0.3945%, 4.643% 5/27/2037 (b)(c)(d) |  | 37347 | 37192 |
| CSMC Trust Series 2015-6R Class 5A2, CME Term SOFR 1 month Index + 0.2945%, 3.2286% 3/27/2036 (b)(c)(d) |  | 56192 | 48402 |
| CSMC Trust Series 2021-NQM8 Class A1, 2.841% 10/25/2066 (b)(d) |  | 7572324 | 7016374 |
| CSMC Trust Series 2021-RP11 Class CERT, 3.7778% 10/27/2061 (b) |  | 285051 | 224727 |
| CSMC Trust Series 2021-RPL2 Class A1, 2% 1/25/2060 (b) |  | 5578084 | 4948102 |
| CSMC Trust Series 2022-NQM3 Class A1B, 4.265% 3/25/2067 (b) |  | 146000 | 147208 |
| CSMC Trust Series 2022-NQM6 Class PT, 8.6526% 12/25/2067 (b)(d) |  | 497405 | 495907 |
| CSMC Trust Series 2022-RPL1 Class A1, 4.15% 4/25/2061 (b)(d) |  | 5699127 | 5429915 |
| CSMC Trust Series 2022-RPL1 Class PT, 4.5662% 4/25/2061 (b)(d) |  | 7297671 | 6595113 |
| CSMCM Trust Series 2022-RPL1 Class CERT, 4.231% 4/25/2061 (b) |  | 306745 | 258488 |
| CWALT, Inc. Alternative Loan Trust Series 2006-OA17 Class 1A1D, CME Term SOFR 1 month Index + 0.4045%, 4.3643% 12/20/2046 (c) |  | 847878 | 774760 |
| CWALT, Inc. Alternative Loan Trust Series 2006-OC10 Class 2A3, CME Term SOFR 1 month Index + 0.46%, 4.5288% 11/25/2036 (c)(d) |  | 2195534 | 1975865 |
| CWALT, Inc. Alternative Loan Trust Series 2006-OC7 Class 2A3, CME Term SOFR 1 month Index + 0.6145%, 4.5688% 7/25/2046 (c) |  | 561343 | 517700 |
| Deephaven Residential Mortgage Trust Series 2022-2 Class M1, 4.3031% 3/25/2067 (b)(d) |  | 100000 | 90431 |
| Deephaven Residential Mortgage Trust Series 2022-3 Class M1, 5.2738% 7/25/2067 (b)(d) |  | 200000 | 199305 |
| Deephaven Residential Mortgage Trust Series 2024-1 Class A1, 5.735% 7/25/2069 (b) |  | 581386 | 586647 |
| Deephaven Residential Mortgage Trust Series 2025-INV1 Class A1, 5.087% 11/25/2060 (b)(d) |  | 458607 | 459283 |
| Deephaven Residential Mortgage Trust Series 2025-INV1 Class B1, 6.68% 11/25/2060 (b) |  | 100000 | 100320 |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1 Class CWA1, 6% 6/25/2035 (b)(d) |  | 60910 | 30765 |
| Easy Street Mortgage Loan Trust Series 2025-RTL2 Class A1, 5.606% 10/25/2040 (b)(d) |  | 173000 | 173467 |
| Efmt 2025-Nqm2 Series 2025-NQM2 Class A1, 5.596% 6/25/2070 (b) |  | 5394245 | 5443114 |
| EFMT Series 2024-NQM1 Class A1A, 5.708% 11/25/2069 (b) |  | 1086095 | 1097704 |
| EFMT Series 2025-INV1 Class A1, 5.626% 3/25/2070 (b)(d) |  | 356174 | 359442 |
| EFMT Series 2025-INV2 Class A1, 5.387% 5/26/2070 (b) |  | 1153350 | 1160744 |
| EFMT Series 2025-INV3 Class A1, 5.444% 7/25/2070 (b) |  | 4339785 | 4374981 |
| EFMT Series 2025-NQM5 Class A1, 5.033% 11/25/2070 (b)(d) |  | 380261 | 380336 |
| Ellington Financial Mortgage Trust Series 2022-4 Class B2, 5.8915% 9/25/2067 (b)(d) |  | 111000 | 108161 |
| Fannie Mae Guaranteed REMIC Series 1999-47 Class JZ, 8% 9/18/2029  |  | 612 | 626 |
| Fannie Mae Guaranteed REMIC Series 2000-8 Class Z, 7.5% 2/20/2030  |  | 704 | 737 |
| Fannie Mae Guaranteed REMIC Series 2001-14 Class Z, 6% 5/25/2031  |  | 427 | 438 |
| Fannie Mae Guaranteed REMIC Series 2001-16 Class Z, 6% 5/25/2031  |  | 465 | 478 |
| Fannie Mae Guaranteed REMIC Series 2001-36 Class ST, 8.3855% - U.S. 30-Day Avg. SOFR Index 4.3137% 11/25/2030 (d)(h) |  | 988 | 90 |
| Fannie Mae Guaranteed REMIC Series 2001-72 Class SB, 7.3855% - U.S. 30-Day Avg. SOFR Index 3.3137% 12/25/2031 (d)(h) |  | 2512 | 195 |
| Fannie Mae Guaranteed REMIC Series 2001-81 Class HE, 6.5% 1/25/2032  |  | 4591 | 4773 |
| Fannie Mae Guaranteed REMIC Series 2001-T12 Class IO, 0.4971% 8/25/2041 (d)(h) |  | 144196 | 808 |
| Fannie Mae Guaranteed REMIC Series 2001-W3 Class A, 7% 9/25/2041 (d) |  | 2336 | 2321 |
| Fannie Mae Guaranteed REMIC Series 2002-19 Class SC, U.S. 30-Day Avg. SOFR Index x 13.9747%, 6.7261% 3/17/2032 (c)(d) |  | 14 | 13 |
| Fannie Mae Guaranteed REMIC Series 2002-56 Class PE, 6% 9/25/2032  |  | 6161 | 6387 |
| Fannie Mae Guaranteed REMIC Series 2002-86 Class PG, 6% 12/25/2032  |  | 4400 | 4555 |
| Fannie Mae Guaranteed REMIC Series 2002-T16 Class A2, 7% 7/25/2042  |  | 8020 | 8436 |
| Fannie Mae Guaranteed REMIC Series 2002-T4 Class A2, 7% 12/25/2041  |  | 4336 | 4501 |
| Fannie Mae Guaranteed REMIC Series 2002-T4 Class A4, 9.5% 12/25/2041  |  | 7445 | 8181 |
| Fannie Mae Guaranteed REMIC Series 2002-T4 Class IO, 0.3986% 12/25/2041 (d)(h) |  | 365065 | 2157 |
| Fannie Mae Guaranteed REMIC Series 2002-W10 Class IO, 0.8994% 8/25/2042 (d)(h) |  | 30768 | 296 |
| Fannie Mae Guaranteed REMIC Series 2002-W7 Class IO1, 0.8627% 6/25/2029 (d)(h) |  | 54871 | 680 |
| Fannie Mae Guaranteed REMIC Series 2003-130 Class HZ, 6% 1/25/2034  |  | 110201 | 115461 |
| Fannie Mae Guaranteed REMIC Series 2003-47 Class PE, 5.75% 6/25/2033  |  | 3654 | 3774 |
| Fannie Mae Guaranteed REMIC Series 2003-64 Class SX, U.S. 30-Day Avg. SOFR Index x 13.4638%, 2.9425% 7/25/2033 (c)(d) |  | 232 | 232 |
| Fannie Mae Guaranteed REMIC Series 2003-W3 Class 2A5, 5.356% 6/25/2042  |  | 155 | 158 |
| Fannie Mae Guaranteed REMIC Series 2003-W6 Class 1A41, 5.398% 10/25/2042  |  | 1741 | 1755 |
| Fannie Mae Guaranteed REMIC Series 2004-72 Class F, U.S. 30-Day Avg. SOFR Index + 0.6145%, 4.6863% 9/25/2034 (c)(d) |  | 487 | 487 |
| Fannie Mae Guaranteed REMIC Series 2004-T1 Class 1A1, 6% 1/25/2044  |  | 2868 | 2937 |
| Fannie Mae Guaranteed REMIC Series 2004-T2 Class 1A3, 7% 11/25/2043  |  | 2164 | 2216 |
| Fannie Mae Guaranteed REMIC Series 2004-T2 Class 1A4, 7.5% 11/25/2043  |  | 2286 | 2317 |
| Fannie Mae Guaranteed REMIC Series 2004-T3 Class 1IO4, 0.6081% 2/25/2044 (d)(h) |  | 53397 | 274 |
| Fannie Mae Guaranteed REMIC Series 2004-W11 Class 1IO1, 0.3459% 5/25/2044 (d)(h) |  | 179187 | 1251 |
| Fannie Mae Guaranteed REMIC Series 2004-W2 Class 1A, 6% 2/25/2044  |  | 1748 | 1787 |
| Fannie Mae Guaranteed REMIC Series 2004-W2 Class 2A2, 7% 2/25/2044  |  | 416 | 432 |
| Fannie Mae Guaranteed REMIC Series 2004-W8 Class 3A, 7.5% 6/25/2044  |  | 833 | 861 |
| Fannie Mae Guaranteed REMIC Series 2004-W9 Class 1A3, 6.05% 2/25/2044  |  | 3839 | 3969 |
| Fannie Mae Guaranteed REMIC Series 2005-19 Class PB, 5.5% 3/25/2035  |  | 20820 | 21352 |
| Fannie Mae Guaranteed REMIC Series 2005-51 Class MO, 0% 6/25/2035 (j) |  | 469 | 350 |
| Fannie Mae Guaranteed REMIC Series 2005-53 Class CS, 6.5855% - U.S. 30-Day Avg. SOFR Index 2.5137% 6/25/2035 (d)(h) |  | 2716 | 193 |
| Fannie Mae Guaranteed REMIC Series 2005-72 Class WS, 6.6355% - U.S. 30-Day Avg. SOFR Index 2.5637% 8/25/2035 (d)(h) |  | 1042 | 71 |
| Fannie Mae Guaranteed REMIC Series 2005-79 Class ZC, 5.9% 9/25/2035  |  | 117040 | 118792 |
| Fannie Mae Guaranteed REMIC Series 2005-84 Class XM, 5.75% 10/25/2035  |  | 627 | 650 |
| Fannie Mae Guaranteed REMIC Series 2005-W4 Class 1A1, 6% 8/25/2045  |  | 1600 | 1645 |
| Fannie Mae Guaranteed REMIC Series 2006-20 Class IB, 6.4755% - U.S. 30-Day Avg. SOFR Index 2.4037% 4/25/2036 (d)(h) |  | 2586 | 250 |
| Fannie Mae Guaranteed REMIC Series 2006-27 Class OB, 0% 4/25/2036 (j) |  | 11137 | 9364 |
| Fannie Mae Guaranteed REMIC Series 2006-77 Class PC, 6.5% 8/25/2036  |  | 1180 | 1230 |
| Fannie Mae Guaranteed REMIC Series 2006-9 Class KZ, 6% 3/25/2036  |  | 2658 | 2760 |
| Fannie Mae Guaranteed REMIC Series 2007-54 Class IB, 6.2955% - U.S. 30-Day Avg. SOFR Index 2.2237% 6/25/2037 (d)(h) |  | 43795 | 4038 |
| Fannie Mae Guaranteed REMIC Series 2007-71 Class GZ, 6% 7/25/2047  |  | 1574 | 1645 |
| Fannie Mae Guaranteed REMIC Series 2008-62 Class SM, 6.0855% - U.S. 30-Day Avg. SOFR Index 2.0137% 7/25/2038 (d)(h) |  | 8614 | 858 |
| Fannie Mae Guaranteed REMIC Series 2008-91 Class SI, 5.8855% - U.S. 30-Day Avg. SOFR Index 1.8137% 3/25/2038 (d)(h) |  | 4426 | 162 |
| Fannie Mae Guaranteed REMIC Series 2009-112 Class ST, 6.1355% - U.S. 30-Day Avg. SOFR Index 2.0637% 1/25/2040 (d)(h) |  | 4707 | 451 |
| Fannie Mae Guaranteed REMIC Series 2009-112 Class SW, 6.1355% - U.S. 30-Day Avg. SOFR Index 2.0637% 1/25/2040 (d)(h) |  | 3094 | 296 |
| Fannie Mae Guaranteed REMIC Series 2009-52 Class PI, 5% 7/25/2039 (h) |  | 2676 | 367 |
| Fannie Mae Guaranteed REMIC Series 2010-10 Class NT, 5% 2/25/2040  |  | 11409 | 11604 |
| Fannie Mae Guaranteed REMIC Series 2010-129 Class PZ, 4.5% 11/25/2040  |  | 36724 | 34760 |
| Fannie Mae Guaranteed REMIC Series 2010-135 Class ZA, 4.5% 12/25/2040  |  | 385201 | 371706 |
| Fannie Mae Guaranteed REMIC Series 2010-150 Class ZC, 4.75% 1/25/2041  |  | 481344 | 477076 |
| Fannie Mae Guaranteed REMIC Series 2010-70 Class SA, U.S. 30-Day Avg. SOFR Index x 91.2217%, 6% 4/25/2038 (c)(d)(h) |  | 9210 | 1739 |
| Fannie Mae Guaranteed REMIC Series 2011-126 Class KB, 4% 12/25/2041  |  | 144283 | 141595 |
| Fannie Mae Guaranteed REMIC Series 2011-19 Class ZY, 6.5% 7/25/2036  |  | 2202 | 2347 |
| Fannie Mae Guaranteed REMIC Series 2011-4 Class PZ, 5% 2/25/2041  |  | 204061 | 203440 |
| Fannie Mae Guaranteed REMIC Series 2012-100 Class WI, 3% 9/25/2027 (h) |  | 54455 | 940 |
| Fannie Mae Guaranteed REMIC Series 2012-148 Class IE, 3% 1/25/2033 (h) |  | 47998 | 3241 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class DA, 1.75% 1/25/2043  |  | 291396 | 272648 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class GA, 1.75% 6/25/2042  |  | 392299 | 368899 |
| Fannie Mae Guaranteed REMIC Series 2012-46 Class KI, 3.5% 5/25/2027 (h) |  | 2635 | 37 |
| Fannie Mae Guaranteed REMIC Series 2013-13 Class IK, 2.5% 3/25/2028 (h) |  | 20880 | 360 |
| Fannie Mae Guaranteed REMIC Series 2013-133 Class IB, 3% 4/25/2032 (h) |  | 332 | 0 |
| Fannie Mae Guaranteed REMIC Series 2013-134 Class SA, 5.9355% - U.S. 30-Day Avg. SOFR Index 1.8637% 1/25/2044 (d)(h) |  | 61773 | 7162 |
| Fannie Mae Guaranteed REMIC Series 2013-44 Class DJ, 1.85% 5/25/2033  |  | 3463431 | 3270904 |
| Fannie Mae Guaranteed REMIC Series 2015-42 Class IL, 6% 6/25/2045 (h) |  | 303188 | 42888 |
| Fannie Mae Guaranteed REMIC Series 2015-70 Class JC, 3% 10/25/2045  |  | 264589 | 254170 |
| Fannie Mae Guaranteed REMIC Series 2016-33 Class JA, 3% 7/25/2045  |  | 168600 | 161248 |
| Fannie Mae Guaranteed REMIC Series 2016-38, 3% 1/25/2046  |  | 137948 | 129610 |
| Fannie Mae Guaranteed REMIC Series 2017-30 Class AI, 5.5% 5/25/2047 (h) |  | 186642 | 25989 |
| Fannie Mae Guaranteed REMIC Series 2017-32 Class PA, 2.7% 5/25/2047  |  | 10265048 | 9466231 |
| Fannie Mae Guaranteed REMIC Series 2017-37 Class AB, 2.55% 9/25/2046  |  | 2000331 | 1849460 |
| Fannie Mae Guaranteed REMIC Series 2019-20 Class H, 3.5% 5/25/2049  |  | 155332 | 142469 |
| Fannie Mae Guaranteed REMIC Series 2019-51 Class AF, U.S. 30-Day Avg. SOFR Index + 0.5145%, 4.8699% 9/25/2049 (c)(d) |  | 624316 | 619987 |
| Fannie Mae Guaranteed REMIC Series 2020-46 Class KB, 1.25% 6/25/2050  |  | 5839738 | 4607863 |
| Fannie Mae Guaranteed REMIC Series 2021-45 Class DA, 3% 7/25/2051  |  | 334295 | 299255 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  |  | 196910 | 167377 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  |  | 209258 | 177873 |
| Fannie Mae Guaranteed REMIC Series 2021-77 Class CH, 1.5% 8/25/2050  |  | 242709 | 202992 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  |  | 172518 | 155035 |
| Fannie Mae Guaranteed REMIC Series 2021-95 Class BA, 2.5% 6/25/2049  |  | 2803888 | 2513433 |
| Fannie Mae Guaranteed REMIC Series 2021-95, 2.5% 9/25/2048  |  | 1856285 | 1673655 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  |  | 274019 | 246024 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  |  | 911922 | 855886 |
| Fannie Mae Guaranteed REMIC Series 2022-11 Class B, 3% 6/25/2049  |  | 777589 | 730454 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class HA, 3% 8/25/2046  |  | 592668 | 564566 |
| Fannie Mae Guaranteed REMIC Series 2022-18 Class DL, 3.25% 7/25/2046  |  | 1632827 | 1569778 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class D, 2% 2/25/2048  |  | 2665529 | 2414708 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  |  | 7254155 | 6570261 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  |  | 198596 | 178316 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  |  | 775288 | 766473 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class DA, 2.25% 11/25/2047  |  | 2724262 | 2474480 |
| Fannie Mae Guaranteed REMIC Series 2022-53 Class FG, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.8718% 8/25/2052 (c)(d) |  | 2671835 | 2650830 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FH, U.S. 30-Day Avg. SOFR Index + 0.7%, 4.7718% 9/25/2052 (c)(d) |  | 2968407 | 2935421 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FJ, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.8718% 9/25/2052 (c)(d) |  | 5654108 | 5609658 |
| Fannie Mae Guaranteed REMIC Series 2022-64 Class GF, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.8718% 10/25/2052 (c)(d) |  | 1884439 | 1871409 |
| Fannie Mae Guaranteed REMIC Series 2022-67 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.8718% 10/25/2052 (c)(d) |  | 6658943 | 6606530 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  |  | 1289822 | 1210885 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class E, 2.5% 11/25/2047  |  | 2669547 | 2453990 |
| Fannie Mae Guaranteed REMIC Series 2022-9 Class DJ, 3.25% 3/25/2049  |  | 917951 | 867787 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.5218% 11/25/2053 (c)(d) |  | 3645112 | 3681743 |
| Fannie Mae Guaranteed REMIC Series 2023-56 Class FC, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.5718% 11/25/2053 (c)(d) |  | 474517 | 479217 |
| Fannie Mae Guaranteed REMIC Series 2024-38 Class AF, U.S. 30-Day Avg. SOFR Index + 0.78%, 5.1354% 12/25/2047 (c)(d) |  | 1751350 | 1754689 |
| Fannie Mae Guaranteed REMIC Series 2024-38 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.1554% 1/25/2051 (c)(d) |  | 697814 | 699696 |
| Fannie Mae Guaranteed REMIC Series 2024-41 Class FB, U.S. 30-Day Avg. SOFR Index + 1.53%, 5.6018% 7/25/2054 (c)(d) |  | 1761470 | 1777452 |
| Fannie Mae Guaranteed REMIC Series 2024-54 Class FC, U.S. 30-Day Avg. SOFR Index + 0.97%, 5.0418% 8/25/2054 (c)(d) |  | 2467494 | 2475049 |
| Fannie Mae Guaranteed REMIC Series 2024-63 Class FH, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.1718% 9/25/2054 (c)(d) |  | 587385 | 589083 |
| Fannie Mae Guaranteed REMIC Series 2024-76 Class QF, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.1718% 11/25/2054 (c)(d) |  | 40804950 | 40812385 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.2718% 12/25/2054 (c)(d) |  | 6364159 | 6384298 |
| Fannie Mae Guaranteed REMIC Series 2024-93 Class FG, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.1718% 12/25/2054 (c)(d) |  | 1413014 | 1415962 |
| Fannie Mae Guaranteed REMIC Series 2024-95 Class FC, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.4718% 12/25/2054 (c)(d) |  | 172691 | 173671 |
| Fannie Mae Guaranteed REMIC Series 2024-96 Class FA, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.4718% 12/25/2054 (c)(d) |  | 843501 | 851753 |
| Fannie Mae Guaranteed REMIC Series 2025-4 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.2718% 12/25/2053 (c)(d) |  | 7982379 | 8019193 |
| Fannie Mae Guaranteed REMIC Series 2025-42 Class FA, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.5718% 6/25/2055 (c)(d) |  | 414063 | 417091 |
| Fannie Mae Guaranteed REMIC Series 2025-42 Class FE, U.S. 30-Day Avg. SOFR Index + 1.55%, 5.6218% 6/25/2055 (c)(d) |  | 757399 | 763566 |
| Fannie Mae Guaranteed REMIC Series 2025-63 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.4718% 8/25/2055 (c)(d) |  | 371415 | 373916 |
| Fannie Mae Guaranteed REMIC Series 2025-66 Class FK, U.S. 30-Day Avg. SOFR Index + 1.18%, 5.2518% 8/25/2055 (c)(d) |  | 7391019 | 7417834 |
| Fannie Mae Mortgage pass-thru certificates Series 1997-11 Class E, 7% 3/18/2027  |  | 18 | 18 |
| Fannie Mae Mortgage pass-thru certificates Series 1997-42 Class EG, 8% 7/18/2027  |  | 107 | 109 |
| Fannie Mae Mortgage pass-thru certificates Series 1997-63 Class ZA, 6.5% 9/18/2027  |  | 9 | 9 |
| Fannie Mae Mortgage pass-thru certificates Series 2002-T19 Class A1, 6.5% 7/25/2042  |  | 6531 | 6756 |
| Fannie Mae Mortgage pass-thru certificates Series 2003-22 Class Z, 6% 4/25/2033  |  | 3228 | 3325 |
| Fannie Mae Mortgage pass-thru certificates Series 2003-25 Class KP, 5% 4/25/2033  |  | 11956 | 12129 |
| Fannie Mae Mortgage pass-thru certificates Series 2003-W4 Class 2A, 5.0854% 10/25/2042 (d) |  | 1213 | 1231 |
| Fannie Mae Mortgage pass-thru certificates Series 2013-51 Class GI, 3% 10/25/2032 (h) |  | 171292 | 5690 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-56 Class AH, 2% 5/25/2045  |  | 1032344 | 979569 |
| Fannie Mae Mortgage pass-thru certificates Series 2022-R04 Class 1B1, U.S. 30-Day Avg. SOFR Index + 5.25%, 9.3218% 3/25/2042 (b)(c)(d) |  | 240000 | 252162 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.2718% 6/25/2054 (c)(d) |  | 2824371 | 2836999 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-1 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.2718% 2/25/2055 (c)(d) |  | 7875080 | 7907929 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-1 Class FX, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.4218% 2/25/2055 (c)(d) |  | 600729 | 604414 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-18 Class FH, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.4718% 8/25/2054 (c)(d) |  | 300163 | 301869 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-18 Class FM, U.S. 30-Day Avg. SOFR Index + 0.9%, 4.9718% 9/25/2054 (c)(d) |  | 8843613 | 8855402 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-18 Class MA, 0.5% 9/25/2054  |  | 6148417 | 5339585 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-2 Class FG, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.5218% 2/25/2055 (c)(d) |  | 1033202 | 1040164 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-33 Class FC, U.S. 30-Day Avg. SOFR Index + 1.6%, 5.6718% 8/25/2054 (c)(d) |  | 2442927 | 2463955 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-35 Class FJ, U.S. 30-Day Avg. SOFR Index + 1.6%, 5.6718% 5/25/2055 (c)(d) |  | 695326 | 700579 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.2718% 9/25/2054 (c)(d) |  | 1470451 | 1474874 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.4718% 2/25/2055 (c)(d) |  | 2133134 | 2147351 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.4718% 9/25/2054 (c)(d) |  | 2241469 | 2253300 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.2718% 2/25/2055 (c)(d) |  | 3101405 | 3114570 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.2218% 2/25/2055 (c)(d) |  | 1400130 | 1402450 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-9 Class FG, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.4218% 3/25/2055 (c)(d) |  | 308886 | 310574 |
| Fannie Mae Series 2007-10 Class Z, 6% 2/25/2037  |  | 462 | 480 |
| Fannie Mae Series 2007-109 Class YI, 6.3355% - U.S. 30-Day Avg. SOFR Index 2.2637% 12/25/2037 (d)(h) |  | 20867 | 2015 |
| Fannie Mae Series 2010-35 Class SB, 6.3055% - U.S. 30-Day Avg. SOFR Index 2.2337% 4/25/2040 (d)(h) |  | 4450 | 443 |
| Fannie Mae Series 2010-95 Class ZC, 5% 9/25/2040  |  | 996631 | 983743 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  |  | 2529939 | 2530594 |
| Fannie Mae Series 2022-9 Class BA, 3% 5/25/2048  |  | 468358 | 439593 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2001-313 Class 1, 0% 6/25/2031 (j) |  | 4754 | 4272 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-380 Class S36, 7.7855% - U.S. 30-Day Avg. SOFR Index 3.7137% 7/25/2037 (d)(h) |  | 1649 | 253 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-383 Class 68, 6.5% 9/25/2037 (h) |  | 990 | 210 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-383 Class 69, 6.5% 10/25/2037 (d)(h) |  | 1356 | 287 |
| First Frankin Mortgage Loan Trust Series 2004-8F Class 2A3, 6% 9/25/2034  |  | 374 | 380 |
| First Frankin Mortgage Loan Trust Series 2005-5F Class 8A1, CME Term SOFR 1 month Index + 0.6145%, 4.5688% 6/25/2035 (c)(d) |  | 203 | 196 |
| First Frankin Mortgage Loan Trust Series 2005-5F Class 8A3, CME Term SOFR 1 month Index + 0.6145%, 4.5688% 6/25/2035 (c)(d) |  | 118 | 114 |
| First Frankin Mortgage Loan Trust Series 2005-RP3 Class 2A1, 4.2845% 9/25/2035 (b)(d) |  | 343635 | 301658 |
| First Frankin Mortgage Loan Trust Series 2006-2F Class 3A6, 6% 2/25/2036  |  | 1538732 | 650195 |
| First Horizon Asset Securities Inc Series 2004-AA3 Class A1, 5.102% 9/25/2034 (d) |  | 731 | 733 |
| First Horizon Asset Securities Inc Series 2004-AR6 Class 2A1, 4.3419% 12/25/2034 (d) |  | 1036 | 1011 |
| First Horizon Asset Securities Inc Series 2005-AA12 Class 2A1, 4.933% 2/25/2036 (d) |  | 853 | 528 |
| Freddie Mac Gold Pool Series 1997-186 Class PO, 0% 8/1/2027 (j) |  | 356 | 344 |
| Freddie Mac Gold Pool Series 2012-262 Class 35, 3.5% 7/15/2042  |  | 40132 | 38513 |
| Freddie Mac Gold Pool Series 2012-279 Class 35, 3.5% 9/15/2042  |  | 10595 | 9915 |
| Freddie Mac Gold Pool Series 2014-323 Class 300, 3% 1/15/2044  |  | 39477 | 36002 |
| Freddie Mac Gold Pool Series 2014-334 Class 300, 3% 8/15/2044  |  | 39131 | 35794 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2036 Class PG, 6.5% 1/15/2028  |  | 332 | 337 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4386 Class AZ, 4.5% 11/15/2040  |  | 339717 | 335742 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class EA, 2.5% 8/25/2048  |  | 704610 | 633565 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  |  | 156984 | 140508 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5164 Class M, 2.5% 7/25/2048  |  | 718517 | 646328 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2148 Class ZA, 6% 4/15/2029  |  | 87 | 88 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2201 Class C, 8% 11/15/2029  |  | 132 | 136 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2293 Class ZA, 6% 3/15/2031  |  | 409 | 420 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2310 Class Z, 6% 4/15/2031  |  | 75 | 77 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2325 Class JO, 0% 6/15/2031 (j) |  | 519 | 466 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2330 Class PE, 6.5% 6/15/2031  |  | 1086 | 1136 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2410 Class QB, 6.25% 2/15/2032  |  | 2520 | 2600 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2427 Class GE, 6% 3/15/2032  |  | 5691 | 5881 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2430 Class WF, 6.5% 3/15/2032  |  | 3898 | 4070 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2466 Class DH, 6.5% 6/15/2032  |  | 422 | 442 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2530 Class SK, 7.9855% - U.S. 30-Day Avg. SOFR Index 3.8435% 6/15/2029 (d)(h) |  | 1751 | 102 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2534 Class SI, U.S. 30-Day Avg. SOFR Index x 20.7624%, 9.9931% 2/15/2032 (c)(d) |  | 323 | 373 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2543 Class YX, 6% 12/15/2032  |  | 2419 | 2509 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2557 Class HL, 5.3% 1/15/2033  |  | 1340 | 1366 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2586 Class IO, 6.5% 3/15/2033 (h) |  | 2813 | 422 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2594 Class IV, 7% 3/15/2032 (h) |  | 646 | 89 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2610 Class UI, 6.5% 5/15/2033 (h) |  | 1970 | 319 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2643 Class SA, U.S. 30-Day Avg. SOFR Index x 44.7559%, 17.8327% 3/15/2032 (c)(d) |  | 75 | 93 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2656 Class AC, 6% 8/15/2033  |  | 912 | 940 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2699 Class W, 5.5% 11/15/2033  |  | 2228 | 2290 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2733 Class SB, 7.907% - U.S. 30-Day Avg. SOFR Index 4.1792% 10/15/2033 (d) |  | 2643 | 2650 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2764 Class S, U.S. 30-Day Avg. SOFR Index x 13.4638%, 3.1088% 7/15/2033 (c)(d) |  | 309 | 303 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2845 Class QH, 5% 8/15/2034  |  | 1726 | 1756 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2912 Class EH, 5.5% 1/15/2035  |  | 9310 | 9603 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2933 Class ZM, 5.75% 2/15/2035  |  | 236692 | 241674 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2980 Class QB, 6.5% 5/15/2035  |  | 365 | 382 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2995 Class FT, U.S. 30-Day Avg. SOFR Index + 0.3645%, 4.5065% 5/15/2029 (c)(d) |  | 510 | 508 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class ZD, 5.5% 6/15/2035  |  | 140599 | 142791 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3184 Class YO, 0% 3/15/2036 (j) |  | 5472 | 4656 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3187 Class Z, 5% 7/15/2036  |  | 11007 | 11188 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3201 Class IN, 6.1355% - U.S. 30-Day Avg. SOFR Index 1.9019% 8/15/2036 (d)(h) |  | 2384 | 181 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3202 Class HI, 6.5355% - U.S. 30-Day Avg. SOFR Index 2.3935% 8/15/2036 (d)(h) |  | 8141 | 695 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3237 Class C, 5.5% 11/15/2036  |  | 177420 | 182497 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3274 Class B, 6% 2/15/2037  |  | 1330 | 1401 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3305 Class IW, 6.3355% - U.S. 30-Day Avg. SOFR Index 2.1935% 4/15/2037 (d)(h) |  | 3023 | 286 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-76 Class 2A, 2.2011% 10/25/2037 (d) |  | 5024 | 4644 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2008-3409 Class DB, 6% 1/15/2038  |  | 4128 | 4425 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2009-3546 Class A, 6.1013% 2/15/2039 (d) |  | 789 | 799 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2009-3592 Class BZ, 5% 10/15/2039  |  | 26586 | 27018 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2009-3605 Class NC, 5.5% 6/15/2037  |  | 6900 | 7157 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2009-3609 Class SA, 6.2255% - U.S. 30-Day Avg. SOFR Index 2.0835% 12/15/2039 (d)(h) |  | 4399 | 268 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2009-3610 Class CA, 4.5% 12/15/2039  |  | 2276 | 2276 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2010-3648 Class CY, 4.5% 3/15/2030  |  | 2890 | 2899 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2010-3653 Class HJ, 5% 4/15/2040  |  | 1059 | 1079 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2010-3677 Class PB, 4.5% 5/15/2040  |  | 14875 | 14913 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3855 Class AM, 6.5% 11/15/2036  |  | 1092 | 1129 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-3980 Class EP, 5% 1/15/2042  |  | 1171320 | 1209303 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4030 Class IL, 3.5% 4/15/2027 (h) |  | 439 | 4 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4060 Class TB, 2.5% 6/15/2027  |  | 34185 | 33769 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4135 Class AB, 1.75% 6/15/2042  |  | 297540 | 281266 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4146 Class KI, 3% 12/15/2032 (h) |  | 46179 | 3080 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4149 Class IO, 3% 1/15/2033 (h) |  | 110115 | 6927 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2014-4314 Class AI, 5% 3/15/2034 (h) |  | 11 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4427 Class LI, 3.5% 2/15/2034 (h) |  | 86589 | 2449 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4471 Class PA, 4% 12/15/2040  |  | 68711 | 68428 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4683 Class LM, 3% 5/15/2047  |  | 370649 | 359209 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-4765 Class PZ, 3% 1/15/2048  |  | 1892077 | 1545229 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-4796 Class CZ, 4% 5/15/2048  |  | 282468 | 272318 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-4830 Class WZ, 4% 9/15/2048  |  | 286208 | 275706 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-4960 Class PB, 1.5% 10/25/2049  |  | 1615923 | 1343654 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5001 Class A, 2% 1/25/2045  |  | 642654 | 608666 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5002 Class TJ, 2% 7/25/2050  |  | 1488756 | 1262111 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5018 Class LC, 3% 10/25/2040  |  | 364362 | 334694 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class TP, 2.5% 6/25/2049  |  | 713947 | 638403 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  |  | 996552 | 885787 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  |  | 196041 | 179679 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  |  | 1334715 | 1201748 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  |  | 720401 | 645557 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  |  | 623524 | 558704 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  |  | 685244 | 627660 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  |  | 522877 | 468407 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  |  | 232337 | 205552 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5196 Class ME, 1.75% 2/25/2052  |  | 2882952 | 2590156 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  |  | 522879 | 468407 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  |  | 519722 | 476437 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  |  | 2553371 | 2350281 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  |  | 349717 | 327125 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  |  | 557852 | 512016 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5209 Class EA, 3% 8/25/2050  |  | 1320238 | 1232940 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5209 Class EJ, 3% 8/25/2050  |  | 1320238 | 1232940 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5237 Class FP, U.S. 30-Day Avg. SOFR Index + 0.55%, 4.6218% 7/25/2052 (c)(d) |  | 408436 | 405283 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5250 Class FA, U.S. 30-Day Avg. SOFR Index + 0.67%, 4.7418% 8/25/2052 (c)(d) |  | 1270129 | 1250491 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5254 Class FG, U.S. 30-Day Avg. SOFR Index + 0.75%, 4.8218% 9/25/2052 (c)(d) |  | 2183667 | 2163454 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5255 Class FA, U.S. 30-Day Avg. SOFR Index + 0.7%, 4.7718% 9/25/2052 (c)(d) |  | 1399608 | 1376953 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5256 Class FA, U.S. 30-Day Avg. SOFR Index + 0.65%, 4.7218% 9/25/2052 (c)(d) |  | 670266 | 667050 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.1218% 8/25/2053 (c)(d) |  | 2709208 | 2711507 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5354 Class FC, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.5218% 10/25/2053 (c)(d) |  | 1459711 | 1476981 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.2718% 6/25/2054 (c)(d) |  | 1963160 | 1973688 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5426 Class AF, U.S. 30-Day Avg. SOFR Index + 0.9%, 5.2146% 3/15/2050 (c)(d) |  | 1950052 | 1944135 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5426 Class CF, U.S. 30-Day Avg. SOFR Index + 0.9%, 5.2146% 12/15/2050 (c)(d) |  | 1711739 | 1710145 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5442 Class FB, U.S. 30-Day Avg. SOFR Index + 0.97%, 5.0418% 8/25/2054 (c)(d) |  | 5294275 | 5313926 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5459 Class FD, U.S. 30-Day Avg. SOFR Index + 1%, 5.0718% 10/25/2054 (c)(d) |  | 1054738 | 1055281 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5473 Class BF, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.3718% 11/25/2054 (c)(d) |  | 846713 | 849568 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5476 Class FB, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.1718% 11/25/2054 (c)(d) |  | 8556006 | 8573948 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5479 Class FB, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.4718% 12/25/2054 (c)(d) |  | 352891 | 354990 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5495 Class AF, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.2218% 1/25/2055 (c)(d) |  | 2796838 | 2802595 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5498 Class FC, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.2218% 1/25/2055 (c)(d) |  | 4300596 | 4299486 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.2718% 2/25/2055 (c)(d) |  | 2422198 | 2433342 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class FW, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.4718% 2/25/2055 (c)(d) |  | 1697773 | 1709160 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.2218% 2/25/2055 (c)(d) |  | 3910007 | 3924273 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.2718% 2/25/2055 (c)(d) |  | 1240811 | 1239826 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FA, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.2718% 2/25/2055 (c)(d) |  | 9064212 | 9092366 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 5.3218% 10/25/2054 (c)(d) |  | 2247994 | 2257016 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5502 Class EF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.4718% 2/25/2055 (c)(d) |  | 414877 | 416373 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5503 Class FB, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.4218% 2/25/2055 (c)(d) |  | 447132 | 449814 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5508 Class FG, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.4718% 2/25/2055 (c)(d) |  | 915978 | 921321 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5509 Class FB, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.2218% 2/25/2055 (c)(d) |  | 1367086 | 1369396 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5510 Class FJ, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.5218% 2/25/2055 (c)(d) |  | 4480000 | 4500837 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5510 Class FM, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.2218% 2/25/2055 (c)(d) |  | 6924351 | 6949411 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5513 Class FD, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.4218% 1/25/2055 (c)(d) |  | 3417662 | 3436664 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5513 Class MF, U.S. 30-Day Avg. SOFR Index + 0.94%, 5.0118% 11/25/2054 (c)(d) |  | 17511876 | 17530174 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5515 Class FB, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.4718% 3/25/2055 (c)(d) |  | 420270 | 422635 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5516 Class FC, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.4718% 3/25/2055 (c)(d) |  | 8188527 | 8231078 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.1218% 4/25/2055 (c)(d) |  | 2427824 | 2424606 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5539 Class FC, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.5718% 5/25/2055 (c)(d) |  | 574854 | 579109 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5543 Class FC, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.5718% 6/25/2055 (c)(d) |  | 440785 | 444009 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5543 Class FG, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.5718% 6/25/2055 (c)(d) |  | 444171 | 447459 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5543 Class FH, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.5718% 6/25/2055 (c)(d) |  | 559121 | 563372 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5543 Class FM, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.5718% 6/25/2055 (c)(d) |  | 589156 | 593517 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5560 Class FB, U.S. 30-Day Avg. SOFR Index + 1%, 5.0718% 6/25/2055 (c)(d) |  | 10943961 | 10984049 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5563 Class FA, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.4218% 8/25/2055 (c)(d) |  | 375562 | 377929 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5564 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.2718% 8/25/2055 (c)(d) |  | 8249172 | 8286783 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5564 Class PF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.2718% 8/25/2055 (c)(d) |  | 5224234 | 5250182 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5570 Class FA, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.4718% 5/25/2055 (c)(d) |  | 630649 | 634246 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5574 Class FB, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.4218% 9/25/2055 (c)(d) |  | 449054 | 451667 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5584 Class DF, U.S. 30-Day Avg. SOFR Index + 0.9%, 4.9718% 10/25/2055 (c)(d) |  | 6390156 | 6400215 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5607 Class FA, U.S. 30-Day Avg. SOFR Index + 0.9%, 5.0952% 12/25/2055 (c)(d) |  | 10285550 | 10291771 |
| Freddie Mac Non Gold Pool Series 1998-2022 Class PE, 6.5% 1/15/2028  |  | 43 | 43 |
| Freddie Mac Non Gold Pool Series 1998-2091 Class PG, 6% 11/15/2028  |  | 1180 | 1204 |
| Freddie Mac Non Gold Pool Series 1999-2116 Class ZA, 6% 1/15/2029  |  | 299 | 305 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-4 Class MT, 3.5% 6/25/2057  |  | 230444 | 211478 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4 Class HT, 3% 3/25/2058  |  | 1885337 | 1642892 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3 Class M55D, 4% 10/25/2058  |  | 280536 | 267137 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4 Class MB, 3% 2/25/2059  |  | 1256223 | 974203 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2021-1 Class BXS, 11.5226% 9/25/2060 (b)(d) |  | 303068 | 237221 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2021-2 Class BXS, 13.0022% 11/25/2060 (b)(d) |  | 142502 | 103521 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-1 Class MTU, 3.25% 11/25/2061  |  | 762614 | 665653 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2023-1 Class MT, 3% 10/25/2062  |  | 4923430 | 4184217 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-2 Class MT, 3.5% 5/25/2064  |  | 3171008 | 2787923 |
| Freddie Mac STACR REMIC Trust Series 2020-DNA6 Class B1, U.S. 30-Day Avg. SOFR Index + 3%, 7.0718% 12/25/2050 (b)(c)(d) |  | 3910000 | 4175879 |
| Freddie Mac STACR REMIC Trust Series 2021-DNA6 Class M2, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.5718% 10/25/2041 (b)(c)(d) |  | 1469245 | 1474856 |
| Freddie Mac STACR REMIC Trust Series 2022-DNA3 Class M1B, U.S. 30-Day Avg. SOFR Index + 2.9%, 6.9718% 4/25/2042 (b)(c)(d) |  | 12945000 | 13286498 |
| GAEA Mortgage Loan Trust Series 2025-A Class A, 6.75% 2/25/2030 (b)(d) |  | 141836 | 139163 |
| GCAT 2023-NQM4 Trust Series 2023-NQM4 Class A1, 4.25% 5/25/2067 (b) |  | 228406 | 221843 |
| Gcat 2025-Inv2 Tr Series 2025-INV2 Class A1, 6% 5/25/2055 (b) |  | 7057908 | 7173977 |
| GCAT Trust Series 2021-NQM3 Class B1, 3.471% 5/25/2066 (b) |  | 100000 | 76283 |
| GCAT Trust Series 2024-NQM2 Class A1, 6.085% 6/25/2059 (b) |  | 859888 | 871292 |
| GCAT Trust Series 2025-NQM4 Class A1, 5.529% 6/25/2070 (b) |  | 468267 | 472887 |
| Ginnie Mae HECM MBS REMICS Series 2021-140 Class JI, 3% 8/20/2051 (h) |  | 47001 | 7969 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H27 Class FA, CME Term SOFR 1 month Index + 0.38%, 4.6004% 12/20/2060 (c)(d)(m) |  | 168787 | 168511 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H20 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.7704% 9/20/2061 (c)(d)(m) |  | 418178 | 418497 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H11 Class FA, CME Term SOFR 1 month Index + 0.8145%, 4.9204% 2/20/2062 (c)(d) |  | 17097 | 17151 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H18, CME Term SOFR 1 month Index + 0.6345%, 4.7404% 8/20/2062 (c)(d)(m) |  | 79470 | 79454 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 4.8704% 5/20/2061 (c)(d)(m) |  | 213 | 212 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H04 Class BA, 1.65% 2/20/2063 (m) |  | 164 | 155 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H19 Class FC, CME Term SOFR 1 month Index + 0.6%, 4.8204% 8/20/2063 (c)(d)(m) |  | 62401 | 62510 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H20 Class FB, CME Term SOFR 1 month Index + 1.1145%, 5.2204% 8/20/2063 (c)(d) |  | 4505 | 4548 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H23 Class FA, CME Term SOFR 1 month Index + 1.4145%, 5.5204% 9/20/2063 (c)(d) |  | 6407 | 6462 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H02 Class HA, 2.5% 1/20/2065  |  | 5081 | 4978 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class HA, 2.5% 8/20/2064 (m) |  | 1372 | 1298 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H23 Class FB, CME Term SOFR 1 month Index + 0.6345%, 4.7404% 9/20/2065 (c)(d) |  | 37628 | 37641 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H16 Class FD, CME Term SOFR 12 month Index + 1.0951%, 5.1607% 6/20/2066 (c)(d) |  | 52842 | 53297 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H16 Class FE, CME Term SOFR 12 month Index + 1.0951%, 5.1607% 6/20/2066 (c)(d) |  | 386892 | 390272 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H17 Class FC, CME Term SOFR 1 month Index + 0.9445%, 5.0504% 8/20/2066 (c)(d) |  | 38478 | 38593 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H24 Class KF, CME Term SOFR 12 month Index + 0.9651%, 4.5442% 11/20/2066 (c)(d) |  | 258193 | 259333 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  |  | 480899 | 444100 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 3.99% 8/20/2066 (c)(d)(m) |  | 131012 | 130532 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H08 Class XI, 2.2749% 3/20/2067 (d)(h) |  | 164602 | 6681 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H11 Class XI, 2.2399% 5/20/2067 (d)(h) |  | 534140 | 17703 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H14 Class AI, 2.2937% 6/20/2067 (d)(h) |  | 222611 | 11080 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H14 Class XI, 1.8726% 6/20/2067 (d)(h) |  | 212858 | 5502 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H23 Class FA, CME Term SOFR 1 month Index + 0.5945%, 4.7004% 10/20/2067 (c)(d) |  | 199347 | 199305 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H24 Class FQ, CME Term SOFR 12 month Index + 0.9151%, 5.1062% 11/20/2067 (c)(d) |  | 452872 | 454717 |
| Ginnie Mae Mortgage pass-thru certificates Series 2019-H09 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.7204% 5/20/2069 (c)(d) |  | 151215 | 151208 |
| Ginnie Mae Mortgage pass-thru certificates Series 2019-H16 Class EF, CME Term SOFR 1 month Index + 0.7445%, 4.8504% 10/20/2069 (c)(d) |  | 9346628 | 9353266 |
| Ginnie Mae Mortgage pass-thru certificates Series 2019-H20 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.7204% 11/20/2069 (c)(d) |  | 560552 | 560579 |
| Ginnie Mae Mortgage pass-thru certificates Series 2020-H08 Class FC, CME Term SOFR 1 month Index + 0.7645%, 4.8704% 2/20/2070 (c)(d) |  | 298037 | 298741 |
| Ginnie Mae Mortgage pass-thru certificates Series 2024-H04 Class FA, U.S. 30-Day Avg. SOFR Index + 0.7%, 4.7989% 2/20/2074 (c)(d) |  | 274771 | 275027 |
| Ginnie Mae Multifamily REMICS Series 2007-16 Class KU, 6.5355% - CME Term SOFR 1 month Index 2.5757% 4/20/2037 (d)(h) |  | 6587 | 551 |
| Ginnie Mae REMIC pass-thru certificates Series 2003-18 Class PG, 5.5% 3/20/2033  |  | 4984 | 5127 |
| Ginnie Mae REMIC pass-thru certificates Series 2003-52 Class SB, CME Term SOFR 1 month Index x 11.3497%, 4.4215% 6/16/2033 (c)(d) |  | 601 | 598 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-105 Class SN, 5.9855% - CME Term SOFR 1 month Index 2.0257% 12/20/2034 (d)(h) |  | 9100 | 677 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-19 Class KE, 5% 3/16/2034  |  | 21101 | 21491 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-90 Class SI, 5.9855% - CME Term SOFR 1 month Index 2.0257% 10/20/2034 (d)(h) |  | 3909 | 289 |
| Ginnie Mae REMIC pass-thru certificates Series 2006-26 Class S, 6.3855% - CME Term SOFR 1 month Index 2.4257% 6/20/2036 (d)(h) |  | 7104 | 686 |
| Ginnie Mae REMIC pass-thru certificates Series 2006-33 Class PK, 6% 7/20/2036  |  | 2157 | 2255 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-22 Class PK, 5.5% 4/20/2037  |  | 10822 | 11230 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-24 Class SA, 6.3955% - CME Term SOFR 1 month Index 2.4357% 5/20/2037 (d)(h) |  | 9981 | 932 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-7 Class EI, 6.0855% - CME Term SOFR 1 month Index 2.1257% 2/20/2037 (d)(h) |  | 10520 | 947 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-9 Class CI, 6.0855% - CME Term SOFR 1 month Index 2.1257% 3/20/2037 (d)(h) |  | 6668 | 602 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-40 Class SA, 6.2855% - CME Term SOFR 1 month Index 2.3266% 5/16/2038 (d)(h) |  | 6045 | 392 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-49 Class PH, 5.25% 6/20/2038  |  | 11405 | 11731 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-50 Class SA, 6.1155% - CME Term SOFR 1 month Index 2.1557% 6/20/2038 (d)(h) |  | 16243 | 1800 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-55 Class PL, 5.5% 6/20/2038  |  | 10778 | 11229 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-106 Class XL, 6.6355% - CME Term SOFR 1 month Index 2.6757% 6/20/2037 (d)(h) |  | 3106 | 253 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-16 Class SJ, 6.6855% - CME Term SOFR 1 month Index 2.7257% 5/20/2037 (d)(h) |  | 10516 | 1184 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-72 Class SM, 6.1355% - CME Term SOFR 1 month Index 2.1766% 8/16/2039 (d)(h) |  | 3678 | 289 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-81 Class A, 5.75% 9/20/2036  |  | 1117 | 1146 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-116 Class QB, 4% 9/16/2040  |  | 1205364 | 1189111 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  |  | 734763 | 724855 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  |  | 162424 | 160059 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-94 Class SA, 5.9855% - CME Term SOFR 1 month Index 2.0257% 7/20/2041 (d)(h) |  | 53643 | 5634 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  |  | 218889 | 216364 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-60 Class W, 4.0539% 2/20/2029 (d) |  | 2165 | 2161 |
| Ginnie Mae REMIC pass-thru certificates Series 2015-157 Class GA, 3% 1/20/2045  |  | 5551 | 5399 |
| Ginnie Mae REMIC pass-thru certificates Series 2015-H04 Class FL, CME Term SOFR 1 month Index + 0.5845%, 4.857% 2/20/2065 (c)(d) |  | 33912 | 33867 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  |  | 213856 | 200090 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  |  | 2201310 | 2008264 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-128 Class FH, CME Term SOFR 1 month Index + 0.6145%, 4.5743% 10/20/2049 (c)(d) |  | 186347 | 183024 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-23 Class NF, CME Term SOFR 1 month Index + 0.5645%, 4.5243% 2/20/2049 (c)(d) |  | 827508 | 815748 |
| Ginnie Mae REMIC pass-thru certificates Series 2021-125 Class HA, 1.5% 4/20/2051  |  | 646519 | 566086 |
| Ginnie Mae REMIC pass-thru certificates Series 2021-155 Class PD, 1.25% 9/20/2051  |  | 655585 | 573219 |
| Ginnie Mae REMIC pass-thru certificates Series 2021-175 Class PB, 1% 3/20/2050  |  | 282631 | 221564 |
| Ginnie Mae REMIC pass-thru certificates Series 2021-215 Class LG, 1.75% 12/20/2051  |  | 1023491 | 853256 |
| Ginnie Mae REMIC pass-thru certificates Series 2021-58 Class IY, 3% 2/20/2051 (h) |  | 1521957 | 254258 |
| Ginnie Mae REMIC pass-thru certificates Series 2021-78 Class IP, 3% 5/20/2051 (h) |  | 517747 | 86938 |
| Ginnie Mae REMIC pass-thru certificates Series 2021-H10 Class AF, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.5989% 6/20/2071 (c)(d) |  | 672565 | 679831 |
| Ginnie Mae REMIC pass-thru certificates Series 2022-22 Class UH, 3% 12/20/2050  |  | 583718 | 535951 |
| Ginnie Mae REMIC pass-thru certificates Series 2022-85 Class IK, 3% 5/20/2051 (h) |  | 274200 | 46315 |
| Ginnie Mae REMIC pass-thru certificates Series 2025-9 Class FE, U.S. 30-Day Avg. SOFR Index + 1.25%, 5.3489% 1/20/2055 (c)(d) |  | 432062 | 434126 |
| Ginnie Mae REMIC pass-thru certificates Series 2025-RPL1 Class PT, 3.6997% 1/25/2064 (b)(d) |  | 9212139 | 7864129 |
| Ginnie Mae REMIC pass-thru certificates Series 2025-RPL1 Class SA, 0% 1/25/2064 (b)(h)(n) |  | 10536 | 10396 |
| Ginnie Mae Series 2021-97 Class LI, 3% 8/20/2050 (h) |  | 1811848 | 305404 |
| GMACM Home Equity Loan Trust Series 2003-J10 Class A1, 4.75% 1/25/19 (i) |  | 319 | 175 |
| GMACM Home Equity Loan Trust Series 2005-AR6 Class 2A1, 3.7782% 11/19/2035 (d) |  | 1550259 | 1076931 |
| GS Mortgage-Backed Securities Corp Trust Series 2025-NQM6 Class A1, 5.021% 11/25/2029 (b)(g) |  | 640000 | 639830 |
| GS Mortgage-Backed Securities Trust 2025-NQM2 Series 2025-NQM2 Class A1, 5.648% 6/25/2065 (b)(d) |  | 3402713 | 3435561 |
| Gs Mortgage-Backed Securities Trust 2025-Pj6 Series 2025-PJ6 Class A5, 5.5% 11/25/2055 (b)(d) |  | 3629207 | 3642383 |
| Gs Mortgage-Backed Securities Trust 2025-Rpl3 Series 2025-RPL3 Class A1, 4.1% 7/25/2065 (b) |  | 1866301 | 1827854 |
| GS Mortgage-Backed Securities Trust Series 2022-NQM1 Class A4, 4% 5/25/2062 (b)(d) |  | 64826 | 59913 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL4 Class A1, 3.9% 9/25/2061 (b)(g) |  | 6275842 | 6187137 |
| GS Mortgage-Backed Securities Trust Series 2025-DSC2 Class A1, 5.038% 1/25/2066 (b) |  | 155945 | 155885 |
| GS Mortgage-Backed Securities Trust Series 2025-NQM5 Class A1, 5.013% 7/25/2065 (b) |  | 290267 | 290184 |
| GSAMP Trust Series 2004-6F Class 2A4, 5.5% 5/25/2034  |  | 874 | 868 |
| GSAMP Trust Series 2004-6F Class 3A4, 6.5% 5/25/2034  |  | 1185 | 1209 |
| HarborView Mortgage Loan Trust Series 2005-1 Class 1A, CME Term SOFR 1 month Index + 0.7545%, 4.7133% 3/19/2035 (c)(d) |  | 75065 | 37361 |
| Home Equity Asset Trust Series 2005-11 Class 1A1, 6.5% 12/25/2035  |  | 197629 | 90471 |
| Home Re 2022-1 Ltd Series 2022-1 Class M1C, U.S. 30-Day Avg. SOFR Index + 5.5%, 9.5718% 10/25/2034 (b)(c)(d) |  | 443497 | 459101 |
| Homes Series 2025-NQM1 Class M1, 6.52% 1/25/2070 (b)(d) |  | 600000 | 607842 |
| Homes Trust Series 2024-NQM2 Class A1, 5.717% 10/25/2069 (b) |  | 4773533 | 4825851 |
| Homes Trust Series 2025-NQM2 Class A1, 5.425% 2/25/2070 (b) |  | 2067065 | 2081400 |
| HOMES Trust Series 2025-NQM5 Class A1, 5.027% 9/25/2070 (b)(d) |  | 451797 | 452135 |
| Homeward Opportunities Fund Trust Series 2020-2 Class B1, 5.45% 5/25/2065 (b) |  | 1545000 | 1537114 |
| Homeward Opportunities Fund Trust Series 2022-1 Class A1, 5.082% 7/25/2067 (b)(d) |  | 145844 | 145683 |
| Homeward Opportunities Fund Trust Series 2022-1 Class M1, 5.0307% 7/25/2067 (b)(d) |  | 200000 | 195413 |
| Impac CMB Trust Series 2004-10 Class 3A1, CME Term SOFR 1 month Index + 0.8145%, 4.7688% 3/25/2035 (c)(d) |  | 2710 | 2629 |
| Impac CMB Trust Series 2004-10 Class 3A2, CME Term SOFR 1 month Index + 0.9145%, 4.8688% 3/25/2035 (c) |  | 1771 | 1721 |
| Impac CMB Trust Series 2007-A Class A, CME Term SOFR 1 month Index + 0.6145%, 4.5688% 5/25/2037 (Assured Guaranty Inc Insured) (b)(c)(d) |  | 133442 | 127605 |
| Impac Secd Assets Corp Series 2006-3 Class A1, CME Term SOFR 1 month Index + 0.4545%, 4.4088% 11/25/2036 (c) |  | 256090 | 226758 |
| Indymac Index Mortgage Loan Trust Series 2003-A8 Class A1, 3.75% 10/25/18  |  | 232 | 231 |
| IndyMac INDX Mortgage Loan Trust 2006-AR41 Series 2006-AR41 Class A3, CME Term SOFR 1 month Index + 0.4745%, 4.4288% 2/25/2037 (c)(d) |  | 26958 | 25496 |
| IndyMac INDX Mortgage Loan Trust Series 2006-AR35 Class 2A1A, CME Term SOFR 1 month Index + 0.4545%, 4.4088% 1/25/2037 (c)(d) |  | 20975 | 19571 |
| JP Morgan Mortgage Trust Series 2024-VIS2 Class B1, 7.7168% 11/25/2064 (b)(d) |  | 201000 | 204667 |
| JP Morgan Mortgage Trust Series 2025-VIS1 Class M1, 6.412% 8/25/2055 (b) |  | 220000 | 222656 |
| JP Morgan Seasoned Mortgage Trust Series 2024-1 Class A3, 4.3908% 1/25/2063 (b)(d) |  | 3149187 | 3050721 |
| JPMorgan Mortgage Trust Series 2004-S1 Class 3A1, 5.5% 9/25/2034 (i) |  | 474 | 464 |
| JPMorgan Mortgage Trust Series 2004-S2 Class 4A5, 6% 11/25/2034  |  | 4790 | 4540 |
| JPMorgan Mortgage Trust Series 2004-S2 Class 5A1, 5.5% 12/25/19  |  | 483 | 476 |
| JPMorgan Mortgage Trust Series 2006-A2 Class 4A1, 6.4552% 8/25/2034 (d) |  | 1270 | 1280 |
| JPMorgan Mortgage Trust Series 2006-A2 Class 5A3, 6.417% 11/25/2033 (d) |  | 509 | 500 |
| JPMorgan Mortgage Trust Series 2023-HE3 Class A1, U.S. 30-Day Avg. SOFR Index + 1.6%, 5.6989% 5/20/2054 (b)(c)(d) |  | 186204 | 186994 |
| JPMorgan Mortgage Trust Series 2024-VIS1 Class A1, 5.99% 7/25/2064 (b) |  | 768256 | 776159 |
| JPMorgan Mortgage Trust Series 2024-VIS1 Class B2, 8.07% 7/25/2064 (b)(d) |  | 163000 | 164128 |
| JPMorgan Mortgage Trust Series 2025-NQM2 Class A1, 5.567% 9/25/2065 (b)(d) |  | 1592768 | 1607970 |
| Legacy Mortgage Asset Trust 2025-PR1 Series 2025-PR1 Class A1, 6% 1/25/2061 (b) |  | 7953908 | 7971484 |
| LHOME Mortgage Trust Series 2023-RTL4 Class A1, 7.628% 11/25/2028 (b)(g) |  | 2450000 | 2457413 |
| LHOME Mortgage Trust Series 2024-RTL4 Class A1, 5.921% 7/25/2039 (b)(g) |  | 1650000 | 1663091 |
| LHOME Mortgage Trust Series 2025-RTL3 Class A1, 5.239% 8/25/2040 (b) |  | 4200000 | 4220786 |
| loanDepot GMSR Master Trust Series 2025-GT2 Class A, CME Term SOFR 1 month Index + 3.15%, 7.1126% 7/16/2030 (b)(c)(d) |  | 1900000 | 1899984 |
| MASTR Adjustable Rate Mortgages Trust Series 2004-13 Class 2A1, 6.4322% 4/21/2034 (d) |  | 336 | 332 |
| MASTR Alternative Loan Trust Series 2004-6 Class 6A1, 6.5% 7/25/2034  |  | 5901 | 6017 |
| MASTR Alternative Loan Trust Series 2004-6 Class 7A1, 6% 7/25/2034  |  | 4393 | 4412 |
| MASTR Resecuritization Trust Series 2005-PO Class 3PO, 0% 5/28/2035 (b)(j) |  | 215 | 168 |
| MASTR Specialized Loan Trust Series 2005-1 Class 1A3, 7% 8/25/2034 (b) |  | 932617 | 637110 |
| Merrill Lynch Mortgage Investors Trust Series 2004-C Class A2, CME Term SOFR 6 month Index + 1.0283%, 5.2554% 7/25/2029 (c)(d) |  | 473 | 461 |
| Merrill Lynch Mortgage Investors Trust Series 2004-D Class A3, 6.2351% 9/25/2029 (d) |  | 277 | 266 |
| Merrill Lynch Mortgage Investors Trust Series 2006-A2 Class 1A, CME Term SOFR 1 month Index + 0.4745%, 4.4288% 2/25/2036 (c) |  | 5043070 | 2662046 |
| Merrill Lynch Mortgage Investors Trust Series 2006-AF2 Class AV1, CME Term SOFR 1 month Index + 0.4345%, 4.3888% 9/25/2037 (c)(d) |  | 26014 | 13531 |
| MFA Trust Series 2024-NQM3 Class M1, 6.671% 12/25/2069 (b)(d) |  | 1470588 | 1498420 |
| MFRA Trust Series 2022-NQM1 Class M1, 4.2661% 12/25/2066 (b)(d) |  | 171000 | 159253 |
| MFRA Trust Series 2024-RPL1 Class A1, 4.25% 2/25/2066 (b)(d) |  | 3413696 | 3272151 |
| MFRA Trust Series 2024-RTL1 Class A1, 7.093% 2/25/2029 (b)(g) |  | 230000 | 230781 |
| Morgan Stanley Capital I Trust Series 2004-3 Class 4A, 5.6302% 4/25/2034 (d) |  | 2378 | 2343 |
| Morgan Stanley Mortgage Loan Trust Series 2004-7AR Class 2A6, 5.5077% 9/25/2034 (d) |  | 591 | 581 |
| Morgan Stanley Resecuritization Trust Series 2015-R2 Class 1B, 12 month Average U.S. Treasury Maturity + 0.71%, 4.0569% 12/27/2046 (b)(c)(d) |  | 897644 | 818331 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3 Series 2025-NQM3 Class A1, 5.53% 5/25/2070 (b)(d) |  | 2660924 | 2682660 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2014-1A Class B3, 5.8843% 6/25/2044 (b)(d) |  | 585474 | 588430 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2023-NQM1 Class B1, 7.3451% 9/25/2068 (b)(d) |  | 100000 | 100441 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2024-RPL1 Class A1, 4% 6/25/2064  |  | 5222534 | 5113726 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2025-DSC2 Class A1, 5.443% 7/25/2070 (b)(d) |  | 1222188 | 1232346 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2025-NQM1 Class A1, 5.738% 11/25/2069 (b)(d) |  | 494820 | 501751 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2025-NQM1 Class M1, 6.496% 11/25/2069 (b)(d) |  | 128000 | 129613 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2025-NQM3 Class A1, 5.261% 8/25/2070 (b) |  | 928454 | 931229 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2025-NQM5 Class A1, 5.439% 7/25/2070 (b) |  | 4081957 | 4111515 |
| NACC Reperforming Loan REMIC Trust Series 2004-R2 Class A1, 6.5% 10/25/2034 (b)(d) |  | 1609 | 1396 |
| New Residential Mortgage Loan Trust Series 2019-1A Class A1B, 3.5% 10/25/2059 (b) |  | 1288919 | 1221322 |
| New Residential Mortgage Loan Trust Series 2024-NQM3 Class B1, 7.1446% 11/25/2064 (b)(d) |  | 259000 | 264902 |
| New Residential Mortgage Loan Trust Series 2024-RTL2 Class A1, 5.443% 9/25/2039 (b) |  | 2000000 | 2019792 |
| New Residential Mortgage Loan Trust Series 2025-NQM1 Class A1, 5.643% 1/25/2065 (b)(d) |  | 1247972 | 1273804 |
| New Residential Mortgage Loan Trust Series 2025-NQM1 Class M1, 6.472% 1/25/2065 (b)(d) |  | 322972 | 334701 |
| New Residential Mortgage Loan Trust Series 2025-NQM4 Class A1, 5.35% 7/25/2065 (b) |  | 428121 | 431625 |
| New Residential Mortgage Loan Trust Series 2025-NQM4 Class B1, 7.0348% 7/25/2065 (b)(d) |  | 125000 | 126084 |
| New Residential Mortgage Loan Trust Series 2025-NQM5 Class A1, 5.109% 8/25/2065 (b)(d) |  | 269183 | 269872 |
| NLT Trust Series 2025-INV1 Class A1, 5.506% 2/25/2070 (b)(d) |  | 6053475 | 6130133 |
| NLT Trust Series 2025-INV1 Class A2, 5.708% 2/25/2070 (b) |  | 678806 | 685119 |
| NLT Trust Series 2025-INV1 Class A3, 5.86% 2/25/2070 (b) |  | 1164748 | 1174966 |
| NLT Trust Series 2025-INV1 Class AIOS, 0.3988% 2/25/2070 (b)(d) |  | 9245055 | 69302 |
| NLT Trust Series 2025-INV1 Class B1, 6.5948% 2/25/2070 (b)(d) |  | 364000 | 362634 |
| NLT Trust Series 2025-INV1 Class B2, 6.5948% 2/25/2070 (b)(d) |  | 286000 | 278749 |
| NLT Trust Series 2025-INV1 Class B3, 6.5948% 2/25/2070 (b)(d) |  | 179000 | 164021 |
| NLT Trust Series 2025-INV1 Class M1, 6.314% 2/25/2070 (b)(d) |  | 519000 | 526306 |
| NLT Trust Series 2025-INV1 Class XS, 0.9008% 2/25/2070 (b)(d) |  | 9245055 | 163637 |
| NMLT Trust Series 2021-INV3 Class PT, 2.2769% 11/25/2056 (b) |  | 4590996 | 4426442 |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF1 Class 1A3, 6.408% 5/25/2036  |  | 2748012 | 521999 |
| Nrm Fht1 Excess Owner LLC Series 2025-FHT1 Class A, 6.545% 3/25/2032 (b)(g) |  | 4027382 | 4091310 |
| NRZT Series 2025-NQM6 Class A1, 5.085% 10/25/2065 (b)(d) |  | 627000 | 627435 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (b) |  | 2557404 | 2415516 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (b) |  | 1237330 | 1179223 |
| Nymt Loan Trust Series 2024-INV1 Class A1, 5.379% 6/25/2069 (b) |  | 3070741 | 3086346 |
| NYMT Loan Trust Series 2025-CP1 Class A1, 3.75% 11/25/2069 (b) |  | 6513605 | 6273684 |
| NYMT Loan Trust Series 2025-INV2 Class A1, 5% 10/25/2060 (b)(d) |  | 6762836 | 6773760 |
| NYMT Trust Series 2024-RR1 Class A, 7.375% 5/25/2064 (b) |  | 317465 | 320435 |
| OBX Series 2025-NQM14 Class A1, 5.162% 7/25/2065 (b)(g) |  | 3557093 | 3569892 |
| OBX Trust Series 2021-NQM3 Class A1, 1.054% 7/25/2061 (b) |  | 9876972 | 8240897 |
| OBX Trust Series 2022-NQM7 Class A1, 5.11% 8/25/2062 (b)(g) |  | 3611682 | 3604248 |
| OBX Trust Series 2023-NQM8 Class A2, 7.248% 9/25/2063 (b) |  | 608187 | 615366 |
| OBX Trust Series 2024-HYB2 Class A1, 3.6979% 4/25/2053 (b)(d) |  | 359104 | 356606 |
| OBX Trust Series 2024-NQM2 Class A1, 5.878% 12/25/2063 (b) |  | 810856 | 816656 |
| OBX Trust Series 2024-NQM8 Class A1, 6.233% 5/25/2064 (b) |  | 1511155 | 1531577 |
| OBX Trust Series 2024-NQM9 Class A1, 6.03% 1/25/2064 (b)(d) |  | 2972325 | 3008586 |
| OBX Trust Series 2025-NQM10 Class A1, 5.453% 5/25/2065 (b)(g) |  | 3798060 | 3827715 |
| OBX Trust Series 2025-NQM13 Class A1, 5.441% 5/25/2065 (b) |  | 5517238 | 5562373 |
| Obx Trust Series 2025-NQM19 Class A1, 4.869% 10/25/2065 (b)(d) |  | 1875608 | 1873772 |
| OBX Trust Series 2025-NQM3 Class A1, 5.648% 12/1/2064 (b)(d) |  | 312586 | 315632 |
| OBX Trust Series 2025-NQM8 Class A1, 5.472% 3/25/2065 (b)(d) |  | 2468169 | 2488133 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (b) |  | 135581 | 135024 |
| Ocwen Loan Investment Trust Series 2024-HB1 Class A, 3% 2/25/2037 (b) |  | 195193 | 192572 |
| Ocwen Loan Investment Trust Series 2025-HB1 Class A, 3% 6/25/2038 (b)(d) |  | 1802628 | 1764461 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (b) |  | 464201 | 464201 |
| Onslow Bay Mortgage Loan Trust Series 2021-NQM4 Class A2, 2.162% 10/25/2061 (b)(d) |  | 6631598 | 5774119 |
| OSS Mortgage Trust Series 2024-H6 Class A1, 5.129% 9/25/2069 (b) |  | 6317234 | 6335310 |
| PHH Mortgage Trust Series 2008-CIM2 Class 5A1, 6% 7/25/2038 (i) |  | 1140 | 1017 |
| PMT Credit Risk Transfer Trust Series 2024-1R Class A, U.S. 30-Day Avg. SOFR Index + 3.5%, 7.5718% 5/25/2033 (b)(c)(d) |  | 6774531 | 6849238 |
| PMT Credit Risk Transfer Trust Series 2024-2R Class A, U.S. 30-Day Avg. SOFR Index + 3.35%, 7.3747% 3/29/2027 (b)(c)(d) |  | 4689971 | 4735836 |
| Pmt Loan Trust Series 2024-INV1 Class A3, 5.5% 10/25/2059 (b) |  | 4435177 | 4468440 |
| Pret 2024-Rpl2 Tr Series 2024-RPL2 Class A1, 4.075% 6/25/2064 (b)(d) |  | 5262694 | 5088688 |
| Pret 2025-Rpl3 Series 2025-RPL3 Class A1, 4.15% 4/25/2065 (b)(g) |  | 2107481 | 2059077 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (b) |  | 1651053 | 1593627 |
| PRET Trust Series 2025-RPL1 Class A1, 4% 7/25/2069 (b) |  | 2025632 | 1975748 |
| PRET Trust Series 2025-RPL2 Class A1, 4% 8/25/2064 (b) |  | 2795717 | 2724731 |
| Prime Mortgage Trust Series 2004-CL1 Class 1A1, 6% 2/25/2034  |  | 644 | 645 |
| PRKCM Trust Series 2023-AFC1 Class B1, 7.4005% 2/25/2058 (b)(d) |  | 757000 | 754891 |
| PRKCM Trust Series 2023-AFC3 Class A2, 6.987% 9/25/2058 (b) |  | 573941 | 578663 |
| PRMP Trust Series 2024-NQM3 Class A1, 5.228% 8/25/2069 (b) |  | 7183784 | 7217214 |
| PRPM Trust Series 2025-NQM5 Class A1A, 5.176% 10/25/2070 (b) |  | 392471 | 393393 |
| Prpm 2025-Rcf3 LLC Series 2025-RCF3 Class A1, 5.25% 7/25/2055 (b)(d) |  | 440987 | 443260 |
| Prpm 2025-Rpl2 LLC Series 2025-RPL2 Class A1, 3.75% 4/25/2055 (b) |  | 4803016 | 4666471 |
| PRPM LLC Series 2024-HOME1 Class A1, 6.431% 5/25/2059 (b)(d) |  | 1954433 | 1983988 |
| PRPM LLC Series 2024-NQM1 Class A1, 6.265% 12/25/2068 (b) |  | 330885 | 334712 |
| PRPM LLC Series 2024-NQM1 Class B1, 7.4373% 12/25/2068 (b)(d) |  | 224000 | 225963 |
| PRPM LLC Series 2024-RCF3 Class A1, 4% 5/25/2054 (b) |  | 1001506 | 990134 |
| PRPM LLC Series 2024-RCF4 Class A1, 4% 7/25/2054 (b) |  | 3781994 | 3740095 |
| PRPM LLC Series 2024-RCF5 Class A1, 4% 8/25/2054 (b) |  | 1418844 | 1402990 |
| PRPM LLC Series 2024-RCF6 Class A1, 4% 10/25/2064 (b)(d) |  | 249014 | 245528 |
| PRPM LLC Series 2024-RPL1 Class A1, 4.2% 12/25/2064 (b)(d) |  | 327394 | 323589 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (b)(d) |  | 2942057 | 2878067 |
| PRPM LLC Series 2024-RPL3 Class A1, 4% 11/25/2054 (b) |  | 7785169 | 7664078 |
| Prpm LLC Series 2025-RCF5 Class A1, 4.839% 10/25/2055 (b) |  | 2135001 | 2128334 |
| PRPM LLC Series 2025-RPL1 Class A1, 4% 3/25/2055 (b) |  | 3142112 | 3096876 |
| PRPM LLC Series 2025-RPL1 Class A2, 4% 3/25/2055 (b) |  | 621000 | 584523 |
| PRPM LLC Series 2025-RPL1 Class A3, 4% 3/25/2055 (b) |  | 366000 | 340380 |
| PRPM LLC Series 2025-RPL1 Class M1A, 4% 3/25/2055 (b) |  | 357000 | 334255 |
| PRPM LLC Series 2025-RPL1 Class M1B, 4% 3/25/2055 (b) |  | 126000 | 115345 |
| PRPM Trust Series 2022-INV1 Class A2, 4.4158% 4/25/2067 (b)(d) |  | 587566 | 581517 |
| PRPM Trust Series 2024-NQM2 Class A1, 6.327% 6/25/2069 (b)(d) |  | 2163463 | 2198396 |
| PRPM Trust Series 2025-NQM1 Class A1, 5.802% 11/25/2069 (b)(d) |  | 1360193 | 1374077 |
| PRPM Trust Series 2025-NQM1 Class M1A, 6.645% 11/25/2069 (b)(g) |  | 662810 | 676273 |
| PRPM Trust Series 2025-NQM2 Class A1, 5.688% 4/25/2070 (b) |  | 1585389 | 1601111 |
| PRPM Trust Series 2025-NQM3 Class A1, 5.606% 5/25/2070 (b)(d) |  | 920247 | 928474 |
| PRPM Trust Series 2025-RCF1 Class A1, 4.5% 2/25/2055 (b)(d) |  | 864573 | 859083 |
| Radnor Re Ltd Series 2022-1 Class M1B, U.S. 30-Day Avg. SOFR Index + 6.75%, 10.8218% 9/25/2032 (b)(c)(d) |  | 282852 | 292304 |
| Rain City Mortgage Trust Series 2024-RTL1 Class A1, 6.53% 9/25/2029 (b) |  | 338000 | 341695 |
| Rckt Mortgage Trust 2025-Ces6 Series 2025-CES6 Class A1A, 5.472% 6/25/2055 (b) |  | 6804158 | 6889020 |
| RCKT Mortgage Trust Series 2024-CES9 Class A1A, 5.582% 12/25/2044 (b)(g) |  | 2686347 | 2711385 |
| RCKT Mortgage Trust Series 2025-CES1 Class A1A, 5.653% 1/25/2045 (b) |  | 3068865 | 3102086 |
| RCKT Trust Series 2024-CES7 Class A1A, 5.158% 10/25/2044 (b)(d) |  | 2622366 | 2627857 |
| Residential Accredit Loans Inc Trust Series 2007-QS8 Class A5, 6% 6/25/2037  |  | 686182 | 561202 |
| Residential Accredit Loans, Inc. Trust Series 2005-QS5 Class A4, 5.75% 4/25/2035  |  | 15968 | 14620 |
| Residential Accredit Loans, Inc. Trust Series 2006-QA10 Class A2, CME Term SOFR 1 month Index + 0.4745%, 4.4288% 12/25/2036 (c) |  | 91865 | 80366 |
| Residential Accredit Loans, Inc. Trust Series 2006-QS4 Class A4, 6% 4/25/2036  |  | 1164887 | 952614 |
| Residential Accredit Loans, Inc. Trust Series 2007-QS3 Class A5, 6.25% 2/25/2037  |  | 1838226 | 1502182 |
| Residential Asset Securitization Trust Series 2006-A14C Class 1A2, 6.25% 12/25/2036  |  | 918559 | 640671 |
| Residential Asset Securitization Trust Series 2007-A9 Class A1, CME Term SOFR 1 month Index + 0.6645%, 4.6188% 9/25/2037 (c)(d) |  | 2959140 | 730093 |
| Residential Asset Securitization Trust Series 2007-A9 Class A2, 6.3355% - CME Term SOFR 1 month Index 2.3812% 9/25/2037 (d)(h) |  | 2959140 | 336429 |
| Residential Mortgage Loan Trust Series 2019-2 Class B2, 6.037% 5/25/2059 (b) |  | 540000 | 535608 |
| Residential Mortgage Loan Trust Series 2019-3 Class B2, 5.664% 9/25/2059 (b)(d) |  | 136000 | 135321 |
| RFMSI Trust Series 2006-SA4 Class 2A1, 5.4348% 11/25/2036 (d) |  | 59580 | 49734 |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/2050 (b) |  | 532692 | 502617 |
| Roc Mortgage Trus Series 2025-RTL1 Class A1, 5.625% 2/25/2040 (b)(g) |  | 1700000 | 1713974 |
| Rocket Mortgage Trust Series 2024-CES5 Class A1A, 5.846% 8/25/2044 (b)(g) |  | 1031164 | 1041869 |
| Rocket Mortgage Trust Series 2024-CES8 Class A1A, 5.4896% 11/25/2044 (b)(g) |  | 2816314 | 2836371 |
| Saco I, Inc. Series 1997-2 Class 1A5, 7% 8/25/2036 (b)(i) |  | 207 | 196 |
| Saluda Grade Alternative Mortgage Trust Series 2024-RTL4 Class A1, 7.5% 2/25/2030 (b)(d) |  | 404000 | 405407 |
| Saluda Grade Alternative Mortgage Trust Series 2024-RTL5 Class A1, 7.762% 4/25/2030 (b)(g) |  | 233000 | 235145 |
| Santander Mortgage Asset Receivable Trust 2025-Nqm2 Series 2025-NQM2 Class A1, 5.732% 2/25/2065 (b)(d) |  | 270409 | 273305 |
| Santander Mortgage Asset Receivable Trust Series 2025-NQM1 Class A1, 5.545% 1/25/2065 (b)(d) |  | 1752731 | 1765180 |
| Santander Mortgage Asset Receivable Trust Series 2025-NQM5 Class A1, 5.067% 8/25/2065 (b)(d) |  | 6283036 | 6290755 |
| Santander Mortgage Asset Receivable Trust Series 2025-NQM6 Class A1, 5.138% 11/25/2065 (b)(d) |  | 324383 | 325090 |
| Santander Mtg Asset Receivables Tr 2025-Nqm3 Series 2025-NQM3 Class B1, 7.2386% 5/25/2065 (b)(d) |  | 1000000 | 1010058 |
| Seasoned Loans Structured Transaction Series 2018-1 Series 2025-1 Class A1, 3% 5/25/2035  |  | 4200115 | 3913309 |
| Sequoia Mortgage Trust Series 2004-6 Class A3B, CME Term SOFR 6 month Index + 1.3083%, 5.5468% 7/20/2034 (c)(d) |  | 493 | 461 |
| Sequoia Mortgage Trust Series 2004-8 Class A2, CME Term SOFR 6 month Index + 1.1683%, 5.2181% 9/20/2034 (c)(d) |  | 2971 | 2748 |
| Sequoia Mortgage Trust Series 2007-3 Class 2AA1, 4.3505% 7/20/2037 (d) |  | 364235 | 287818 |
| Sequoia Mortgage Trust Series 2024-HYB1 Class A1A, 4.4268% 11/25/2063 (b)(d) |  | 6612355 | 6614268 |
| Sequoia Mortgage Trust Series 2025-2 Class A5, 5.5% 3/25/2055 (b)(d) |  | 1776229 | 1782407 |
| SG Residential Mortgage Trust Series 2022-2 Class B1, 5.2837% 8/25/2062 (b)(d) |  | 104000 | 102367 |
| SG Residential Mortgage Trust Series 2022-2 Class M1, 5.2871% 8/25/2062 (b)(d) |  | 485000 | 481886 |
| Structured Adjustable Rate Mortgage Loan Trust Series 2004-14 Class 1A, 5.2428% 10/25/2034 (d) |  | 453 | 445 |
| Structured Adjustable Rate Mortgage Loan Trust Series 2007-6 Class 3A1, 4.3248% 7/25/2037 (d) |  | 1271610 | 799820 |
| Structured Asset Securities Corp Mortgage Loan Trust Series 2003-26A Class 3A5, 5.5456% 9/25/2033 (d) |  | 5498 | 5284 |
| Structured Asset Securities Corp Mortgage Loan Trust Series 2003-37A Class 1A, 5.7442% 12/25/2033 (d) |  | 10162 | 9717 |
| Structured Asset Securities Corp Mortgage Loan Trust Series 2003-37A Class 2A, 5.5576% 12/25/2033 (d) |  | 786 | 751 |
| Thornburg Mortgage Securities Trust Series 2003-4 Class A1, CME Term SOFR 1 month Index + 0.7545%, 4.7088% 9/25/2043 (c)(d) |  | 721342 | 700633 |
| Toorak Mortgage Corp Ltd Series 2021-INV1 Class B1, 3.287% 7/25/2056 (b) |  | 100000 | 81997 |
| Toorak Mortgage Trust Series 2024-2 Class A1, 6.329% 10/25/2031 (b) |  | 252000 | 253989 |
| Towd Point Mortgage Trust Series 2016-1 Class B2, 4.4189% 2/25/2055 (b)(d) |  | 500000 | 488709 |
| Towd Point Mortgage Trust Series 2017-FRE2 Class M6, 4% 11/25/2047 (b)(g) |  | 38897 | 38251 |
| Towd Point Mortgage Trust Series 2021-R1 Class A1, 2.9181% 11/30/2060 (b)(d) |  | 994729 | 909228 |
| Towd Point Mortgage Trust Series 2021-R1 Class A2C, 3.3072% 11/30/2060 (b)(d) |  | 877659 | 771197 |
| Towd Point Mortgage Trust Series 2021-SJ2 Class A2, 2.5% 12/25/2061 (b) |  | 1500000 | 1395382 |
| Towd Point Mortgage Trust Series 2024-3 Class A1A, 5.0332% 7/25/2065 (b)(d) |  | 3018450 | 3056363 |
| Towd Point Mortgage Trust Series 2024-4 Class A1A, 4.5524% 10/27/2064 (b)(d) |  | 11774264 | 11845451 |
| Towd Point Mortgage Trust Series 2024-5 Class A1A, 4.5786% 10/25/2064 (b)(d) |  | 13260088 | 13378064 |
| TRK Trust Series 2021-INV2 Class B1, 4.104% 11/25/2056 (b) |  | 148000 | 127796 |
| Vendee Mortgage Trust Series 1996-2 Class 1Z, 6.75% 6/15/2026  |  | 396 | 398 |
| Vendee Mortgage Trust Series 1998-1 Class 2E, 7% 3/15/2028  |  | 3277 | 3329 |
| Vendee Mortgage Trust Series 1999-1 Class 2Z, 6.5% 1/15/2029  |  | 613 | 625 |
| Verus Securitization Tr 2021-8 Series 2021-8 Class A1, 1.824% 11/25/2066 (b) |  | 292580 | 273715 |
| Verus Securitization Trust Series 2021-3 Class B1, 3.203% 6/25/2066 (b) |  | 100000 | 76049 |
| Verus Securitization Trust Series 2022-3 Class B1, 4.0502% 2/25/2067 (b)(d) |  | 158000 | 129842 |
| Verus Securitization Trust Series 2023-2 Class A1, 6.193% 3/25/2068 (b)(d) |  | 253443 | 253399 |
| Verus Securitization Trust Series 2023-2 Class B1, 7.4311% 3/25/2068 (b)(d) |  | 676000 | 675403 |
| Verus Securitization Trust Series 2023-3 Class B1, 7.7162% 3/25/2068 (b)(d) |  | 1210000 | 1211407 |
| Verus Securitization Trust Series 2024-4 Class A1, 6.218% 6/25/2069 (b)(g) |  | 984245 | 997675 |
| Verus Securitization Trust Series 2024-5 Class A1, 6.192% 6/25/2069 (b) |  | 2570384 | 2607880 |
| Verus Securitization Trust Series 2024-7 Class B1, 6.496% 9/25/2069 (b) |  | 299000 | 300110 |
| Verus Securitization Trust Series 2024-R1 Class A1, 5.218% 9/25/2069 (b)(d) |  | 7652484 | 7703171 |
| Verus Securitization Trust Series 2025-2 Class A1, 5.307% 3/25/2070 (b) |  | 3658152 | 3679130 |
| Verus Securitization Trust Series 2025-4 Class A1, 5.448% 5/25/2070 (b) |  | 899597 | 908052 |
| Verus Securitization Trust Series 2025-5 Class A1, 5.427% 6/25/2070 (b)(d) |  | 2685479 | 2710718 |
| Verus Securitization Trust Series 2025-6 Class A1, 5.417% 7/25/2070 (b)(g) |  | 3947036 | 3980388 |
| Visio Trust Series 2022-1 Class B1, 5.9549% 8/25/2057 (b)(d) |  | 200000 | 198250 |
| Vista Point Securitization Trust Series 2020-2 Class B2, 5.16% 4/25/2065 (b) |  | 357200 | 348402 |
| Wachovia Mortgage Loan Trust Series 2006-AMN1 Class A2, CME Term SOFR 1 month Index + 0.4145%, 4.3688% 8/25/2036 (c) |  | 2632233 | 890422 |
| WaMu Mortgage MSC Pass Through Certificates Series 2004-RA1 Class 2A, 7% 3/25/2034  |  | 1969 | 1991 |
| WaMu Mortgage MSC Pass Through Certificates Series 2005-4 Class CB7, 5.5% 6/25/2035  |  | 5790 | 5412 |
| WaMu Mortgage MSC Pass Through Certificates Series 2005-AR1 Class A1A, 4.5888% 12/25/2035 (d) |  | 421302 | 366545 |
| WaMu Mortgage MSC Pass Through Certificates Series 2006-2 Class 3CB, 6% 3/25/2036  |  | 1015255 | 812721 |
| WaMu Mortgage Pass Through Certificates Series 2003-AR8 Class A, 5.4676% 8/25/2033 (d) |  | 1317 | 1258 |
| WaMu Mortgage Pass Through Certificates Series 2003-AR9 Class 1A6, 5.6733% 9/25/2033 (d) |  | 984 | 943 |
| WaMu Mortgage Pass Through Certificates Series 2004-AR11 Class A, 5.9772% 10/25/2034 (d) |  | 2668 | 2570 |
| WaMu Mortgage Pass Through Certificates Series 2004-AR3 Class A1, 5.3703% 6/25/2034 (d) |  | 369 | 345 |
| WaMu Mortgage Pass Through Certificates Series 2004-AR3 Class A2, 5.3703% 6/25/2034 (d) |  | 3412 | 3149 |
| WaMu Mortgage Pass Through Certificates Series 2004-S2 Class 2A4, 5.5% 6/25/2034  |  | 2779 | 2716 |
| WaMu Mortgage Pass Through Certificates Series 2005-AR2 Class 2A1B, CME Term SOFR 1 month Index + 0.8545%, 4.8088% 1/25/2045 (c) |  | 660294 | 653372 |
| WaMu Mortgage Pass Through Certificates Series 2005-AR2 Class 2A21, CME Term SOFR 1 month Index + 0.7745%, 4.7288% 1/25/2045 (c)(d) |  | 313 | 309 |
| WaMu Mortgage Pass Through Certificates Series 2006-4 Class 3A1, 7% 5/25/2036 (g) |  | 148188 | 135159 |
| WaMu Mortgage Pass Through Certificates Series 2006-7 Class A1A, 6.586% 9/25/2036 (g) |  | 617300 | 166139 |
| WaMu Mortgage Pass Through Certificates Series 2006-7 Class A1B, CME Term SOFR 1 month Index + 0.2745%, 4.2288% 9/25/2036 (c) |  | 1913529 | 518740 |
| WaMu Mortgage Pass Through Certificates Series 2006-8 Class A4, 6.5% 10/25/2036 (g) |  | 234534 | 83307 |
| WaMu Mortgage Pass Through Certificates Series 2007-HY3 Class 4A1, 4.979% 3/25/2037 (d) |  | 1098 | 1011 |
| WaMu Mortgage Pass Through Certificates Series 2007-HY4 Class 1A1, 3.7109% 4/25/2037 (d) |  | 978184 | 894649 |
| WaMu Mortgage Pass Through Certificates Series 2007-OA1 Class 2A, 12 month Average U.S. Treasury Maturity + 0.72%, 4.7981% 12/25/2046 (c)(d) |  | 12339 | 10966 |
| WaMu Mortgage Pass Through Certificates Series 2007-OA2 Class 2A, 12 month Average U.S. Treasury Maturity + 0.7%, 4.7781% 1/25/2047 (c)(d) |  | 504777 | 431890 |
| WaMu Mortgage Pass Through Certificates Series 2007-OA5 Class 1A, 12 month Average U.S. Treasury Maturity + 0.75%, 4.8281% 6/25/2047 (c)(d) |  | 234995 | 189207 |
| WaMu Mortgage Pass Through Certificates Series 2007-OC2 Class A3, CME Term SOFR 1 month Index + 0.7345%, 4.6888% 6/25/2037 (c) |  | 32558 | 31123 |
| Wells Fargo Mortgage Backed Securities Trust Series 2004-K Class 1A2, 6.49% 7/25/2034 (d) |  | 595 | 595 |
| Wells Fargo Mortgage Backed Securities Trust Series 2004-U Class A1, 6.8101% 10/25/2034 (d) |  | 1424 | 1402 |
| TOTAL UNITED STATES |  |  | 1041495099 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $1,050,281,585) |  |  | <br> **1053793097** |

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| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 2.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 2.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 2.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 2.8%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.0%  |  |  |  |
| BX Commercial Mortgage Trust Series 2024-PURE Class A, Canadian Overnight Repo Rate + 1.9%, 4.2234% 11/15/2041 (b)(c)(d) | CAD | 68106 | 48857 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |  |
| Acre Commercial Mortgage Ltd Series 2021-FL4 Class C, CME Term SOFR 1 month Index + 2.3645%, 6.3233% 12/18/2037 (b)(c)(d) |  | 230912 | 221898 |
| IRELAND - 0.0%  |  |  |  |
| Caister Finance Dac Series 2025-1A Class C, SONIA Overnight Deposit Rates SWAP + 2.84%, 6.8114% 8/17/2035 (b)(c)(d) | GBP | 1500000 | 1972574 |
| Last Mile Logistics Pan Euro Finance DAC Series 2021-1X Class E, 3 month EURIBOR + 2.7%, 4.764% 8/17/2033 (c)(d)(e) | EUR | 176734 | 204281 |
| Taurs Series 2025-UK2X Class B, SONIA Overnight Deposit Rates SWAP + 2%, 5.9719% 2/18/2035 (c)(d)(e) | GBP | 116365 | 154298 |
| Taurus 2025-4 UK DAC Series 2025-UK4 Class B, SONIA Overnight Deposit Rates SWAP + 1.6%, 5.5712% 8/18/2035 (c)(d)(e) | GBP | 100000 | 132360 |
| Taurus 2025-4 UK DAC Series 2025-UK4 Class C, SONIA Overnight Deposit Rates SWAP + 1.95%, 5.9212% 8/18/2035 (c)(d)(e) | GBP | 100000 | 132360 |
| Thunder Logistics Series 2024-1X Class B, 3 month EURIBOR + 2.05%, 4.114% 11/17/2036 (c)(d)(e) | EUR | 71578 | 83207 |
| UK Logistics DAC Series 2025-2X Class B, SONIA Overnight Deposit Rates SWAP + 1.65%, 5.6214% 8/17/2035 (c)(d)(e) | GBP | 145000 | 191922 |
| UK Logistics Series 2024-1X Class A, SONIA Overnight Deposit Rates SWAP + 1.65%, 5.6384% 5/17/2034 (c)(d)(e) | GBP | 64336 | 85193 |
| TOTAL IRELAND |  |  | 2956195 |
| LUXEMBOURG - 0.0%  |  |  |  |
| SV Vanir Logistics Finance Sarl Series 2025-1X Class C, 3 month EURIBOR + 1.9%, 0% 7/23/2037 (c)(d)(e) | EUR | 100000 | 116035 |
| UNITED KINGDOM - 0.0%  |  |  |  |
| Sage AR Funding No 1 PLC Series 2025-1X Class C, SONIA Overnight Deposit Rates SWAP + 2.4%, 6.3884% 5/17/2037 (c)(d)(e) | GBP | 117497 | 155224 |
| Sage AR Funding No 1 PLC Series 2025-1X Class D, SONIA Overnight Deposit Rates SWAP + 3.9%, 7.8884% 5/17/2037 (c)(d)(e) | GBP | 101960 | 134450 |
| Together Asset Backed Securitisation PLC Series 2025-CRE1 Class B, SONIA Overnight Deposit Rates SWAP + 1.5%, 5.4747% 1/15/2057 (c)(d)(e) | GBP | 100000 | 132986 |
| UK Logistics Dac Series 2024-2A Class C, SONIA Overnight Deposit Rates SWAP + 2.1%, 6.0884% 2/17/2035 (b)(c)(d) | GBP | 1530768 | 2029777 |
| TOTAL UNITED KINGDOM |  |  | 2452437 |
| UNITED STATES - 2.8%  |  |  |  |
| 1345 Trust Series 2025-AOA Class A, CME Term SOFR 1 month Index + 1.6%, 5.559% 6/15/2042 (b)(c)(d) |  | 197000 | 197369 |
| 1345 Trust Series 2025-AOA Class E, CME Term SOFR 1 month Index + 4.5%, 8.459% 6/15/2042 (b)(c)(d) |  | 346000 | 347644 |
| 20 Times Square Trust Series 2018-20TS Class F, 3.0999% 5/15/2035 (b)(d)(i) |  | 3016196 | 2707036 |
| 2023-MIC Trust/THE Series 2023-MIC Class A, 8.7315% 12/5/2038 (b)(d) |  | 82000 | 88782 |
| 245 Park Avenue Trust Series 2017-245P Class E, 3.7793% 6/5/2037 (b)(d) |  | 1008000 | 959975 |
| 280 Park Avenue Mortgage Trust Series 2017-280P Class A, CME Term SOFR 1 month Index + 0.88%, 5.152% 9/15/2034 (b)(c)(d) |  | 104000 | 103163 |
| 280 Park Avenue Mortgage Trust Series 2017-280P Class E, CME Term SOFR 1 month Index + 2.4189%, 6.3909% 9/15/2034 (b)(c) |  | 154796 | 151805 |
| 3650r Commercial Mortgage Trust Series 2021-PF1 Class A4, 2.253% 11/15/2054  |  | 4200000 | 3761930 |
| 3650r Commercial Mortgage Trust Series 2021-PF1 Class A5, 2.522% 11/15/2054  |  | 1000000 | 893502 |
| AG Trust Series 2024-NLP Class A, CME Term SOFR 1 month Index + 2.0156%, 5.9746% 7/15/2041 (b)(c)(d) |  | 2850994 | 2858157 |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 5.7016% 6/15/2040 (b)(c)(d) |  | 5215000 | 5234535 |
| ALA Trust Series 2025-OANA Class D, CME Term SOFR 1 month Index + 3.0907%, 7.0497% 6/15/2040 (b)(c)(d) |  | 254000 | 254956 |
| AOA Mortgage Trust Series 2025-1301 Class A, 5.0587% 8/11/2042 (b)(d) |  | 155000 | 157986 |
| AOA Mortgage Trust Series 2025-1301 Class E, 7.237% 8/11/2042 (b)(d) |  | 108000 | 109292 |
| AOA Mortgage Trust Series 2025-1301 Class F, 8.1033% 8/11/2042 (b)(d) |  | 1547000 | 1565016 |
| Arbor Multifamily Mortgage Securities Trust Series 2021-MF3 Class A5, 2.5747% 10/15/2054 (b) |  | 440000 | 398724 |
| Ares Commercial Mortgage Trust Series 2024-IND Class A, CME Term SOFR 1 month Index + 1.6916%, 5.6506% 7/15/2041 (b)(c)(d) |  | 430000 | 430402 |
| Ares Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.443%, 5.402% 10/15/2034 (b)(c)(d) |  | 680000 | 680000 |
| Atrium Hotel Portfolio Trust Series 2017-ATRM Class A, CME Term SOFR 1 month Index + 1.227%, 5.186% 12/15/2036 (b)(c)(d) |  | 2468048 | 2431027 |
| Atrium Hotel Portfolio Trust Series 2024-ATRM Class A, 5.4092% 11/10/2029 (b)(d) |  | 410000 | 419215 |
| Atrium Hotel Portfolio Trust Series 2024-ATRM Class E, 9.213% 11/10/2029 (b)(d) |  | 84000 | 86239 |
| Atrium Hotel Portfolio Trust Series 2025-ATRM Class A, CME Term SOFR 1 month Index + 1.65%, 5.609% 8/15/2042 (b)(c)(d) |  | 209000 | 209311 |
| Atrium Hotel Portfolio Trust Series 2025-ATRM Class F, CME Term SOFR 1 month Index + 5.5%, 9.459% 8/15/2042 (b)(c)(d) |  | 447000 | 446816 |
| Atrium Hotel Portfolio Trust Series 2025-ATRM Class G, CME Term SOFR 1 month Index + 6.75%, 10.709% 8/15/2042 (b)(c)(d) |  | 83000 | 82966 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (b) |  | 3714891 | 3534575 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class BNM, 3.465% 11/5/2032 (b) |  | 752000 | 702339 |
| BAMLL Re-REMIC Trust Series 2024-FRR2 Class C, 1.2218% 7/27/2050 (b)(d) |  | 6500000 | 6054125 |
| BAMLL Re-REMIC Trust Series 2024-FRR2 Class D, 1.2238% 7/27/2050 (b)(d) |  | 4000000 | 3661430 |
| BAMLL Re-REMIC Trust Series 2024-FRR3 Class D, 0.5706% 1/27/2050 (b)(d) |  | 3000000 | 2776913 |
| Bamll Series 2024-BHP Class A, CME Term SOFR 1 month Index + 2.35%, 6.309% 8/15/2039 (b)(c)(d) |  | 280000 | 280568 |
| BAMLL Trust Series 2025-ASHF Class A, CME Term SOFR 1 month Index + 1.85%, 5.883% 2/15/2042 (b)(c)(d) |  | 746000 | 746000 |
| BAMLL Trust Series 2025-ASHF Class E, CME Term SOFR 1 month Index + 5.25%, 9.283% 2/15/2042 (b)(c)(d) |  | 300000 | 300028 |
| BANK Series 2017-BNK6 Class ASB, 3.289% 7/15/2060  |  | 88264 | 87880 |
| BANK Series 2019-BN19 Class A3, 3.183% 8/15/2061  |  | 292553 | 277427 |
| BANK Series 2019-BN21 Class A4, 2.6% 10/17/2052  |  | 4086706 | 3886043 |
| BANK Series 2019-BN21 Class A5, 2.851% 10/17/2052  |  | 838000 | 792991 |
| BANK Series 2019-BN23 Class ASB, 2.846% 12/15/2052  |  | 326231 | 318094 |
| BANK Series 2020-BN25 Class XB, 0.4362% 1/15/2063 (d)(h) |  | 5200000 | 88952 |
| BANK Series 2020-BN28 Class A3, 1.584% 3/15/2063  |  | 8715000 | 7780411 |
| BANK Series 2021-BN31 Class XB, 0.8673% 2/15/2054 (d)(h) |  | 7000000 | 246996 |
| BANK Series 2021-BN32 Class A4, 2.349% 4/15/2054  |  | 20000000 | 18353716 |
| BANK Series 2021-BN33 Class A4, 2.27% 5/15/2064  |  | 9000000 | 8169294 |
| BANK Series 2021-BN33 Class XA, 1.0404% 5/15/2064 (d)(h) |  | 13313923 | 508959 |
| BANK Series 2021-BN34 Class XB, 0.5095% 6/15/2063 (d)(h) |  | 171794000 | 4119775 |
| BANK Series 2021-BN35 Class C, 2.902% 6/15/2064  |  | 123000 | 105139 |
| BANK Series 2022-BNK44 Class A5, 5.9349% 11/15/2055 (d) |  | 1700000 | 1811816 |
| Bay 2025-Livn Mortgage Trust Series 2025-LIVN Class A, CME Term SOFR 1 month Index + 1.8%, 5.759% 5/15/2035 (b)(c)(d) |  | 1123000 | 1124251 |
| Bayview Commercial Asset Trust Series 2005-3A Class A2, CME Term SOFR 1 month Index + 0.7145%, 4.6688% 11/25/2035 (b)(c)(d) |  | 9988 | 9837 |
| Bayview Commercial Asset Trust Series 2005-4A Class A2, CME Term SOFR 1 month Index + 0.6995%, 4.6538% 1/25/2036 (b)(c)(d) |  | 23507 | 22503 |
| Bayview Commercial Asset Trust Series 2005-4A Class M1, CME Term SOFR 1 month Index + 0.7895%, 4.7438% 1/25/2036 (b)(c)(d) |  | 7588 | 7271 |
| Bayview Commercial Asset Trust Series 2006-4A Class A2, CME Term SOFR 1 month Index + 0.5195%, 4.4738% 12/25/2036 (b)(c)(d) |  | 51387 | 49213 |
| Bayview Commercial Asset Trust Series 2007-1 Class A2, CME Term SOFR 1 month Index + 0.5195%, 4.4738% 3/25/2037 (b)(c)(d) |  | 12641 | 12134 |
| Bayview Commercial Asset Trust Series 2007-2A Class A1, CME Term SOFR 1 month Index + 0.3845%, 4.4738% 7/25/2037 (b)(c)(d) |  | 42543 | 39942 |
| Bayview Commercial Asset Trust Series 2007-2A Class A2, CME Term SOFR 1 month Index + 0.4345%, 4.5488% 7/25/2037 (b)(c)(d) |  | 39318 | 36247 |
| Bayview Commercial Asset Trust Series 2007-2A Class M1, CME Term SOFR 1 month Index + 0.4845%, 4.6238% 7/25/2037 (b)(c)(d) |  | 13383 | 12697 |
| Bayview Commercial Asset Trust Series 2007-3 Class A2, CME Term SOFR 1 month Index + 0.5495%, 4.5038% 7/25/2037 (b)(c)(d) |  | 13935 | 13280 |
| Bayview Commercial Asset Trust Series 2007-3 Class M1, CME Term SOFR 1 month Index + 0.5795%, 4.5338% 7/25/2037 (b)(c)(d) |  | 7385 | 6822 |
| Bayview Commercial Asset Trust Series 2007-3 Class M2, CME Term SOFR 1 month Index + 0.6245%, 4.5788% 7/25/2037 (b)(c)(d) |  | 7899 | 7225 |
| Bayview Commercial Asset Trust Series 2007-3 Class M3, CME Term SOFR 1 month Index + 0.6695%, 4.6238% 7/25/2037 (b)(c)(d) |  | 12650 | 11781 |
| Bayview Commercial Asset Trust Series 2007-3 Class M4, CME Term SOFR 1 month Index + 0.8645%, 4.8188% 7/25/2037 (b)(c)(d) |  | 19971 | 18841 |
| Bayview Commercial Asset Trust Series 2007-3 Class M5, CME Term SOFR 1 month Index + 1.0145%, 4.9688% 7/25/2037 (b)(c)(d) |  | 13359 | 14842 |
| BBCCRE Trust Series 2015-GTP Class A, 3.966% 8/10/2033 (b) |  | 274000 | 253525 |
| BBCMS Mortgage Trust Series 2016-ETC Class E, 3.6089% 8/14/2036 (b)(d) |  | 4500000 | 4207861 |
| BBCMS Mortgage Trust Series 2018-TALL Class A, CME Term SOFR 1 month Index + 0.872%, 4.878% 3/15/2037 (b)(c)(d) |  | 525000 | 493569 |
| BBCMS Mortgage Trust Series 2019-C4 Class A4, 2.661% 8/15/2052  |  | 3471290 | 3319713 |
| BBCMS Mortgage Trust Series 2021-C9 Class A4, 2.021% 2/15/2054  |  | 9940254 | 8989358 |
| BBCMS Mortgage Trust Series 2023-C21 Class A3, 6.2959% 9/15/2056 (d) |  | 1600000 | 1718961 |
| BBCMS Mortgage Trust Series 2024-5C29 Class XB, 1.0114% 9/15/2057 (d)(h) |  | 147436000 | 5228906 |
| BBCMS Mortgage Trust Series 2025-C35 Class A5, 5.586% 7/15/2058  |  | 743000 | 789773 |
| BBCMS Mortgage Trust Series 2025-C35 Class AS, 5.843% 7/15/2058  |  | 101000 | 106813 |
| BBCMS Mortgage Trust Series 2025-C35 Class D, 4.5% 7/15/2058 (b) |  | 111000 | 84630 |
| Benchmark Mortgage Trust Series 2018-B2 Class A4, 3.6147% 2/15/2051  |  | 3500000 | 3460493 |
| Benchmark Mortgage Trust Series 2018-B4 Class A2, 3.976% 7/15/2051  |  | 1329750 | 1319842 |
| Benchmark Mortgage Trust Series 2018-B4 Class A5, 4.121% 7/15/2051  |  | 949000 | 944530 |
| Benchmark Mortgage Trust Series 2019-B10 Class A4, 3.717% 3/15/2062  |  | 2373000 | 2328028 |
| Benchmark Mortgage Trust Series 2019-B12 Class XA, 1.0628% 8/15/2052 (d)(h) |  | 34577081 | 880837 |
| Benchmark Mortgage Trust Series 2019-B13 Class A4, 2.952% 8/15/2057  |  | 7629000 | 7260361 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.7599% 12/15/2062 (d)(h) |  | 19617918 | 392441 |
| Benchmark Mortgage Trust Series 2020-B16 Class A4, 2.483% 2/15/2053  |  | 3200000 | 2994544 |
| Benchmark Mortgage Trust Series 2020-B18 Class A4, 1.672% 7/15/2053  |  | 10000000 | 8964237 |
| Benchmark Mortgage Trust Series 2020-B19 Class A3, 1.787% 9/15/2053  |  | 5800000 | 5616011 |
| Benchmark Mortgage Trust Series 2020-B19 Class A4, 1.546% 9/15/2053  |  | 12500000 | 11345464 |
| Benchmark Mortgage Trust Series 2020-B21 Class A5, 1.9775% 12/17/2053  |  | 69000 | 61125 |
| Benchmark Mortgage Trust Series 2020-B22 Class A4, 1.685% 1/15/2054  |  | 3175000 | 2832264 |
| Benchmark Mortgage Trust Series 2021-B23 Class A4A1, 1.823% 2/15/2054  |  | 2000000 | 1765492 |
| Benchmark Mortgage Trust Series 2021-B24 Class A4, 2.2638% 3/15/2054  |  | 5800000 | 5268772 |
| Benchmark Mortgage Trust Series 2021-B26 Class A4, 2.295% 6/15/2054  |  | 8800000 | 8021120 |
| Benchmark Mortgage Trust Series 2023-V2 Class A3, 5.8118% 5/15/2055  |  | 13000000 | 13437806 |
| Benchmark Mortgage Trust Series 2024-V9 Class A3, 5.6019% 8/15/2057  |  | 4400000 | 4585469 |
| Benchmark Mortgage Trust Series 2025-V14 Class A4, 5.6599% 4/15/2057  |  | 11710000 | 12298885 |
| Benchmark Mortgage Trust Series 2025-V18 Class A3, 5.1837% 10/15/2058  |  | 326000 | 337551 |
| Benchmark Mortgage Trust Series 2025-V18 Class XB, 0.6346% 10/15/2058 (b)(d)(h) |  | 28892000 | 574951 |
| BFLD Commercial Mortgage Trust Series 2024-UNIV Class A, CME Term SOFR 1 month Index + 1.4925%, 5.4515% 11/15/2041 (b)(c)(d) |  | 210000 | 208564 |
| BFLD Commercial Mortgage Trust Series 2024-UNIV Class E, CME Term SOFR 1 month Index + 3.6395%, 7.5985% 11/15/2041 (b)(c)(d) |  | 134000 | 134047 |
| BFLD Commercial Mortgage Trust Series 2025-5MW Class A, 4.6742% 10/10/2042 (b)(d) |  | 161000 | 161729 |
| BFLD Commercial Mortgage Trust Series 2025-5MW Class E, 7.9126% 10/10/2042 (b)(d) |  | 115000 | 116650 |
| BFLD Commercial Mortgage Trust Series 2025-660F Class A, CME Term SOFR 1 month Index + 1.5%, 5.4646% 11/15/2042 (b)(c)(d) |  | 744000 | 744930 |
| BFLD Commercial Mortgage Trust Series 2025-660F Class D, CME Term SOFR 1 month Index + 2.75%, 6.7146% 11/15/2042 (b)(c)(d) |  | 168000 | 168315 |
| BFLD Trust Series 2024-VICT Class A, CME Term SOFR 1 month Index + 1.89%, 5.849% 7/15/2041 (b)(c)(d) |  | 2906000 | 2915064 |
| BFLD Trust Series 2024-WRHS Class A, CME Term SOFR 1 month Index + 1.4921%, 5.4511% 7/15/2039 (b)(c)(d) |  | 834297 | 834297 |
| BFLD Trust Series 2025-EWEST Class A, CME Term SOFR 1 month Index + 1.55%, 5.509% 6/15/2042 (b)(c)(d) |  | 734000 | 735942 |
| BHMS Commercial Mortgage Trust Series 2025-ATLS Class A, CME Term SOFR 1 month Index + 1.85%, 5.809% 8/15/2042 (b)(c)(d) |  | 274000 | 274514 |
| BLOX Trust Series 2021-BLOX Class A, CME Term SOFR 1 month Index + 1.1145%, 5.0735% 9/15/2026 (b)(c)(d) |  | 8921000 | 8848720 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.3011% 3/15/2041 (b)(c)(d) |  | 2846482 | 2846482 |
| BMD2 Re-Remic Trust Series 2019-FRR1 Class 5B13, 2.1649% 5/25/2052 (b)(d) |  | 4000000 | 3565484 |
| BMD2 Re-Remic Trust Series 2019-FRR1 Class 5D1, 0% 5/25/2052 (b)(j) |  | 4000000 | 3009497 |
| BMD2 Re-Remic Trust Series 2019-FRR1 Class 6C, 0% 5/25/2052 (b)(j) |  | 4200000 | 3242973 |
| BMO Mortgage Trust Series 2022-C1 Class A4, 3.119% 2/17/2055  |  | 6200000 | 5747881 |
| BMO Mortgage Trust Series 2023-5C1 Class A3, 6.534% 8/15/2056  |  | 10000000 | 10486868 |
| BMO Mortgage Trust Series 2023-C5 Class A2, 6.5176% 6/15/2056  |  | 8500000 | 8757085 |
| BMO Mortgage Trust Series 2025-5C12 Class A3, 5.18% 10/15/2058  |  | 17950000 | 18530807 |
| BMO Mortgage Trust Series 2025-5C12 Class XB, 0.9681% 10/15/2058 (d)(h) |  | 5700000 | 200557 |
| BMO Mortgage Trust Series 2025-5C9 Class A3, 5.7785% 4/15/2058 (d) |  | 6700000 | 7043237 |
| BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.3309% 6/15/2041 (b)(c)(d) |  | 4040000 | 4039998 |
| BMP Series 2024-MF23 Class B, CME Term SOFR 1 month Index + 1.6416%, 5.6005% 6/15/2041 (b)(c)(d) |  | 1590000 | 1589999 |
| BMP Series 2024-MF23 Class C, CME Term SOFR 1 month Index + 1.8413%, 5.8002% 6/15/2041 (b)(c)(d) |  | 1060000 | 1060330 |
| BMP Series 2024-MF23 Class D, CME Term SOFR 1 month Index + 2.3905%, 6.3495% 6/15/2041 (b)(c)(d) |  | 1463000 | 1463912 |
| BMP Series 2024-MF23 Class E, CME Term SOFR 1 month Index + 3.3891%, 7.348% 6/15/2041 (b)(c)(d) |  | 124000 | 123845 |
| Boca Commercial Mortgage Trust 2024-Boca Series 2024-BOCA Class A, CME Term SOFR 1 month Index + 1.9207%, 5.8796% 8/15/2041 (b)(c)(d) |  | 100000 | 100125 |
| Bpr Coml Mtg Trust Series 2025-STAR Class A, 5.112% 11/5/2042 (b)(d) |  | 190000 | 192135 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class A, 5.218% 11/5/2039 (b)(d) |  | 100000 | 102266 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class B, 5.7976% 11/5/2039 (b)(d) |  | 500000 | 514706 |
| BPR Trust Series 2023-STON Class A, 7.497% 12/5/2039 (b) |  | 304000 | 315730 |
| BPR Trust Series 2024-PMDW Class A, 5.358% 11/5/2041 (b)(d) |  | 40000 | 41068 |
| Brck Trust Series 2025-830B Class A, 4.9556% 12/10/2030 (b)(d) |  | 242000 | 242000 |
| Brck Trust Series 2025-830B Class E, 7.5058% 12/10/2030 (b)(d) |  | 388000 | 388000 |
| Brck Trust Series 2025-830B Class F, 8.4001% 12/10/2030 (b)(d) |  | 194000 | 194000 |
| Bres Coml Mtg Trust Series 2025-ATCAP Class A, CME Term SOFR 1 month Index + 1.4938%, 5.4711% 11/15/2042 (b)(c)(d) |  | 393000 | 391748 |
| BSTN Commercial Mortgage Trust Series 2025-1C Class A, 5.369% 6/15/2044 (b)(d) |  | 384000 | 397591 |
| BSTN Commercial Mortgage Trust Series 2025-1C Class C, 6.2363% 6/15/2044 (b)(d) |  | 344000 | 360031 |
| BSTN Commercial Mortgage Trust Series 2025-1C Class D, 6.7168% 6/15/2044 (b)(d) |  | 335000 | 348472 |
| BWAY Mortgage Trust Series 2013-1515 Class F, 3.927% 3/10/2033 (b)(d) |  | 146276 | 123447 |
| Bway Trust Series 2025-1535 Class A, 6.309% 5/5/2042 (b)(d) |  | 62000 | 64451 |
| BX Commercial Mortgage Trust 2021-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.45% 4/15/2037 (b)(c)(d) |  | 3724060 | 3725219 |
| BX Commercial Mortgage Trust 2024-KING Series 2024-KING Class A, CME Term SOFR 1 month Index + 1.541%, 5.5% 5/15/2034 (b)(c)(d) |  | 167791 | 167791 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.3506% 3/15/2041 (b)(c)(d) |  | 14067512 | 14067508 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class D, CME Term SOFR 1 month Index + 2.6898%, 6.6488% 3/15/2041 (b)(c)(d) |  | 682848 | 683700 |
| BX Commercial Mortgage Trust 2025-SPOT Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.4023% 4/15/2040 (b)(c)(d) |  | 7343801 | 7343799 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.6003% 5/15/2041 (b)(d) |  | 6789265 | 6793499 |
| BX Commercial Mortgage Trust Series 2019-IMC Class A, CME Term SOFR 1 month Index + 1.0463%, 5.0053% 4/15/2034 (b)(c)(d) |  | 2920073 | 2903884 |
| BX Commercial Mortgage Trust Series 2019-IMC Class B, CME Term SOFR 1 month Index + 1.3463%, 5.3053% 4/15/2034 (b)(c)(d) |  | 4464000 | 4420213 |
| BX Commercial Mortgage Trust Series 2019-IMC Class C, CME Term SOFR 1 month Index + 1.6463%, 5.6053% 4/15/2034 (b)(c)(d) |  | 2952000 | 2917450 |
| BX Commercial Mortgage Trust Series 2019-IMC Class D, CME Term SOFR 1 month Index + 1.9463%, 5.9053% 4/15/2034 (b)(c)(d) |  | 3099000 | 3047456 |
| BX Commercial Mortgage Trust Series 2021-CIP Class E, CME Term SOFR 1 month Index + 2.9345%, 6.8935% 12/15/2038 (b)(c)(d) |  | 4398225 | 4390036 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 4.7626% 10/15/2036 (b)(c)(d) |  | 8126000 | 8110902 |
| BX Commercial Mortgage Trust Series 2021-PAC Class B, CME Term SOFR 1 month Index + 1.0133%, 4.9723% 10/15/2036 (b)(c)(d) |  | 1201000 | 1197257 |
| BX Commercial Mortgage Trust Series 2021-PAC Class C, CME Term SOFR 1 month Index + 1.2131%, 5.1721% 10/15/2036 (b)(c)(d) |  | 1607000 | 1599988 |
| BX Commercial Mortgage Trust Series 2021-PAC Class D, CME Term SOFR 1 month Index + 1.4128%, 5.3718% 10/15/2036 (b)(c)(d) |  | 1560000 | 1552221 |
| BX Commercial Mortgage Trust Series 2021-PAC Class E, CME Term SOFR 1 month Index + 2.062%, 6.021% 10/15/2036 (b)(c)(d) |  | 5425000 | 5404710 |
| BX Commercial Mortgage Trust Series 2022-CSMO Class B, CME Term SOFR 1 month Index + 3.1407%, 7.0997% 6/15/2027 (b)(c)(d) |  | 1081800 | 1087199 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 4.9719% 2/15/2039 (b)(c)(d) |  | 232484 | 232049 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 5.7204% 12/9/2040 (b)(c)(d) |  | 3670977 | 3670977 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 6.1498% 12/9/2040 (b)(c)(d) |  | 713145 | 713144 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class C, CME Term SOFR 1 month Index + 2.6402%, 6.5991% 12/9/2040 (b)(c)(d) |  | 386645 | 386886 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class D, CME Term SOFR 1 month Index + 3.5888%, 7.5478% 12/9/2040 (b)(c)(d) |  | 214803 | 215003 |
| BX Commercial Mortgage Trust Series 2024-AIR2 Class A, CME Term SOFR 1 month Index + 1.4923%, 5.4513% 10/15/2041 (b)(c)(d) |  | 6109978 | 6117602 |
| BX Commercial Mortgage Trust Series 2024-AIRC Class A, CME Term SOFR 1 month Index + 1.6912%, 5.6502% 8/15/2041 (b)(c)(d) |  | 5489849 | 5496700 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 5.2518% 12/15/2039 (b)(c)(d) |  | 1377363 | 1368260 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class B, CME Term SOFR 1 month Index + 1.6423%, 5.6013% 12/15/2039 (b)(c)(d) |  | 116386 | 116494 |
| BX Commercial Mortgage Trust Series 2024-MF Class A, CME Term SOFR 1 month Index + 1.4416%, 5.4006% 2/15/2039 (b)(c)(d) |  | 115109 | 115109 |
| BX Commercial Mortgage Trust Series 2024-MF Class E, CME Term SOFR 1 month Index + 3.7383%, 7.6973% 2/15/2039 (b)(c)(d) |  | 154069 | 154190 |
| BX Commercial Mortgage Trust Series 2024-PALM Class A, CME Term SOFR 1 month Index + 1.541%, 5.5% 6/15/2037 (b)(c)(d) |  | 605769 | 606147 |
| BX Commercial Mortgage Trust Series 2024-PALM Class D, CME Term SOFR 1 month Index + 2.64%, 6.599% 6/15/2037 (b)(c)(d) |  | 2116437 | 2117615 |
| BX Commercial Mortgage Trust Series 2025-BCAT Class A, CME Term SOFR 1 month Index + 1.38%, 5.339% 8/15/2042 (b)(c)(d) |  | 316234 | 316234 |
| BX Commercial Mortgage Trust Series 2025-BCAT Class B, CME Term SOFR 1 month Index + 1.55%, 5.509% 8/15/2042 (b)(c)(d) |  | 95828 | 95828 |
| BX Commercial Mortgage Trust Series 2025-BCAT Class C, CME Term SOFR 1 month Index + 1.9%, 5.859% 8/15/2042 (b)(c)(d) |  | 95828 | 95828 |
| BX Commercial Mortgage Trust Series 2025-BCAT Class E, CME Term SOFR 1 month Index + 3.5%, 7.459% 8/15/2042 (b)(c)(d) |  | 259695 | 259172 |
| BX Commercial Mortgage Trust Series 2025-COPT Class A, CME Term SOFR 1 month Index + 1.75%, 5.709% 8/15/2042 (b)(c)(d) |  | 1595000 | 1595994 |
| Bx Commercial Mortgage Trust Series 2025-JDI Class A, CME Term SOFR 1 month Index + 1.4%, 5.4% 11/15/2042 (b)(c)(d) |  | 758000 | 758946 |
| Bx Commercial Mortgage Trust Series 2025-JDI Class E, CME Term SOFR 1 month Index + 3.4%, 7.4% 11/15/2042 (b)(c)(d) |  | 172000 | 172430 |
| Bx Tr 2025-Tail Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.359% 6/15/2035 (b)(c)(d) |  | 1915000 | 1914999 |
| Bx Tr 2025-Tail Series 2025-TAIL Class E, CME Term SOFR 1 month Index + 3.3%, 7.259% 6/15/2035 (b)(c)(d) |  | 897000 | 896385 |
| BX Trust 2019-OC11 Series 2019-OC11 Class E, 3.944% 12/9/2041 (b)(d) |  | 4140000 | 3823738 |
| BX Trust 2024 VLT4 Series 2024-VLT4 Class E, CME Term SOFR 1 month Index + 2.8894%, 6.8484% 6/15/2041 (b)(c)(d) |  | 220000 | 218764 |
| BX Trust 2024 VLT4 Series 2024-VLT4 Class F, CME Term SOFR 1 month Index + 3.9379%, 7.8968% 6/15/2041 (b)(c)(d) |  | 390000 | 390464 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.4008% 4/15/2041 (b)(c)(d) |  | 7488333 | 7488333 |
| BX Trust 2024-CNY Series 2024-CNYN Class B, CME Term SOFR 1 month Index + 1.6915%, 5.6505% 4/15/2041 (b)(c)(d) |  | 1172689 | 1173054 |
| BX Trust 2024-CNY Series 2024-CNYN Class C, CME Term SOFR 1 month Index + 1.9412%, 5.9001% 4/15/2041 (b)(c)(d) |  | 973635 | 974242 |
| BX Trust 2024-CNY Series 2024-CNYN Class D, CME Term SOFR 1 month Index + 2.6901%, 6.6491% 4/15/2041 (b)(c)(d) |  | 1083980 | 1085332 |
| BX Trust 2024-CNY Series 2024-CNYN Class E, CME Term SOFR 1 month Index + 3.6886%, 7.6476% 4/15/2041 (b)(c)(d) |  | 106018 | 105496 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.1028% 3/15/2030 (b)(c)(d) |  | 13625857 | 13600310 |
| BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.3524% 3/15/2030 (b)(c)(d) |  | 1455324 | 1451689 |
| BX Trust 2025-ROIC Series 2025-ROIC Class C, CME Term SOFR 1 month Index + 1.69%, 5.5022% 3/15/2030 (b)(c)(d) |  | 2051001 | 2045878 |
| BX Trust 2025-ROIC Series 2025-ROIC Class E, CME Term SOFR 1 month Index + 2.9413%, 6.9003% 3/15/2030 (b)(c)(d) |  | 722183 | 717674 |
| BX Trust 2025-VLT6 Series 2025-VLT6 Class A, CME Term SOFR 1 month Index + 1.4432%, 5.4022% 3/15/2042 (b)(c)(d) |  | 275000 | 274142 |
| BX Trust 2025-VLT6 Series 2025-VLT6 Class B, CME Term SOFR 1 month Index + 1.8926%, 5.8515% 3/15/2042 (b)(c)(d) |  | 3000000 | 2986890 |
| BX Trust Series 2020-VIV3 Class B, 3.5439% 3/9/2044 (b)(d) |  | 2635000 | 2494147 |
| BX Trust Series 2021-ACNT Class B, CME Term SOFR 1 month Index + 1.3645%, 5.3235% 11/15/2038 (b)(c)(d) |  | 546113 | 545743 |
| BX Trust Series 2021-ARIA Class A, CME Term SOFR 1 month Index + 1.0136%, 4.9726% 10/15/2036 (b)(c)(d) |  | 129000 | 128920 |
| BX Trust Series 2021-BXMF Class A, CME Term SOFR 1 month Index + 0.7504%, 4.7094% 10/15/2026 (b)(c)(d) |  | 1575697 | 1571792 |
| BX Trust Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 4.8735% 2/15/2036 (b)(c)(d) |  | 1559000 | 1557084 |
| BX Trust Series 2021-MFM1 Class E, CME Term SOFR 1 month Index + 2.3645%, 6.3235% 1/15/2034 (b)(c)(d) |  | 66555 | 66515 |
| BX Trust Series 2021-MFM1 Class F, CME Term SOFR 1 month Index + 3.1145%, 7.0735% 1/15/2034 (b)(c)(d) |  | 40957 | 40923 |
| BX Trust Series 2021-VIEW Class F, CME Term SOFR 1 month Index + 4.0445%, 8.0035% 6/15/2036 (b)(c)(d) |  | 61000 | 60727 |
| BX Trust Series 2021-XL2 Class A, CME Term SOFR 1 month Index + 0.6885%, 4.762% 10/15/2038 (b)(c)(d) |  | 442017 | 441466 |
| BX Trust Series 2022-IND Class B, CME Term SOFR 1 month Index + 1.94%, 5.899% 4/15/2037 (b)(c)(d) |  | 2788100 | 2789836 |
| BX Trust Series 2022-IND Class C, CME Term SOFR 1 month Index + 2.29%, 6.249% 4/15/2037 (b)(c)(d) |  | 629300 | 629888 |
| BX Trust Series 2022-IND Class D, CME Term SOFR 1 month Index + 2.839%, 6.798% 4/15/2037 (b)(c)(d) |  | 526399 | 527055 |
| BX Trust Series 2022-LBA6 Class A, CME Term SOFR 1 month Index + 1%, 4.959% 1/15/2039 (b)(c)(d) |  | 6750000 | 6741588 |
| BX Trust Series 2023-DELC Class A, CME Term SOFR 1 month Index + 2.69%, 6.649% 5/15/2038 (b)(c)(d) |  | 1250000 | 1249996 |
| BX Trust Series 2024-BRBK Class A, CME Term SOFR 1 month Index + 2.8796%, 6.8422% 10/15/2041 (b)(c)(d) |  | 460000 | 461150 |
| BX Trust Series 2024-BRBK Class B, CME Term SOFR 1 month Index + 3.9266%, 7.8892% 10/15/2041 (b)(c)(d) |  | 1199000 | 1199002 |
| BX Trust Series 2024-BRBK Class D, CME Term SOFR 1 month Index + 5.9705%, 9.9331% 10/15/2041 (b)(c)(d) |  | 21000 | 20903 |
| BX Trust Series 2024-PAT Class A, CME Term SOFR 1 month Index + 2.09%, 6.049% 3/15/2041 (b)(c)(d) |  | 150000 | 150000 |
| BX Trust Series 2024-PAT Class C, CME Term SOFR 1 month Index + 4.439%, 8.398% 3/15/2041 (b)(c)(d) |  | 321000 | 320999 |
| BX Trust Series 2024-PAT Class D, CME Term SOFR 1 month Index + 5.389%, 9.348% 3/15/2041 (b)(c)(d) |  | 155000 | 154999 |
| BX Trust Series 2024-VLT4 Class A, CME Term SOFR 1 month Index + 1.4914%, 5.4504% 6/15/2041 (b)(c)(d) |  | 899000 | 896074 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.401% 2/15/2039 (b)(c)(d) |  | 6519447 | 6521485 |
| BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 5.7505% 2/15/2039 (b)(c)(d) |  | 795326 | 796318 |
| BX Trust Series 2024-XL4 Class D, CME Term SOFR 1 month Index + 3.1396%, 7.0986% 2/15/2039 (b)(c)(d) |  | 361934 | 362611 |
| BX Trust Series 2024-XL4 Class E, CME Term SOFR 1 month Index + 4.1881%, 8.147% 2/15/2039 (b)(c)(d) |  | 194887 | 195140 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 5.6502% 3/15/2041 (b)(c)(d) |  | 1912396 | 1912991 |
| BX Trust Series 2024-XL5 Class C, CME Term SOFR 1 month Index + 1.9409%, 5.8998% 3/15/2041 (b)(c)(d) |  | 2539100 | 2540682 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 5.109% 2/15/2035 (b)(c)(d) |  | 4360000 | 4351498 |
| Bx Trust Series 2025-LIFE Class A, 5.8836% 6/13/2047 (b)(d) |  | 689000 | 710473 |
| Bx Trust Series 2025-LUNR Class A, 5.459% 6/15/2040 (b)(d) |  | 75453 | 75453 |
| BX Trust Series 2025-OMG Class A, CME Term SOFR 1 month Index + 1.35%, 5.309% 10/15/2042 (b)(c)(d) |  | 250000 | 250313 |
| BX Trust Series 2025-VLT7 Class B, CME Term SOFR 1 month Index + 2%, 5.959% 7/15/2044 (b)(c)(d) |  | 1175000 | 1175368 |
| BX Trust Series 2025-VOLT Class A, CME Term SOFR 1 month Index + 1.7%, 5.7% 12/15/2044 (b)(c)(d) |  | 314000 | 313804 |
| CALI Mortgage Trust Series 2024-SUN Class A, CME Term SOFR 1 month Index + 1.8911%, 5.863% 7/15/2041 (b)(c)(d) |  | 320000 | 320199 |
| CAMB Commercial Mortgage Trust Series 2021-CX2 Class A, 2.7% 11/10/2046 (b) |  | 4000000 | 3477457 |
| CCUBS Commercial Mortgage Trust Series 2017-C1 Class A3, 3.283% 11/15/2050  |  | 3909496 | 3835938 |
| CD Mortgage Trust Series 2017-CD5 Class A3, 3.171% 8/15/2050  |  | 2697123 | 2649255 |
| CD Mortgage Trust Series 2017-CD5 Class A4, 3.431% 8/15/2050  |  | 1000000 | 984199 |
| CD Mortgage Trust Series 2017-CD6 Class A3, 3.104% 11/13/2050  |  | 964022 | 957143 |
| Cent Trust Series 2025-CITY Class A, 4.92% 7/10/2040 (b)(d) |  | 4049000 | 4120378 |
| CF Hippolyta Issuer LLC Series 2020-1 Class A1, 1.69% 7/15/2060 (b) |  | 16425954 | 14022313 |
| CF Hippolyta Issuer LLC Series 2020-1 Class A2, 1.99% 7/15/2060 (b) |  | 6398200 | 5353170 |
| CF Hippolyta Issuer LLC Series 2021-1A Class A1, 1.53% 3/15/2061 (b) |  | 8357192 | 6821631 |
| CF Series 2019-CF2 Class A4, 2.6236% 11/15/2052  |  | 748970 | 711425 |
| CFCRE Commercial Mortgage Trust Series 2011-C2 Class D, 5.0798% 12/15/2047 (b)(d) |  | 27696 | 27307 |
| CFCRE Commercial Mortgage Trust Series 2016-C6 Class A2, 2.95% 11/10/2049  |  | 895411 | 889382 |
| CFMT Trust Series 2021-FRR1 Class AK99, 0% 9/29/2029 (b) |  | 5353696 | 4194532 |
| CFMT Trust Series 2021-FRR1 Class BK54, 0% 2/28/2026 (b) |  | 659122 | 647712 |
| CFMT Trust Series 2021-FRR1 Class BK58, 2.3868% 9/29/2029 (b)(d) |  | 327366 | 311087 |
| CFMT Trust Series 2021-FRR1 Class BK98, 0% 8/29/2029 (b) |  | 2368616 | 1837021 |
| CFMT Trust Series 2021-FRR1 Class BK99, 0% 9/29/2029 (b)(i) |  | 447606 | 316694 |
| CFMT Trust Series 2021-FRR1 Class CK54, 0% 2/28/2026 (b) |  | 204787 | 200596 |
| CFMT Trust Series 2021-FRR1 Class CKW1, 0% 1/29/2026 (b) |  | 263297 | 260211 |
| CFSP Mortgage Trust Series 2024-AHP1 Class A, 6.5% 4/15/2037  |  | 570814 | 554012 |
| CGMS Commercial Mortgage Trust Series 2017-B1 Class A3, 3.197% 8/15/2050  |  | 856433 | 842367 |
| CHI Commercial Mortgage Trust Series 2025-110W Class A, 5.1022% 12/13/2040 (b)(d) |  | 332000 | 333379 |
| CHI Commercial Mortgage Trust Series 2025-110W Class D, 6.6286% 12/13/2040 (b)(d) |  | 214000 | 214586 |
| Cip Commercial Mortgage Trust Series 2025-SBAY Class A, CME Term SOFR 1 month Index + 1.4%, 5.5% 10/15/2037 (b)(c)(d) |  | 926000 | 926578 |
| Cip Commercial Mortgage Trust Series 2025-SBAY Class E, CME Term SOFR 1 month Index + 3.75%, 7.85% 10/15/2037 (b)(c)(d) |  | 527000 | 527632 |
| Citigroup Commercial Mortgage Trust Series 2016-C2 Class A3, 2.575% 8/10/2049  |  | 2336260 | 2312787 |
| Citigroup Commercial Mortgage Trust Series 2016-P6 Class XA, 0.545% 12/10/2049 (d)(h) |  | 11880133 | 38518 |
| COMM Mortgage Trust Series 2016-787S Class A, 3.545% 2/10/2036 (b) |  | 4035000 | 4004175 |
| COMM Mortgage Trust Series 2016-COR1 Class A3, 2.826% 10/10/2049  |  | 7366360 | 7297569 |
| COMM Mortgage Trust Series 2017-CD4 Class A4, 3.514% 5/10/2050  |  | 4000000 | 3957121 |
| COMM Mortgage Trust Series 2017-COR2 Class A3, 3.51% 9/10/2050  |  | 11380000 | 11213217 |
| COMM Mortgage Trust Series 2017-COR2 Class ASB, 3.317% 9/10/2050  |  | 395403 | 392242 |
| COMM Mortgage Trust Series 2018-HOME Class A, 3.8151% 4/10/2033 (b)(d) |  | 699201 | 687284 |
| COMM Mortgage Trust Series 2024-277P Class A, 6.338% 8/10/2044 (b) |  | 1800000 | 1899345 |
| COMM Mortgage Trust Series 2024-277P Class X, 0.661% 8/10/2044 (b)(d)(h) |  | 5900000 | 143968 |
| COMM Mortgage Trust Series 2024-CBM Class A2, 5.867% 12/10/2041 (b)(d) |  | 110000 | 112398 |
| COMM Mortgage Trust Series 2024-WCL1 Class A, CME Term SOFR 1 month Index + 1.841%, 5.8% 6/15/2041 (b)(c)(d) |  | 400000 | 400865 |
| COMM Mortgage Trust Series 2024-WCL1 Class B, CME Term SOFR 1 month Index + 2.59%, 6.549% 6/15/2041 (b)(c)(d) |  | 237000 | 236111 |
| COMM Mortgage Trust Series 2024-WCL1 Class E, CME Term SOFR 1 month Index + 4.487%, 8.446% 6/15/2041 (b)(c)(d) |  | 159000 | 158189 |
| Comm Mortgage Trust Series 2025-167G Class A, 5.5027% 8/10/2040 (b) |  | 160000 | 161282 |
| Comm Mortgage Trust Series 2025-167G Class E, 8.2011% 8/10/2040 (b)(d) |  | 125000 | 125624 |
| Comm Mortgage Trust Series 2025-167G Class F, 9.1586% 8/10/2040 (b)(d) |  | 108000 | 108521 |
| COMM Mortgage Trust Series 2025-SBX Class B, 5.7338% 8/10/2041 (b)(d) |  | 74000 | 74392 |
| Computershare Corporate Trust Series 2018-C48 Class A5, 4.302% 1/15/2052  |  | 3181000 | 3188585 |
| Cone Trust Series 2024-DFW1 Class A, CME Term SOFR 1 month Index + 1.6417%, 5.6007% 8/15/2041 (b)(c)(d) |  | 320000 | 319600 |
| Cone Trust Series 2024-DFW1 Class D, CME Term SOFR 1 month Index + 3.0397%, 6.9987% 8/15/2041 (b)(c)(d) |  | 43000 | 42906 |
| Cone Trust Series 2024-DFW1 Class E, CME Term SOFR 1 month Index + 3.8885%, 7.8474% 8/15/2041 (b)(c)(d) |  | 315000 | 314411 |
| Credit Suisse Commercial Mortgage Trust Series 2021-SOP2 Class A, CME Term SOFR 1 month Index + 1.1814%, 5.1403% 6/15/2034 (b)(c) |  | 97725 | 95478 |
| CSAIL Commercial Mortgage Trust Series 2016-C6 Class A5, 3.0898% 1/15/2049  |  | 880352 | 877054 |
| CSAIL Commercial Mortgage Trust Series 2016-C7 Class A4, 3.21% 11/15/2049  |  | 1749284 | 1740487 |
| CSAIL Commercial Mortgage Trust Series 2021-C20 Class A2, 2.4862% 3/15/2054  |  | 14793801 | 13802687 |
| CSMC Trust Series 2014-USA Class A2, 3.953% 9/15/2037 (b) |  | 5001000 | 4625087 |
| CSMC Trust Series 2014-USA Class D, 4.3733% 9/15/2037 (b) |  | 3944000 | 3270713 |
| CSMC Trust Series 2016-NXSR Class A4, 3.7948% 12/15/2049  |  | 2000000 | 1986544 |
| CSMC Trust Series 2021-ADV Class A, CME Term SOFR 1 month Index + 1.5145%, 5.4735% 7/15/2038 (b)(c)(d) |  | 500000 | 456857 |
| CSMC Trust Series 2021-BHAR Class A, CME Term SOFR 1 month Index + 1.2645%, 5.2235% 11/15/2038 (b)(c)(d) |  | 228000 | 226653 |
| Cstl Coml Mtg Trust Series 2025-GATE2 Class A, 4.5605% 11/10/2042 (b)(d) |  | 110000 | 110006 |
| Cstl Coml Mtg Trust Series 2025-GATE2 Class D, 5.6289% 11/10/2042 (b)(d) |  | 200000 | 200054 |
| Cstl Coml Mtg Trust Series 2025-GATE2 Class E, 6.3548% 11/10/2042 (b)(d) |  | 5495000 | 5496467 |
| Cstl Commercial Mortgage Trust Series 2024-GATE Class A, 4.9232% 11/10/2041 (b)(d) |  | 440000 | 443203 |
| DBC Mortgage Trust Series 2025-DBC Class A, CME Term SOFR 1 month Index + 1.35%, 5.4% 11/15/2042 (b)(c)(d) |  | 1000000 | 1000000 |
| DBC Mortgage Trust Series 2025-DBC Class C, CME Term SOFR 1 month Index + 2.05%, 6.1% 11/15/2042 (b)(c)(d) |  | 251000 | 251313 |
| DBGS Mortgage Trust Series 2024-SBL Class A, CME Term SOFR 1 month Index + 1.8821%, 5.8411% 8/15/2034 (b)(c)(d) |  | 812000 | 811493 |
| DBSG Mortgage Trust Series 2024-ALTA Class A, 5.9456% 6/10/2037 (b)(d) |  | 121211 | 123111 |
| DBWF Mortgage Trust Series 2016-85T Class A, 3.791% 12/10/2036 (b) |  | 1390000 | 1370846 |
| DC Commercial Mortgage Trust Series 2024-HLTN Class A, 5.727% 4/13/2040 (b)(d) |  | 30000 | 30395 |
| DC Commercial Mortgage Trust Series 2024-HLTN Class F, 10.305% 4/13/2040 (b)(d) |  | 88000 | 87851 |
| DK Trust Series 2024-SPBX Class A, CME Term SOFR 1 month Index + 1.5%, 5.459% 3/15/2034 (b)(c)(d) |  | 197000 | 197061 |
| DK Trust Series 2024-SPBX Class E, CME Term SOFR 1 month Index + 4%, 7.959% 3/15/2034 (b)(c)(d) |  | 559000 | 559896 |
| DK Trust Series 2025-LXP Class A, CME Term SOFR 1 month Index + 1.593%, 5.5556% 8/15/2037 (b)(c)(d) |  | 125000 | 125078 |
| DK Trust Series 2025-LXP Class D, CME Term SOFR 1 month Index + 2.891%, 6.8536% 8/15/2037 (b)(c)(d) |  | 84000 | 84105 |
| DOLP Trust Series 2021-NYC Class A, 2.956% 5/10/2041 (b) |  | 8810000 | 7929949 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 5.8433% 1/15/2041 (b)(d) |  | 1752000 | 1802955 |
| Durst Commercial Mortgage Trust Series 2025-151 Class A, 5.3169% 8/10/2042 (b)(d) |  | 137000 | 139991 |
| Durst Commercial Mortgage Trust Series 2025-151 Class D, 6.7911% 8/10/2042 (b)(d) |  | 262000 | 271487 |
| Elm Trust Series 2024-ELM Class A10, 5.9942% 6/10/2039 (b)(d) |  | 460000 | 462736 |
| Elm Trust Series 2024-ELM Class A15, 5.9942% 6/10/2039 (b)(d) |  | 460000 | 462736 |
| Elm Trust Series 2024-ELM Class E10, 7.786% 6/10/2039 (b)(d) |  | 514000 | 515806 |
| Elm Trust Series 2024-ELM Class XP10, 0.2345% 6/10/2039 (b)(d)(h) |  | 2414000 | 2815 |
| Elm Trust Series 2024-ELM Class XP15, 1.5612% 6/10/2039 (b)(d)(h) |  | 2185000 | 16963 |
| ELP Series 2025-ELP Class A, 4.6039% 11/13/2042 (b) |  | 2195000 | 2204707 |
| EQT Trust Series 2024-EXTR Class A, 5.3308% 7/5/2041 (b)(d) |  | 705000 | 722857 |
| Extended Stay America Trust Series 2025-ESH Class A, CME Term SOFR 1 month Index + 1.3%, 5.259% 10/15/2042 (b)(c)(d) |  | 5262000 | 5270211 |
| Extended Stay America Trust Series 2025-ESH Class B, CME Term SOFR 1 month Index + 1.6%, 5.559% 10/15/2042 (b)(c)(d) |  | 1555000 | 1557912 |
| Extended Stay America Trust Series 2025-ESH Class C, CME Term SOFR 1 month Index + 1.85%, 5.809% 10/15/2042 (b)(c)(d) |  | 580000 | 581824 |
| Fannie Mae Guaranteed REMIC Series 2015-M10 Class A2, 3.092% 4/25/2027  |  | 112108 | 111032 |
| Fannie Mae Guaranteed REMIC Series 2016-M6 Class A2, 2.488% 5/25/2026  |  | 151683 | 150339 |
| Fannie Mae Guaranteed REMIC Series 2016-M7 Class A2, 2.4994% 9/25/2026  |  | 151531 | 150082 |
| Fannie Mae Guaranteed REMIC Series 2017-M1 Class A2, 2.5005% 10/25/2026 (d) |  | 199984 | 197164 |
| Fannie Mae Guaranteed REMIC Series 2017-M3 Class A2, 2.4738% 12/25/2026 (d) |  | 294900 | 290615 |
| Fannie Mae Guaranteed REMIC Series 2017-M5 Class A2, 3.0463% 4/25/2029 (d) |  | 393379 | 383816 |
| Fannie Mae Guaranteed REMIC Series 2017-M8 Class A2, 3.061% 5/25/2027  |  | 191276 | 189156 |
| Fannie Mae Guaranteed REMIC Series 2017-T1 Class A, 2.898% 6/25/2027  |  | 2877832 | 2831511 |
| Fannie Mae Guaranteed REMIC Series 2018-M10 Class A2, 3.3543% 7/25/2028 (d) |  | 589086 | 584322 |
| Fannie Mae Guaranteed REMIC Series 2018-M14 Class A2, 3.5773% 8/25/2028 (d) |  | 964257 | 955724 |
| Fannie Mae Guaranteed REMIC Series 2018-M2 Class A2, 2.9048% 1/25/2028 (d) |  | 674307 | 661678 |
| Fannie Mae Guaranteed REMIC Series 2018-M3 Class A2, 3.0742% 2/25/2030 (d) |  | 699635 | 677394 |
| Fannie Mae Guaranteed REMIC Series 2018-M4 Class A2, 3.0573% 3/25/2028 (d) |  | 200668 | 197635 |
| Fannie Mae Guaranteed REMIC Series 2018-M7 Class A2, 3.127% 3/25/2028 (d) |  | 779684 | 767627 |
| Fannie Mae Guaranteed REMIC Series 2019-M12 Class A2, 2.885% 6/25/2029 (d) |  | 778862 | 752409 |
| Fannie Mae Guaranteed REMIC Series 2019-M7 Class A2, 3.143% 4/25/2029  |  | 463573 | 452293 |
| Fannie Mae Guaranteed REMIC Series 2020-M50 Class A2, 1.2% 10/25/2030  |  | 140639 | 135109 |
| Fannie Mae Guaranteed REMIC Series 2020-M50 Class X1, 1.8184% 10/25/2030 (d)(h) |  | 2281288 | 80741 |
| Fannie Mae Guaranteed REMIC Series 2021-M2S Class A2, 1.8674% 10/25/2031 (d) |  | 200000 | 178228 |
| Fannie Mae Guaranteed REMIC Series 2022-M2S Class A2, 3.7591% 8/25/2032 (d) |  | 412499 | 401195 |
| Fannie Mae Guaranteed REMIC Series 2023-M1S Class A2, 4.6482% 4/25/2033 (d) |  | 600000 | 609379 |
| Fannie Mae Guaranteed REMIC Series 2023-M8 Class A2, 4.6252% 3/25/2033 (d) |  | 800000 | 812765 |
| Fannie Mae Guaranteed REMIC Series 2025-M4 Class A2, 4.389% 8/25/2035  |  | 3300000 | 3299513 |
| Fannie Mae Mortgage pass-thru certificates Series 2018-M13 Class A2, 3.8748% 9/25/2030 (d) |  | 567248 | 563144 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-M38 Class 2A1, 1.594% 11/25/2028  |  | 125167 | 118074 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-M38 Class X2, 1.9746% 11/25/2028 (d)(h) |  | 1016120 | 39661 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-M2 Class A2, 4.62% 4/25/2030  |  | 9400000 | 9602087 |
| Fannie Mae Series 2022-M10 Class A2, 1.992% 1/25/2032 (d) |  | 9000000 | 7999056 |
| Fontainebleau Miami Beach Beach Mtg Tr Series 2024-FBLU Class A, CME Term SOFR 1 month Index + 1.45%, 5.409% 12/15/2039 (b)(c)(d) |  | 1930000 | 1932402 |
| Fontainebleau Miami Beach Beach Mtg Tr Series 2024-FBLU Class G, CME Term SOFR 1 month Index + 5.65%, 9.609% 12/15/2039 (b)(c)(d) |  | 137000 | 138172 |
| Freddie Mac Mscr Trust Mn12 Series 2025-MN12 Class M2, U.S. 30-Day Avg. SOFR Index + 2.75%, 6.8325% 11/25/2045 (b)(c)(d) |  | 4000000 | 3999988 |
| Freddie Mac MSCR Trust Series 2023-MN7 Class M2, U.S. 30-Day Avg. SOFR Index + 5.7%, 9.7718% 9/25/2043 (b)(c)(d) |  | 1030000 | 1109847 |
| Freddie Mac MSCR Trust Series 2025-MN11 Class M2, U.S. 30-Day Avg. SOFR Index + 2.65%, 6.7218% 7/25/2045 (b)(c)(d) |  | 1875000 | 1873555 |
| Freddie Mac Multifamily Structured Credit Risk Series 2021-MN1 Class M2, U.S. 30-Day Avg. SOFR Index + 3.75%, 7.8218% 1/25/2051 (b)(c)(d) |  | 4893281 | 5053391 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K054 Class A2, 2.745% 1/25/2026  |  | 2710511 | 2700530 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K152 Class A2, 3.08% 1/25/2031  |  | 258704 | 248395 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-KS06 Class A2, 2.72% 7/25/2026  |  | 294893 | 292854 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K065 Class A2, 3.243% 4/25/2027  |  | 194050 | 192406 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  |  | 300000 | 297051 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K069 Class A2, 3.187% 9/25/2027  |  | 1167491 | 1154409 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K070 Class A2, 3.303% 11/25/2027  |  | 5976848 | 5920024 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K071 Class A2, 3.286% 11/25/2027  |  | 2100000 | 2080635 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K072 Class A2, 3.444% 12/25/2027  |  | 3300000 | 3275867 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K073 Class A2, 3.35% 1/25/2028  |  | 3600000 | 3568963 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K074 Class A2, 3.6% 1/25/2028  |  | 8300000 | 8259467 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K076 Class A2, 3.9% 4/25/2028  |  | 1600000 | 1602074 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K077 Class A2, 3.85% 5/25/2028  |  | 5300000 | 5305366 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K081 Class A2, 3.9% 8/25/2028  |  | 1200000 | 1202645 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K083 Class A2, 4.05% 9/25/2028  |  | 1500000 | 1509387 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-W5FX Class AFX, 3.3361% 4/25/2028 (d) |  | 289920 | 286260 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K095 Class X1, 0.9385% 6/25/2029 (d)(h) |  | 13344686 | 378538 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-KJ26 Class A2, 2.606% 7/25/2027  |  | 218157 | 215535 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-KL05 Class X1P, 0.8924% 6/25/2029 (d)(h) |  | 5143082 | 147995 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-KS11 Class AFX2, 2.654% 6/25/2029  |  | 1462765 | 1399957 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-1515 Class A2, 1.94% 2/25/2035  |  | 1053190 | 869384 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K106 Class X1, 1.3149% 1/25/2030 (d)(h) |  | 56605041 | 2677435 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K740 Class A2, 1.47% 9/25/2027  |  | 3100000 | 2976823 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-KX04 Class XFX, 1.592% 1/25/2034 (d)(h) |  | 3951193 | 131278 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-Q014 Class X, 2.7718% 10/25/2055 (d)(h) |  | 614252 | 88671 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-1520 Class X3, 3.1993% 4/25/2039 (d)(h) |  | 130186 | 30292 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K128 Class X3, 2.7805% 4/25/2031 (d)(h) |  | 375930 | 46219 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K135 Class A2, 2.154% 10/25/2031  |  | 1200000 | 1082944 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K741 Class X1, 0.5581% 12/25/2027 (d)(h) |  | 138627116 | 1294001 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K746 Class A2, 2.031% 9/25/2028  |  | 1200000 | 1144322 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K141 Class A2, 2.25% 2/25/2032  |  | 9000000 | 8115677 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K142 Class AM, 2.4% 3/25/2032  |  | 643616 | 581711 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K145 Class A2, 2.58% 5/25/2032  |  | 546050 | 499247 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K146 Class A2, 2.92% 6/25/2032  |  | 394946 | 368063 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K146 Class AM, 2.92% 7/25/2032  |  | 380318 | 352845 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K-153 Class A2, 3.82% 12/25/2032  |  | 731382 | 716627 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K753 Class A2, 4.4% 10/25/2030  |  | 2200000 | 2238822 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-KJ48 Class A2, 5.028% 10/25/2031  |  | 96000 | 99332 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-K521 Class AS, U.S. 30-Day Avg. SOFR Index + 0.52%, 4.7219% 3/25/2029 (c)(d) |  | 4888172 | 4879294 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-P015 Class A1, 4.4483% 11/25/2032 (d) |  | 62009 | 62321 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-Q029 Class A, U.S. 30-Day Avg. SOFR Index + 0.55%, 4.7519% 8/25/2027 (c)(d) |  | 6649173 | 6647310 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K543 Class A2, 4.329% 6/25/2030 (d) |  | 1500000 | 1522050 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K546 Class A2, 4.361% 5/25/2030 (d) |  | 1400000 | 1423277 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K546 Class AS, U.S. 30-Day Avg. SOFR Index + 0.53%, 4.7319% 3/25/2030 (c)(d) |  | 3698735 | 3698730 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K547 Class A2, 4.421% 5/25/2030  |  | 7200000 | 7326173 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K548 Class A2, 4.32% 9/25/2030 (d) |  | 1500000 | 1521893 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class AS, 4.54% 10/25/2030  |  | 15300000 | 15300000 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K761 Class A2, 4.4% 6/25/2032  |  | 2900000 | 2941882 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K762 Class A2, 4.36% 9/25/2032  |  | 6300000 | 6370563 |
| FREMF Mortgage Trust Series 2016-K55 Class B, 4.1769% 4/25/2049 (b)(d) |  | 292553 | 291354 |
| FREMF Mortgage Trust Series 2016-K56 Class B, 3.9531% 6/25/2049 (b)(d) |  | 103827 | 103147 |
| FREMF Mortgage Trust Series 2016-K58 Class C, 3.7372% 9/25/2049 (b)(d) |  | 3090000 | 3057517 |
| FREMF Mortgage Trust Series 2016-K59 Class B, 3.5667% 11/25/2049 (b)(d) |  | 137909 | 136596 |
| FREMF Mortgage Trust Series 2017-K61 Class C, 3.6992% 12/25/2049 (b)(d) |  | 156369 | 153818 |
| FREMF Mortgage Trust Series 2017-K63 Class B, 4.0126% 2/25/2050 (b)(d) |  | 347991 | 344721 |
| FREMF Mortgage Trust Series 2017-K63 Class C, 3.8796% 2/25/2050 (b)(d) |  | 146276 | 144387 |
| FREMF Mortgage Trust Series 2017-K68 Class B, 3.9715% 10/25/2049 (b)(d) |  | 275672 | 272309 |
| FREMF Mortgage Trust Series 2018-K74 Class B, 4.2299% 2/25/2051 (b)(d) |  | 292553 | 289153 |
| FREMF Mortgage Trust Series 2018-K85 Class C, 4.4637% 12/25/2050 (b)(d) |  | 1000000 | 989721 |
| FREMF Mortgage Trust Series 2018-KBX1 Class C, 3.5077% 1/25/2026 (b)(d) |  | 219414 | 217087 |
| FREMF Mortgage Trust Series 2018-KHG1 Class C, 3.8999% 12/25/2027 (b)(d) |  | 971831 | 925165 |
| FREMF Mortgage Trust Series 2018-KSW4 Class B, U.S. 30-Day Avg. SOFR Index + 2.45%, 6.7663% 10/25/2028 (c)(d) |  | 3949698 | 3789143 |
| FREMF Mortgage Trust Series 2018-KW06 Class C, 0% 6/25/2028 (b) |  | 365011 | 302964 |
| FREMF Mortgage Trust Series 2018-KW06 Class X2A, 0.1% 6/25/2028 (b)(h) |  | 3044278 | 5616 |
| FREMF Mortgage Trust Series 2018-KW06 Class X2B, 0.1% 6/25/2028 (b)(h) |  | 486684 | 1027 |
| FREMF Mortgage Trust Series 2018-KW07 Class C, 0% 10/25/2031 (b)(j) |  | 380318 | 299687 |
| FREMF Mortgage Trust Series 2018-KW07 Class X2A, 0.1% 10/25/2031 (b)(h) |  | 2930537 | 6142 |
| FREMF Mortgage Trust Series 2018-KW07 Class X2B, 0.1% 10/25/2031 (b)(h) |  | 495949 | 1162 |
| FREMF Mortgage Trust Series 2019-K736 Class B, 3.7389% 7/25/2026 (b)(d) |  | 905000 | 898280 |
| FREMF Mortgage Trust Series 2019-K98 Class B, 3.7377% 10/25/2052 (b)(d) |  | 321808 | 314263 |
| FREMF Mortgage Trust Series 2019-KBF3 Class C, U.S. 30-Day Avg. SOFR Index + 4.75%, 9.0663% 1/25/2029 (b)(c)(d) |  | 253325 | 244521 |
| FREMF Mortgage Trust Series 2019-KL05 Class BHG, 4.5163% 2/25/2029 (b)(d) |  | 105465 | 98870 |
| FREMF Mortgage Trust Series 2019-KL05 Class CHG, 4.37% 2/25/2029 (b) |  | 339771 | 308205 |
| FREMF Mortgage Trust Series 2019-KW10 Class B, 3.6309% 10/25/2032 (b)(d) |  | 268271 | 250827 |
| GAM Re-Remic Trust Series 2021-FRR1 Class 1B, 0% 11/29/2050 (b)(j) |  | 5000000 | 4548222 |
| GAM Re-Remic Trust Series 2021-FRR1 Class 1D, 0% 11/29/2050 (b)(j) |  | 5000000 | 4495603 |
| GAM Re-Remic Trust Series 2021-FRR1 Class 2B, 0% 11/29/2050 (b)(j) |  | 3400000 | 3015532 |
| GAM Re-Remic Trust Series 2021-FRR1 Class 2C, 0% 11/29/2050 (b)(j) |  | 4500000 | 3953458 |
| GAM Re-Remic Trust Series 2022-FRR3 Class BK89, 0% 1/27/2052 (b)(j) |  | 6000000 | 4965549 |
| Ginnie Mae Multifamily REMICS Series 2021-2 Class AH, 1.5% 6/16/2063  |  | 3903134 | 2914364 |
| Ginnie Mae Multifamily REMICS Series 2021-21 Class AH, 1.4% 6/16/2063  |  | 2650593 | 2041592 |
| Ginnie Mae Multifamily REMICS Series 2021-31 Class B, 1.25% 1/16/2061  |  | 2878566 | 2109580 |
| Ginnie Mae Multifamily REMICS Series 2021-36 Class IO, 1.2877% 3/16/2063 (d)(h) |  | 13436790 | 1118982 |
| Ginnie Mae REMIC pass-thru certificates Series 2023-118 Class BA, 3.7499% 5/16/2065 (d) |  | 1369772 | 1256385 |
| Ginnie Mae REMIC pass-thru certificates Series 2023-119 Class AD, 2.25% 4/16/2065 (i) |  | 95795 | 77236 |
| Ginnie Mae REMIC pass-thru certificates Series 2023-50 Class AC, 3.25% 9/16/2063 (d) |  | 53348 | 48395 |
| Ginnie Mae Series 2025-126 Class AD, 5% 5/16/2065  |  | 152561 | 150832 |
| Ginnie Mae Series 2025-128 Class AD, 5% 10/16/2056  |  | 353633 | 356426 |
| Ginnie Mae Series 2025-128 Class AG, 4.75% 7/16/2066  |  | 350995 | 346782 |
| Ginnie Mae Series 2025-129 Class AB, 4.75% 9/16/2054  |  | 111512 | 111323 |
| Ginnie Mae Series 2025-130 Class AL, 4.75% 8/16/2056  |  | 111545 | 111297 |
| Ginnie Mae Series 2025-88 Class AT, 5% 6/16/2058  |  | 175429 | 176340 |
| Great Wolf Trust Series 2024-WOLF Class A, CME Term SOFR 1 month Index + 1.542%, 5.501% 3/15/2039 (b)(c)(d) |  | 100000 | 100063 |
| GS Mortgage Securities Corp II Series 2019-GC40 Class A3, 2.904% 7/10/2052  |  | 2000000 | 1920749 |
| GS Mortgage Securities Trust Series 2011-GC5 Class AS, 5.1672% 8/10/2044 (b)(d) |  | 3994582 | 3952865 |
| GS Mortgage Securities Trust Series 2015-GC34 Class XA, 0.9615% 10/10/2048 (d)(h) |  | 459408 | 25 |
| GS Mortgage Securities Trust Series 2017-GS6 Class A2, 3.164% 5/10/2050  |  | 461935 | 454720 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  |  | 700000 | 691848 |
| GS Mortgage Securities Trust Series 2019-GC38 Class A4, 3.968% 2/10/2052  |  | 909839 | 896020 |
| GS Mortgage Securities Trust Series 2019-GSA1 Class A4, 3.0479% 11/10/2052  |  | 1300000 | 1234473 |
| GS Mortgage Securities Trust Series 2020-GC45 Class AAB, 2.8428% 2/13/2053  |  | 744509 | 726387 |
| GS Mortgage Securities Trust Series 2020-GSA2 Class A4, 1.721% 12/12/2053  |  | 4940000 | 4437472 |
| GS Mortgage Securities Trust Series 2023-FUN Class A, CME Term SOFR 1 month Index + 2.0913%, 6.0502% 3/15/2028 (b)(c)(d) |  | 100000 | 100187 |
| GS Mortgage Securities Trust Series 2023-FUN Class B, CME Term SOFR 1 month Index + 2.7903%, 6.7492% 3/15/2028 (b)(c)(d) |  | 1400000 | 1404366 |
| GS Mortgage Securities Trust Series 2023-SHIP Class A, 4.3223% 9/10/2038 (b)(d) |  | 4140000 | 4132560 |
| GS Mortgage Securities Trust Series 2023-SHIP Class E, 7.4336% 9/10/2038 (b)(d) |  | 74000 | 74244 |
| GS Mortgage Securities Trust Series 2024-RVR Class A, 5.1983% 8/10/2041 (b)(d) |  | 7700000 | 7856578 |
| GS Mortgage Securities Trust Series 2024-RVR Class E, 7.4703% 8/10/2041 (b)(d) |  | 438000 | 451246 |
| GS Mortgage Securities Trust Series 2025-800D Class A, CME Term SOFR 1 month Index + 2.65%, 6.6126% 11/25/2041 (b)(c)(d) |  | 597000 | 598141 |
| GSAT Trust Series 2025-BMF Class A, CME Term SOFR 1 month Index + 1.5%, 5.459% 7/15/2040 (b)(c)(d) |  | 169000 | 169158 |
| GWT Commercial Mortgage Trust Series 2024-WLF2 Class A, CME Term SOFR 1 month Index + 1.6912%, 5.6502% 5/15/2041 (b)(c)(d) |  | 741000 | 741925 |
| Harvest Commercial Capital Loan Trust Series 2024-1 Class A, 6.1635% 10/25/2056  |  | 1647669 | 1698516 |
| HAVN Trust Series 2025-MOB Class A, CME Term SOFR 1 month Index + 1.7%, 5.659% 10/15/2035 (b)(c)(d) |  | 920000 | 920288 |
| HIH Trust Series 2024-61P Class A, CME Term SOFR 1 month Index + 1.842%, 5.801% 10/15/2041 (b)(c)(d) |  | 177346 | 177789 |
| HIH Trust Series 2024-61P Class C, CME Term SOFR 1 month Index + 2.841%, 6.8% 10/15/2041 (b)(c)(d) |  | 197051 | 197544 |
| HIH Trust Series 2024-61P Class D, CME Term SOFR 1 month Index + 3.64%, 7.599% 10/15/2041 (b)(c)(d) |  | 68968 | 69269 |
| Hilt Commercial Mortgage Trust Series 2024-ORL Class A, CME Term SOFR 1 month Index + 1.5412%, 5.5002% 5/15/2037 (b)(c)(d) |  | 492000 | 492153 |
| Hilt Commercial Mortgage Trust Series 2024-ORL Class D, CME Term SOFR 1 month Index + 3.1889%, 7.1478% 5/15/2037 (b)(c)(d) |  | 255000 | 255795 |
| HLTM Commercial Mortgage Trust Series 2024-DPLO Class A, CME Term SOFR 1 month Index + 1.6415%, 5.6005% 6/15/2041 (b)(c)(d) |  | 1601000 | 1603752 |
| HONO Mortgage Trust Series 2021-LULU Class A, CME Term SOFR 1 month Index + 1.2645%, 5.2235% 10/15/2036 (b)(c)(d) |  | 851409 | 840830 |
| Htl Commercial Mortgage Trust Series 2024-T53 Class A, 5.8756% 5/10/2039 (b)(d) |  | 100000 | 101187 |
| Htl Commercial Mortgage Trust Series 2024-T53 Class D, 8.1977% 5/10/2039 (b)(d) |  | 1503605 | 1537481 |
| Htl Commercial Mortgage Trust Series 2024-T53 Class E, 10.2602% 5/10/2039 (b)(d) |  | 2073000 | 2142348 |
| ILPT Commercial Mortgage Trust Series 2025-LPF2 Class A, 5.4684% 7/13/2042 (b)(d) |  | 753000 | 771161 |
| ILPT Trust Series 2019-SURF Class A, 4.145% 2/11/2041 (b) |  | 2700000 | 2659739 |
| Int Commercial Mortgage Trust Series 2025-PLAZA Class A, 4.8788% 11/5/2037 (b)(d) |  | 2199000 | 2217040 |
| Investment Mortgage Trust Series 2024-IND Class A, CME Term SOFR 1 month Index + 1.7419%, 5.7009% 11/15/2041 (b)(c)(d) |  | 1500000 | 1488750 |
| J.P. Morgan Chase Commercial Mortgage Securities Trust Series 2025-BHR5 Class A, CME Term SOFR 1 month Index + 1.693%, 5.652% 3/15/2040 (b)(c)(d) |  | 173552 | 173551 |
| JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 Class A5, 3.4898% 7/15/2050  |  | 5000000 | 4893257 |
| JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 Class ASB, 3.2829% 7/15/2050  |  | 50331 | 49979 |
| JPMCC Commercial Mortgage Securities Trust Series 2019-COR4 Class A3, 3.7629% 3/10/2052  |  | 5400000 | 5317499 |
| JPMDB Commercial Mortgage Securities Trust Series 2016-C4 Class ASB, 2.9941% 12/15/2049  |  | 40062 | 39826 |
| JPMDB Commercial Mortgage Securities Trust Series 2017-C5 Class A4, 3.414% 3/15/2050  |  | 2966193 | 2930533 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-NINE Class B, 2.8541% 9/6/2038 (b)(d) |  | 300000 | 295394 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-AON Class A, 4.1283% 7/5/2031 (b) |  | 1700000 | 1487500 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-PHH Class A, CME Term SOFR 1 month Index + 1.257%, 5.216% 6/15/2035 (b)(c)(d) |  | 484543 | 409596 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX, 4.2475% 7/5/2033 (b) |  | 2700000 | 2565055 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class CFX, 4.9498% 7/5/2033 (b) |  | 919000 | 625030 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class DFX, 5.3503% 7/5/2033 (b)(i) |  | 1414000 | 773878 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class XAFX, 1.116% 7/5/2033 (b)(d)(h) |  | 10000000 | 217997 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-BKWD Class A, CME Term SOFR 1 month Index + 1.6145%, 5.5735% 9/15/2029 (b)(c)(d) |  | 2433272 | 2360809 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2021-2NU Class A, 1.9739% 1/5/2040 (b) |  | 5725000 | 5262332 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2021-MHC Class E, CME Term SOFR 1 month Index + 2.8145%, 6.7735% 4/15/2038 (b)(c)(d) |  | 17000 | 17000 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2021-MHC Class XCP, 0% 4/15/2038 (b)(d)(i) |  | 164060500 | 163 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2022-NLP Class A, CME Term SOFR 1 month Index + 0.8465%, 4.8055% 4/15/2037 (b)(c)(d) |  | 4649411 | 4580053 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2024-IGLG Class A, 5.3468% 11/9/2039 (b)(d) |  | 2410000 | 2436480 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2024-IGLG Class D, 6.4821% 11/9/2039 (b)(d) |  | 670000 | 674212 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2024-IGLG Class E, 7.2542% 11/9/2039 (b)(d) |  | 1227000 | 1234288 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2024-IGLG Class F, 8.2159% 11/9/2039 (b)(d) |  | 1051000 | 1057170 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2024-OMNI Class A, 5.7972% 10/5/2039 (b)(d) |  | 1110000 | 1130199 |
| JW Commercial Mortgage Trust Series 2024-MRCO Class A, CME Term SOFR 1 month Index + 1.6212%, 5.5801% 6/15/2039 (b)(c)(d) |  | 1338000 | 1338417 |
| JW Commercial Mortgage Trust Series 2024-MRCO Class D, CME Term SOFR 1 month Index + 3.1889%, 7.1479% 6/15/2039 (b)(c)(d) |  | 307000 | 308718 |
| KSL Commercial Mortgage Trust 2024-HT2 Series 2024-HT2 Class A, CME Term SOFR 1 month Index + 1.5424%, 5.5014% 12/15/2039 (b)(c)(d) |  | 523319 | 523155 |
| KSL Commercial Mortgage Trust Series 2025-MAK, 8.4526% 6/15/2042 (b)(d) |  | 1035000 | 1032551 |
| KSL Commercial Mortgage Trust Series 2025-MAK, CME Term SOFR 1 month Index + 1.8926%, 5.8552% 6/15/2042 (b)(c)(d) |  | 97000 | 96772 |
| LBA Trust Series 2024-7IND Class A, CME Term SOFR 1 month Index + 1.443%, 5.402% 10/15/2041 (b)(c)(d) |  | 591388 | 591757 |
| LBA Trust Series 2024-7IND Class D, CME Term SOFR 1 month Index + 2.641%, 6.6% 10/15/2041 (b)(c)(d) |  | 150880 | 151068 |
| LBA Trust Series 2024-BOLT Class A, CME Term SOFR 1 month Index + 1.5911%, 5.5501% 6/15/2039 (b)(c)(d) |  | 610000 | 610380 |
| LBA Trust Series 2024-BOLT Class F, CME Term SOFR 1 month Index + 4.437%, 8.396% 6/15/2039 (b)(c)(d) |  | 99000 | 98978 |
| Life Financial Services Trust Series 2022-BMR2 Class A1, CME Term SOFR 1 month Index + 1.2952%, 5.2542% 5/15/2039 (b)(c)(d) |  | 12656000 | 12199556 |
| Life Financial Services Trust Series 2022-BMR2 Class B, CME Term SOFR 1 month Index + 1.7939%, 5.7529% 5/15/2039 (b)(c)(d) |  | 6596000 | 5924312 |
| Life Financial Services Trust Series 2022-BMR2 Class C, CME Term SOFR 1 month Index + 2.0931%, 6.0521% 5/15/2039 (b)(c)(d) |  | 3893000 | 3486885 |
| Life Financial Services Trust Series 2022-BMR2 Class D, CME Term SOFR 1 month Index + 2.5419%, 6.5009% 5/15/2039 (b)(c)(d)(i) |  | 3460000 | 2669528 |
| LIFE Mortgage Trust Series 2021-BMR Class C, CME Term SOFR 1 month Index + 1.2145%, 5.1735% 3/15/2038 (b)(c)(d) |  | 112353 | 111807 |
| LV Trust Series 2024-SHOW Class A, 5.2744% 10/10/2041 (b)(d) |  | 22005 | 22430 |
| MAC Trust Series 2025-801B Class A, CME Term SOFR 1 month Index + 1.7%, 5.659% 10/15/2040 (b)(c)(d) |  | 191000 | 191000 |
| MAD Commercial Mortgage Trust Series 2025-11MD Class C, 5.8183% 10/15/2042 (b) |  | 2065000 | 2091953 |
| MCR Mortgage Trust Series 2024-HF1 Class A, CME Term SOFR 1 month Index + 1.793%, 5.752% 12/15/2041 (b)(c)(d) |  | 1142000 | 1144498 |
| MCR Mortgage Trust Series 2024-HTL Class B, CME Term SOFR 1 month Index + 2.4075%, 6.3665% 2/15/2037 (b)(c)(d) |  | 396401 | 396401 |
| MCR Mortgage Trust Series 2024-HTL Class E, CME Term SOFR 1 month Index + 4.6543%, 8.6133% 2/15/2037 (b)(c)(d) |  | 98294 | 97830 |
| MCR Mortgage Trust Series 2024-TWA Class A, 5.924% 6/12/2039 (b) |  | 170000 | 172292 |
| MCR Mortgage Trust Series 2024-TWA Class D, 7.402% 6/12/2039 (b) |  | 240000 | 242956 |
| MCR Mortgage Trust Series 2024-TWA Class E, 8.725% 6/12/2039 (b) |  | 78000 | 79096 |
| MCR Mortgage Trust Series 2024-TWA Class XA, 0.92% 6/12/2039 (b)(h) |  | 783000 | 6997 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class A, CME Term SOFR 1 month Index + 0.9154%, 4.8744% 4/15/2038 (b)(c)(d) |  | 160041 | 159991 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class E, CME Term SOFR 1 month Index + 2.2154%, 6.1744% 4/15/2038 (b)(c)(d) |  | 4340000 | 4339998 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class F, CME Term SOFR 1 month Index + 2.7154%, 6.6744% 4/15/2038 (b)(c)(d) |  | 571063 | 571774 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class A, CME Term SOFR 1 month Index + 0.8145%, 4.7735% 7/15/2038 (b)(c)(d) |  | 200000 | 199564 |
| MHP Series 2025-MHIL2 Class A, CME Term SOFR 1 month Index + 1.5%, 5.459% 9/15/2040 (b)(c)(d) |  | 1200000 | 1197912 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32 Class A3, 3.459% 12/15/2049  |  | 8677804 | 8617117 |
| Morgan Stanley Capital I Inc Series 2021-230P Class B, CME Term SOFR 1 month Index + 1.5634%, 5.5223% 12/15/2038 (b)(c)(d) |  | 30000 | 27978 |
| Morgan Stanley Capital I Trust Series 2014-150E Class A, 3.912% 9/9/2032 (b) |  | 520000 | 470683 |
| Morgan Stanley Capital I Trust Series 2016-UB11 Class A4, 2.782% 8/15/2049  |  | 13840000 | 13680382 |
| Morgan Stanley Capital I Trust Series 2016-UB12 Class A3, 3.337% 12/15/2049  |  | 1812074 | 1792455 |
| Morgan Stanley Capital I Trust Series 2017-ASHF Class B, CME Term SOFR 1 month Index + 1.25%, 5.506% 11/15/2034 (b)(c)(d) |  | 890000 | 873918 |
| Morgan Stanley Capital I Trust Series 2017-ASHF Class G, CME Term SOFR 1 month Index + 7.197%, 11.156% 11/15/2034 (b)(c) |  | 14000 | 13350 |
| Morgan Stanley Capital I Trust Series 2018-BOP Class A, CME Term SOFR 1 month Index + 0.897%, 4.856% 8/15/2033 (b)(c)(d)(i) |  | 4512912 | 3678023 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  |  | 3837000 | 3816406 |
| Morgan Stanley Capital I Trust Series 2019-H6 Class D, 3% 6/15/2052 (b) |  | 17000 | 13920 |
| Morgan Stanley Capital I Trust Series 2019-NUGS Class A, CME Term SOFR 1 month Index + 1.0645%, 5.0235% 12/15/2036 (b)(c)(d) |  | 5200000 | 3973433 |
| Morgan Stanley Capital I Trust Series 2019-PLND Class A, CME Term SOFR 1 month Index + 1.1145%, 5.0735% 5/15/2036 (b)(c)(d)(i) |  | 400000 | 172000 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class A3, 2.196% 6/15/2054 (d) |  | 7000000 | 6378654 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.141% 6/15/2054 (d)(h) |  | 11605916 | 440139 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class A, 3.9% 9/24/2057 (b)(d) |  | 12562608 | 12376914 |
| MRCD Mortgage Trust Series 2019-PARK Class E, 2.7175% 12/15/2036 (b) |  | 600000 | 410046 |
| MRCD Mortgage Trust Series 2019-PARK Class F, 2.7175% 12/15/2036 (b) |  | 1228000 | 746513 |
| Msbam Series 2025-5C2 Class A3, 5.107% 11/15/2058  |  | 2700000 | 2783835 |
| MSCR Series 2021-MN3 Class M1, U.S. 30-Day Avg. SOFR Index + 2.3%, 6.3718% 11/25/2051 (b)(c)(d) |  | 56021 | 56130 |
| MSCR Series 2021-MN3 Class M2, U.S. 30-Day Avg. SOFR Index + 4%, 8.0718% 11/25/2051 (b)(c)(d) |  | 6605728 | 6842804 |
| MSCR Series 2022-MN4 Class M2, U.S. 30-Day Avg. SOFR Index + 6.5%, 10.5718% 5/25/2052 (b)(c)(d) |  | 182845 | 206374 |
| MSSG Trust Series 2017-237P Class A, 3.397% 9/13/2039 (b) |  | 1750000 | 1667083 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class XA, 0.907% 12/15/2056 (d)(h) |  | 2219565 | 125142 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class XD, 3.2523% 12/15/2056 (b)(d)(h) |  | 1400000 | 261321 |
| MTN Commercial Mortgage Trust Series 2022-LPFL Class A, CME Term SOFR 1 month Index + 1.3969%, 5.3569% 3/15/2039 (b)(c)(d) |  | 100000 | 100063 |
| MTN Commercial Mortgage Trust Series 2022-LPFL Class E, CME Term SOFR 1 month Index + 4.2891%, 8.2491% 3/15/2039 (b)(c)(d) |  | 3600000 | 3584518 |
| Multi-family1 Series 2021-W10 Class A, CME Term SOFR 1 month Index + 1.0703%, 5.0293% 12/15/2034 (b)(c)(d) |  | 480000 | 479776 |
| Multi-family1 Series 2021-W10 Class B, CME Term SOFR 1 month Index + 1.3703%, 5.3293% 12/15/2034 (b)(c)(d) |  | 400000 | 400020 |
| Multifamily Conn Ave Securities Trust Series 2019-01 Class M10, U.S. 30-Day Avg. SOFR Index + 3.3645%, 7.4363% 10/25/2049 (b)(c)(d) |  | 3558884 | 3611039 |
| Multifamily Conn Ave Securities Trust Series 2020-01 Class M10, U.S. 30-Day Avg. SOFR Index + 3.8645%, 7.9363% 3/25/2050 (b)(c)(d) |  | 4217853 | 4287700 |
| Multifamily Conn Ave Securities Trust Series 2023-01 Class M10, U.S. 30-Day Avg. SOFR Index + 6.5%, 10.5718% 11/25/2053 (b)(c)(d) |  | 3525000 | 3995380 |
| NCMF Trust Series 2025-MFS Class A, 4.883% 6/10/2033 (b)(d) |  | 1466000 | 1472650 |
| NCMF Trust Series 2025-MFS Class E, 7.78% 6/10/2033 (b)(d) |  | 754000 | 766085 |
| NCMF Trust Series 2025-MFS Class F, 8.437% 6/10/2033 (b)(d) |  | 842000 | 858899 |
| NJ Trust Series 2023-GSP Class A, 6.4808% 1/6/2029 (b)(d) |  | 143000 | 150326 |
| NRTH Commercial Mortgage Trust Series 2025-PARK Class A, CME Term SOFR 1 month Index + 1.3933%, 5.3522% 10/15/2040 (b)(c)(d) |  | 135000 | 135000 |
| NW Re-Remic Trust Series 2021-FRR1 Class BK88, 2.611% 12/18/2051 (b)(d) |  | 267686 | 231465 |
| NY Commercial Mortgage Trust Series 2025-299P Class B, 5.9278% 2/10/2047 (b)(d) |  | 61000 | 64129 |
| Nyc Coml Mtg Trust Series 2025-11X Class A, CME Term SOFR 1 month Index + 1.743%, 5.7448% 10/15/2040 (b)(c)(d) |  | 380000 | 380474 |
| Nyc Coml Mtg Trust Series 2025-28L Class A, 4.6682% 11/5/2038 (b)(d) |  | 414000 | 414831 |
| NYC Commercial Mortgage Trust Series 2025-1155 Class A, 5.8329% 6/10/2042 (b) |  | 3162000 | 3248292 |
| NYC Commercial Mortgage Trust Series 2025-300P Class E, 7.388% 7/13/2042 (b)(d) |  | 450000 | 457024 |
| NYC Trust Series 2024-3ELV Class A, CME Term SOFR 1 month Index + 1.9909%, 5.9499% 8/15/2029 (b)(c)(d) |  | 100000 | 100332 |
| NYC Trust Series 2024-3ELV Class C, CME Term SOFR 1 month Index + 2.8397%, 6.7987% 8/15/2029 (b)(c)(d) |  | 562937 | 563959 |
| NYC Trust Series 2024-3ELV Class D, CME Term SOFR 1 month Index + 3.8383%, 7.7972% 8/15/2029 (b)(c)(d) |  | 526000 | 526954 |
| One Bryant Park Trust Series 2019-OBP Class A, 2.5164% 9/15/2054 (b) |  | 4690000 | 4354640 |
| One Market Plaza Trust Series 2017-1MKT Class A, 3.6139% 2/10/2032 (b) |  | 3652239 | 3486060 |
| One Market Plaza Trust Series 2017-1MKT Class D, 4.1455% 2/10/2032 (b) |  | 100000 | 92004 |
| ONE Mortgage Trust Series 2021-PARK Class D, CME Term SOFR 1 month Index + 1.6145%, 5.5735% 3/15/2036 (b)(c)(d) |  | 4133000 | 3889508 |
| ONE Mortgage Trust Series 2021-PARK Class E, CME Term SOFR 1 month Index + 1.8645%, 5.8235% 3/15/2036 (b)(c)(d) |  | 2326000 | 2165706 |
| One New York Plaza Trust Series 2020-1NYP Class A, CME Term SOFR 1 month Index + 1.0645%, 5.0235% 1/15/2036 (b)(c)(d) |  | 311000 | 299043 |
| One New York Plaza Trust Series 2020-1NYP Class AJ, CME Term SOFR 1 month Index + 1.3645%, 5.3235% 1/15/2036 (b)(c)(d) |  | 117000 | 110162 |
| One New York Plaza Trust Series 2020-1NYP Class B, CME Term SOFR 1 month Index + 1.6145%, 5.5735% 1/15/2036 (b)(c)(d) |  | 100000 | 92655 |
| ONNI Commerical Mortgage Trust Series 2024-APT Class A, 5.753% 7/15/2039 (b)(d) |  | 100000 | 101840 |
| OPEN Trust Series 2023-AIR Class B, CME Term SOFR 1 month Index + 3.838%, 7.797% 11/15/2040 (b)(c)(d) |  | 1701088 | 1702146 |
| ORL Mortgage Trust Series 2024-GLKS Class A, CME Term SOFR 1 month Index + 1.4925%, 5.4515% 12/15/2039 (b)(c)(d) |  | 280000 | 280230 |
| Penn Commercial Mortgage Trust Series 2025-P11 Class A, 5.344% 8/10/2042 (b)(d) |  | 94000 | 95980 |
| Penn Commercial Mortgage Trust Series 2025-P11 Class C, 6.7249% 8/10/2042 (b)(d) |  | 142000 | 146638 |
| PGA Trust Series 2024-RSR2 Class A, CME Term SOFR 1 month Index + 1.8909%, 5.8499% 6/15/2039 (b)(c)(d) |  | 120000 | 120038 |
| PRM5 Trust Series 2025-PRM5 Class D, 5.812% 3/10/2033 (b)(d) |  | 35000 | 34975 |
| Prm7 Trust Series 2025-PRM7 Class E, 6.8391% 11/10/2042 (b)(d) |  | 1110000 | 1099579 |
| RFM Reremic Trust Series 2022-FRR1 Class BK55, 0% 3/28/2049 (b)(j) |  | 4000000 | 3895587 |
| RFM Reremic Trust Series 2022-FRR1 Class BK64, 1.6606% 3/1/2050 (b)(d) |  | 4000000 | 3773363 |
| RFM Reremic Trust Series 2022-FRR1 Class CK64, 0% 3/1/2050 (b)(j) |  | 5000000 | 4549688 |
| ROCK Trust Series 2024-CNTR Class A, 5.3883% 11/13/2041 (b) |  | 8141372 | 8396856 |
| ROCK Trust Series 2024-CNTR Class D, 7.1091% 11/13/2041 (b) |  | 4500000 | 4717388 |
| ROCK Trust Series 2024-CNTR Class E, 8.8191% 11/13/2041 (b) |  | 346000 | 365236 |
| SBALR Commercial Mortgage Trust Series 2020-RR1 Class A3, 2.825% 2/13/2053 (b) |  | 954370 | 844869 |
| SBALR Commercial Mortgage Trust Series 2020-RR1 Class XA, 1.3411% 2/13/2053 (b)(d)(h) |  | 1584864 | 60881 |
| SCG Commercial Mortgage Trust Series 2025-DLFN Class E, CME Term SOFR 1 month Index + 2.95%, 6.909% 3/15/2035 (b)(c)(d) |  | 199000 | 198006 |
| SCG Mortgage Trust Series 2024-MSP Class A, CME Term SOFR 1 month Index + 1.741%, 5.7% 4/15/2041 (b)(c)(d) |  | 229000 | 229000 |
| SCG Trust Series 2025-FLWR Class A, CME Term SOFR 1 month Index + 1.25%, 5.209% 8/15/2042 (b)(c)(d) |  | 2604000 | 2605625 |
| SCG Trust Series 2025-FLWR Class E, CME Term SOFR 1 month Index + 2.75%, 6.709% 8/15/2042 (b)(c)(d) |  | 23000 | 22993 |
| SCMS Series 2025-BNC1 Class A2, 4.5016% 4/15/2028 (b) |  | 3910000 | 3910000 |
| Sdal Tr Series 2025-DAL Class A, CME Term SOFR 1 month Index + 2.4413%, 6.4003% 4/15/2042 (b)(c)(d) |  | 122000 | 122821 |
| Seasoned Loans Structured Transaction Series 2018-1 Series 2024-2 Class VF, U.S. 30-Day Avg. SOFR Index + 1.25%, 5.3218% 10/25/2034 (b)(c)(d) |  | 2761731 | 2800643 |
| SELF Commercial Mortgage Trust Series 2024-STRG Class A, CME Term SOFR 1 month Index + 1.5423%, 5.5012% 11/15/2034 (b)(c)(d) |  | 190000 | 190000 |
| SELF Commercial Mortgage Trust Series 2024-STRG Class E, CME Term SOFR 1 month Index + 4.1885%, 8.1475% 11/15/2034 (b)(c)(d) |  | 193000 | 193241 |
| SELF Commercial Mortgage Trust Series 2024-STRG Class F, CME Term SOFR 1 month Index + 5.187%, 9.146% 11/15/2034 (b)(c)(d) |  | 155000 | 154649 |
| SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE Class A1, 3.872% 1/5/2043 (b)(d) |  | 740000 | 641336 |
| SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE Class A2A, 3.659% 1/5/2043 (b)(d) |  | 9930000 | 8425428 |
| SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE Class A2B, 4.144% 1/5/2043 (b)(d) |  | 4000000 | 3486377 |
| SG Commercial Mortgage Securities Trust Series 2019-PREZ Class E, 3.4771% 9/15/2039 (b)(d) |  | 72000 | 61490 |
| Shops at Crystals Trust Series 2016-CSTL Class C, 3.7311% 7/5/2036 (b)(d) |  | 1681000 | 1667259 |
| SHR Trust Series 2024-LXRY Class A, CME Term SOFR 1 month Index + 1.95%, 5.909% 10/15/2041 (b)(c)(d) |  | 498000 | 498311 |
| SHR Trust Series 2024-LXRY Class B, CME Term SOFR 1 month Index + 2.45%, 6.409% 10/15/2041 (b)(c)(d) |  | 847000 | 847889 |
| SHR Trust Series 2024-LXRY Class D, CME Term SOFR 1 month Index + 3.6%, 7.559% 10/15/2041 (b)(c)(d) |  | 101000 | 101063 |
| SMRT Trust Series 2022-MINI Class D, CME Term SOFR 1 month Index + 1.95%, 5.909% 1/15/2039 (b)(c)(d) |  | 1820000 | 1810941 |
| SMRT Trust Series 2022-MINI Class F, CME Term SOFR 1 month Index + 3.35%, 7.309% 1/15/2039 (b)(c)(d) |  | 2500000 | 2475084 |
| SPGN Mortgage Trust Series 2022-TFLM Class B, CME Term SOFR 1 month Index + 2%, 5.959% 2/15/2039 (b)(c)(d) |  | 1890000 | 1889651 |
| SPGN Mortgage Trust Series 2022-TFLM Class C, CME Term SOFR 1 month Index + 2.65%, 6.609% 2/15/2039 (b)(c)(d) |  | 983000 | 984975 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 4.8042% 11/15/2038 (b)(c)(d) |  | 8862360 | 8854079 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 5.1532% 11/15/2038 (b)(c)(d) |  | 3552494 | 3549174 |
| SREIT Trust Series 2021-MFP Class C, CME Term SOFR 1 month Index + 1.4435%, 5.4024% 11/15/2038 (b)(c)(d) |  | 2206153 | 2204092 |
| SREIT Trust Series 2021-MFP Class D, CME Term SOFR 1 month Index + 1.6927%, 5.6516% 11/15/2038 (b)(c)(d) |  | 1449518 | 1448164 |
| SREIT Trust Series 2021-MFP2 Class C, CME Term SOFR 1 month Index + 1.4852%, 5.4442% 11/15/2036 (b)(c)(d) |  | 235000 | 234781 |
| SUMIT Mortgage Trust Series 2022-BVUE Class A, 2.789% 2/12/2041 (b) |  | 340000 | 308248 |
| SWCH Commercial Mortgage Trust Series 2025-DATA Class A, CME Term SOFR 1 month Index + 1.4429%, 5.4019% 2/15/2042 (b)(c)(d) |  | 4650000 | 4607914 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 5.2019% 12/15/2039 (b)(c)(d) |  | 5360000 | 5359997 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class B, CME Term SOFR 1 month Index + 1.5924%, 5.5514% 12/15/2039 (b)(c)(d) |  | 1306000 | 1305999 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class C, CME Term SOFR 1 month Index + 1.9919%, 5.9508% 12/15/2039 (b)(c)(d) |  | 962000 | 963200 |
| Texas Coml Mortgage Trust Series 2025-TWR Class B, CME Term SOFR 1 month Index + 1.5927%, 5.5517% 4/15/2042 (b)(c)(d) |  | 3300000 | 3294848 |
| The Baha Trust Series 2024-MAR Class A, 5.9717% 12/10/2041 (b)(d) |  | 4302000 | 4469971 |
| The Baha Trust Series 2024-MAR Class B, 7.0694% 12/10/2041 (b)(d) |  | 337000 | 352418 |
| The Baha Trust Series 2024-MAR Class C, 7.5158% 12/10/2041 (b)(d) |  | 827000 | 864207 |
| THPT Mortgage Trust Series 2023-THL Class A, 6.994% 12/10/2034 (b)(d) |  | 88366 | 89518 |
| TYSN Mortgage Trust Series 2023-CRNR Class A, 6.5797% 12/10/2033 (b)(d) |  | 100000 | 105562 |
| UBS Commercial Mortgage Trust Series 2017-C4 Class AS, 3.836% 10/15/2050  |  | 1690000 | 1635557 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 0.9698% 12/15/2050 (d)(h) |  | 12954032 | 212249 |
| UBS Commercial Mortgage Trust Series 2018-C12 Class A2, 4.1519% 8/15/2051  |  | 75170 | 75032 |
| UBS Commercial Mortgage Trust Series 2018-C13 Class A3, 4.0694% 10/15/2051  |  | 4913900 | 4888865 |
| UBS Commercial Mortgage Trust Series 2019-C17 Class A3, 2.6686% 10/15/2052  |  | 1064954 | 1015221 |
| UNIV Trust Series 2025-APTS Class A, CME Term SOFR 1 month Index + 1.65%, 5.6% 11/15/2030 (b)(c)(d) |  | 757000 | 757473 |
| UNIV Trust Series 2025-APTS Class B, CME Term SOFR 1 month Index + 2.25%, 6.2% 11/15/2030 (b)(c)(d) |  | 100000 | 100063 |
| VEGAS Trust 2024-TI Series 2024-TI Class A, 5.5183% 11/10/2039 (b) |  | 392000 | 397408 |
| VEGAS Trust Series 2024-GCS Class C, 6.2165% 7/10/2036 (b)(d) |  | 490000 | 494586 |
| VEGAS Trust Series 2024-GCS Class D, 6.2165% 7/10/2036 (b)(d) |  | 1100000 | 1091924 |
| Velocity Commercial Capital Loan Trust Series 2020-1 Class AFX, 2.61% 2/25/2050 (b) |  | 126007 | 117357 |
| Velocity Commercial Capital Loan Trust Series 2022-1 Class M4, 5.2% 2/25/2052 (b)(d) |  | 72559 | 62384 |
| Velocity Commercial Capital Loan Trust Series 2022-1 Class M5, 9.6365% 1/25/2053 (b)(d) |  | 119485 | 115518 |
| Velocity Commercial Capital Loan Trust Series 2022-4 Class M4, 7.5278% 8/25/2052 (b)(d) |  | 66427 | 64641 |
| Velocity Commercial Capital Loan Trust Series 2023-1 Class A, 6.55% 1/25/2054 (b) |  | 224524 | 226778 |
| Velocity Commercial Capital Loan Trust Series 2024-5 Class A, 5.49% 10/25/2054 (b)(d) |  | 185668 | 186334 |
| Velocity Commercial Capital Loan Trust Series 2024-5 Class M2, 5.96% 10/25/2054 (b)(d) |  | 97395 | 96987 |
| Velocity Commercial Capital Loan Trust Series 2024-5 Class M3, 6.76% 10/25/2054 (b)(d) |  | 85231 | 85419 |
| Velocity Commercial Capital Loan Trust Series 2024-6 Class M2, 6.55% 12/25/2054 (b)(d) |  | 171584 | 172173 |
| Velocity Commercial Capital Loan Trust Series 2024-6 Class M3, 6.92% 12/25/2054 (b)(d) |  | 430606 | 432256 |
| Velocity Commercial Capital Loan Trust Series 2024-6 Class M4, 9.67% 12/25/2054 (b)(d) |  | 194396 | 196438 |
| Velocity Commercial Capital Loan Trust Series 2025-1 Class A, 6.03% 2/25/2055 (b) |  | 1351247 | 1367196 |
| Velocity Commercial Capital Loan Trust Series 2025-1 Class M3, 7.33% 2/25/2055 (b)(d) |  | 160794 | 162973 |
| Velocity Commercial Capital Loan Trust Series 2025-1 Class M4, 10.15% 2/25/2055 (b)(d) |  | 160794 | 162830 |
| Velocity Commercial Capital Loan Trust Series 2025-3 Class A, 5.87% 6/25/2055 (b) |  | 1746962 | 1763231 |
| Velocity Commercial Capital Loan Trust Series 2025-3 Class M3, 7.38% 6/25/2055 (b)(d) |  | 186848 | 192056 |
| Velocity Commercial Capital Loan Trust Series 2025-MC1 Class A1, 8.163% 5/25/2055 (b) |  | 209145 | 208077 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class A, 2.13% 10/10/2042 (b) |  | 3760000 | 3235276 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class B, 2.453% 10/10/2042 (b) |  | 300000 | 246484 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class X, 0.4294% 10/10/2042 (b)(d) |  | 8700000 | 153992 |
| WBHT Commercial Mortgage Trust Series 2025-WBM Class A, CME Term SOFR 1 month Index + 1.7423%, 5.7012% 6/15/2042 (b)(c)(d) |  | 2945000 | 2952337 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C34 Class A4, 3.096% 6/15/2049  |  | 6124000 | 6081630 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C35 Class A4, 2.931% 7/15/2048  |  | 1500000 | 1484829 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C35 Class A4FL, CME Term SOFR 1 month Index + 1.1645%, 5.127% 7/15/2048 (b)(c)(d) |  | 1900000 | 1900672 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C38 Class AS, 3.665% 7/15/2050  |  | 1110000 | 1084686 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C42 Class XA, 0.8332% 12/15/2050 (d)(h) |  | 28706789 | 409350 |
| Wells Fargo Commercial Mortgage Trust Series 2018-1745 Class A, 3.7487% 6/15/2036 (b)(d) |  | 5400000 | 5044516 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 0.9006% 8/15/2051 (d)(h) |  | 10974548 | 177680 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C49 Class D, 3% 3/15/2052 (b) |  | 21000 | 17301 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C50 Class XA, 1.4039% 5/15/2052 (d)(h) |  | 8865448 | 316069 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C54 Class ASB, 3.063% 12/15/2052  |  | 2109146 | 2071707 |
| Wells Fargo Commercial Mortgage Trust Series 2021-C59 Class A4, 2.343% 4/15/2054  |  | 5000000 | 4569379 |
| Wells Fargo Commercial Mortgage Trust Series 2021-C61 Class A3, 2.406% 11/15/2054  |  | 7300000 | 6494130 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 5.2735% 5/15/2031 (b)(c)(d) |  | 4470000 | 4461239 |
| Wells Fargo Commercial Mortgage Trust Series 2022-ONL Class A, 3.862% 12/15/2039 (b) |  | 900000 | 870757 |
| Wells Fargo Commercial Mortgage Trust Series 2024-1CHI Class A, 5.3075% 7/15/2035 (b)(d) |  | 137000 | 138189 |
| Wells Fargo Commercial Mortgage Trust Series 2024-5C1 Class A3, 5.928% 7/15/2057  |  | 1900000 | 1995206 |
| Wells Fargo Commercial Mortgage Trust Series 2024-BPRC Class B, 6.2153% 7/15/2043 (b) |  | 415000 | 425997 |
| Wells Fargo Commercial Mortgage Trust Series 2024-BPRC Class C, 6.4319% 7/15/2043 (b) |  | 264000 | 269954 |
| Wells Fargo Commercial Mortgage Trust Series 2024-BPRC Class D, 7.0816% 7/15/2043 (b) |  | 110000 | 113006 |
| Wells Fargo Commercial Mortgage Trust Series 2024-BPRC Class X, 0.3123% 7/15/2043 (b)(d)(h) |  | 3278000 | 27579 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class A, CME Term SOFR 1 month Index + 1.7913%, 5.7503% 10/15/2041 (b)(c)(d) |  | 6587000 | 6587273 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class B, CME Term SOFR 1 month Index + 2.2906%, 6.2496% 10/15/2041 (b)(c)(d) |  | 4700000 | 4709207 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A11, CME Term SOFR 1 month Index + 1.9907%, 6.0229% 8/15/2041 (b)(c)(d) |  | 1478214 | 1472202 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A12, CME Term SOFR 1 month Index + 1.6912%, 5.7233% 8/15/2041 (b)(c)(d) |  | 2573846 | 2573934 |
| West Trust Series 2025-ROSE Class A, 5.275% 4/10/2035 (b)(d) |  | 156000 | 159056 |
| WF-RBS Commercial Mortgage Trust Series 2013-C11 Class D, 4.0662% 3/15/2045 (b)(d) |  | 194255 | 170375 |
| WHARF Series 2025-DC Class A, 5.3495% 7/15/2040 (b)(d) |  | 352000 | 364260 |
| WHARF Series 2025-DC Class E, 7.9816% 7/15/2040 (b)(d) |  | 198000 | 203521 |
| Worldwide Plaza Trust Series 2017-WWP Class A, 3.5263% 11/10/2036 (b) |  | 174592 | 140155 |
| TOTAL UNITED STATES |  |  | 1249693319 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $1,274,578,638) |  |  | <br> **1255488741** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| FRANCE - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Altice France Holding SA (i) | 1584 | 23986 |
| JAMAICA - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| Digicel Ltd (i)(o) | 104255 | 1340719 |
| LUXEMBOURG - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| Intelsat SA/Luxembourg (i)(o) | 65805 | 1 |
| Financials - 0.0% |  |  |
| Capital Markets - 0.0% |  |  |
| Yeoman Capital SA (b)(i) | 61576 | 390115 |
| TOTAL LUXEMBOURG |  | 390116 |
| UNITED STATES - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Main Street Sports Group (i) | 34138 | 130851 |
| Main Street Sports Group warrants 6/30/2026 (i)(o) | 63385 | 30 |
|  |  | 130881 |
| Health Care - 0.0% |  |  |
| Health Care Providers & Services - 0.0% |  |  |
| Cano Health LLC (i)(o) | 9092 | 108013 |
| Cano Health LLC warrants 6/28/2029 (i)(o) | 279 | 862 |
|  |  | 108875 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| Incora Top Holdco LLC (i) | 3391 | 77722 |
| TOTAL UNITED STATES |  | 317478 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $2,204,337) |  | <br> **2072299** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Corporate Bonds - 0.0%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 0.0%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 0.0%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 0.0%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| GERMANY - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Vonovia SE 0.875% 5/20/2032 (e) | EUR | 100000 | 114223 |
| ITALY - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Davide Campari-Milano NV 2.375% 1/17/2029 (e) | EUR | 800000 | 902536 |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS**<br> (Cost $996,488) |  |  | <br> **1016759** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Fixed-Income Funds - 44.7%** | &nbsp;&nbsp;**Fixed-Income Funds - 44.7%** | &nbsp;&nbsp;**Fixed-Income Funds - 44.7%** |
|  | Shares | Value ($)<br>|
| American Funds The Bond Fund of America Class F-2  | 127234399 | 1464467937 |
| Baird Aggregate Bond Fund Class Institutional  | 115377851 | 1156086067 |
| Baird Core Plus Bond Fund Class Institutional  | 108244875 | 1122499350 |
| Columbia Mortgage Opportunities Fund Class A  | 58102326 | 497355907 |
| DoubleLine Total Return Bond Fund Class N  | 149703364 | 1341342139 |
| Eaton Vance Total Return Bond ETF (p) | 3439515 | 177960506 |
| Fidelity SAI Long-Term Treasury Bond Index Fund (q) | 138659 | 960904 |
| Fidelity SAI Total Bond Fund (q) | 346589728 | 3199023191 |
| Fidelity SAI U.S. Treasury Bond Index Fund (q) | 12811208 | 115172761 |
| Fidelity U.S. Bond Index Fund (q) | 3032726 | 32207548 |
| iShares 1-5 Year Investment Grade Corporate Bond ETF (p) | 2881252 | 153023294 |
| iShares 7-10 Year Treasury Bond ETF (p) | 16973444 | 1654910790 |
| iShares Broad USD High Yield Corporate Bond ETF  | 22267 | 838130 |
| iShares Core US Aggregate Bond ETF (p) | 468143 | 47198177 |
| iShares iBoxx $ Investment Grade Corporate Bond ETF  | 1892 | 211639 |
| John Hancock Bond Fund Class R6  | 58261440 | 805173094 |
| JPMorgan Core Bond Fund Class R6  | 69754802 | 733122973 |
| NYLI MacKay U.S. Infrastructure Bond Class A  | 47788130 | 367490719 |
| PIMCO Income Fund Institutional Class  | 113384610 | 1247230709 |
| PIMCO Mortgage Opportunities and Bond Fund Institutional Class  | 220040287 | 2077180311 |
| SPDR DoubleLine Total Return Tactical ETF (p) | 13815794 | 562302816 |
| State Street SPDR Portfolio Long Term Treasury ETF  | 21299820 | 579781100 |
| T. Rowe Price Emerging Markets Bond Fund I Class  | 30553988 | 300040160 |
| TCW Emerging Markets Income Fund Class N  | 36220785 | 324900439 |
| The Hartford Total Return Bond Fund Class I  | 43064088 | 398773456 |
| Voya Intermediate Bond Fund Class I  | 165484386 | 1474465876 |
| <br> **TOTAL FIXED-INCOME FUNDS**<br> (Cost $20,855,490,266) |  | **19833719993** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.1%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| ARGENTINA - 0.0%  |  |  |  |
| Argentine Republic 0.125% 7/9/2030  | EUR | 1278134 | 1193140 |
| Argentine Republic 0.75% 7/9/2030 (g) |  | 3155490 | 2609591 |
| Argentine Republic 1% 7/9/2029  |  | 6602910 | 5757737 |
| Argentine Republic 4.125% 7/9/2035 (g) |  | 2010000 | 1429361 |
| TOTAL ARGENTINA |  |  | 10989829 |
| AUSTRALIA - 0.1%  |  |  |  |
| Australian Commonwealth 1.75% 11/21/2032 (e) | AUD | 205000 | 113979 |
| Australian Commonwealth 2.75% 6/21/2035 (e) | AUD | 22200000 | 12574591 |
| New South Wales Treasury Corp 1.75% 3/20/2034 (e) | AUD | 9100000 | 4664624 |
| New South Wales Treasury Corp 4.75% 2/20/2037 (e) | AUD | 7055000 | 4406971 |
| New South Wales Treasury Corp 5.25% 2/24/2038 (e) | AUD | 2825000 | 1827386 |
| Queensland Treasury Corp 4.5% 8/22/2035 (b)(e) | AUD | 2200000 | 1367678 |
| Queensland Treasury Corp 5% 7/21/2037 (b)(e) | AUD | 5255000 | 3327169 |
| Queensland Treasury Corp 5.25% 8/13/2038 (b)(e) | AUD | 4185000 | 2682909 |
| Treasury Corp of Victoria 2% 11/20/2037  | AUD | 2630000 | 1202030 |
| Treasury Corp of Victoria 2.25% 9/15/2033 (e) | AUD | 4300000 | 2332286 |
| TOTAL AUSTRALIA |  |  | 34499623 |
| BAHAMAS (NASSAU) - 0.0%  |  |  |  |
| Bahamas Government International Bond 8.25% 6/24/2036 (b) |  | 391000 | 423648 |
| BENIN - 0.0%  |  |  |  |
| Republic of Benin 7.96% 2/13/2038 (b) |  | 200000 | 203221 |
| BRAZIL - 0.3%  |  |  |  |
| Brazil Minas SPE via State of Minas Gerais 5.333% 2/15/2028 (e) |  | 1194000 | 1195540 |
| Brazil Notas do Tesouro Nacional Serie B 6% 10/20/2033  |  | 700000 | 712600 |
| Brazil Notas do Tesouro Nacional Serie B 6.625% 3/15/2035  |  | 985000 | 1018490 |
| Brazil Notas do Tesouro Nacional Serie B 7.125% 5/13/2054  |  | 488000 | 488976 |
| Brazilian Federative Republic Treasury Bills 0% 4/1/2026 (n) | BRL | 496800000 | 88896557 |
| TOTAL BRAZIL |  |  | 92312163 |
| CANADA - 0.0%  |  |  |  |
| Canadian Government 3% 6/1/2034  | CAD | 220000 | 156630 |
| Province of Quebec 4.45% 9/1/2034  | CAD | 14000000 | 10701871 |
| Province of Quebec 7.5% 9/15/2029  |  | 1315000 | 1487807 |
| TOTAL CANADA |  |  | 12346308 |
| COLOMBIA - 0.0%  |  |  |  |
| Colombian Republic 3.75% 9/19/2028  | EUR | 5310000 | 6146609 |
| Colombian Republic 5% 9/19/2032  | EUR | 1146000 | 1287230 |
| Colombian Republic 7.375% 4/25/2030  |  | 4145000 | 4387483 |
| Colombian Republic 7.75% 11/7/2036  |  | 200000 | 210050 |
| Colombian Republic 8% 11/14/2035  |  | 1409000 | 1518902 |
| Colombian Republic 8.75% 11/14/2053  |  | 788000 | 880984 |
| TOTAL COLOMBIA |  |  | 14431258 |
| COSTA RICA - 0.0%  |  |  |  |
| Costa Rica Government International Bond 7.3% 11/13/2054 (b) |  | 285000 | 316135 |
| COTE D'IVOIRE - 0.0%  |  |  |  |
| Ivory Coast Government Bond 4.875% 1/30/2032 (e) | EUR | 1930000 | 2131622 |
| Ivory Coast Government Bond 5.25% 3/22/2030 (e) | EUR | 2973000 | 3427082 |
| Ivory Coast Government Bond 5.875% 10/17/2031 (e) | EUR | 4472000 | 5143681 |
| Ivory Coast Government Bond 6.125% 6/15/2033 (e) |  | 950000 | 917463 |
| Ivory Coast Government Bond 8.075% 4/1/2036 (b) |  | 480000 | 498340 |
| TOTAL COTE D'IVOIRE |  |  | 12118188 |
| DOMINICAN REPUBLIC - 0.0%  |  |  |  |
| Dominican Republic Bond 5.5% 2/22/2029 (b) |  | 2662000 | 2695275 |
| Dominican Republic Bond 5.5% 2/22/2029 (e) |  | 161000 | 163013 |
| Dominican Republic Bond 5.95% 1/25/2027 (b) |  | 1100000 | 1110669 |
| Dominican Republic Bond 6% 2/22/2033 (e) |  | 157000 | 159198 |
| Dominican Republic Bond 6% 7/19/2028 (b) |  | 1429000 | 1463296 |
| Dominican Republic Bond 6.4% 6/5/2049 (e) |  | 450000 | 442535 |
| Dominican Republic Bond 7.45% 4/30/2044 (e) |  | 100000 | 109724 |
| TOTAL DOMINICAN REPUBLIC |  |  | 6143710 |
| ECUADOR - 0.0%  |  |  |  |
| Ecuador Government International Bond 6.9% 7/31/2030 (b)(g) |  | 430000 | 418175 |
| Ecuador Government International Bond 6.9% 7/31/2035 (b)(g) |  | 320000 | 273280 |
| TOTAL ECUADOR |  |  | 691455 |
| EGYPT - 0.0%  |  |  |  |
| Arab Republic of Egypt 7.3% 9/30/2033 (e) |  | 200000 | 197688 |
| Arab Republic of Egypt 7.6003% 3/1/2029 (e) |  | 300000 | 314820 |
| Arab Republic of Egypt 7.625% 5/29/2032 (e) |  | 350000 | 358050 |
| Arab Republic of Egypt 8.5% 1/31/2047 (e) |  | 300000 | 280125 |
| Arab Republic of Egypt 8.7002% 3/1/2049 (e) |  | 500000 | 473440 |
| Arab Republic of Egypt 8.875% 5/29/2050 (e) |  | 300000 | 288410 |
| Arab Republic of Egypt 9.45% 2/4/2033 (b) |  | 200000 | 220360 |
| TOTAL EGYPT |  |  | 2132893 |
| EL SALVADOR - 0.0%  |  |  |  |
| El Salvador Republic 9.65% 11/21/2054 (b) |  | 823000 | 928488 |
| GUATEMALA - 0.0%  |  |  |  |
| Guatemala Government Bond 3.7% 10/7/2033 (e) |  | 947000 | 841012 |
| Guatemala Government Bond 6.25% 8/15/2036 (e) |  | 979000 | 1018405 |
| Guatemala Government Bond 6.25% 8/15/2036 (b) |  | 669000 | 695927 |
| Guatemala Government Bond 6.6% 6/13/2036 (b) |  | 200000 | 213850 |
| TOTAL GUATEMALA |  |  | 2769194 |
| HUNGARY - 0.0%  |  |  |  |
| Hungary Government 1.75% 6/5/2035 (e) | EUR | 1370000 | 1289628 |
| Hungary Government 2.125% 9/22/2031 (b) |  | 780000 | 670316 |
| Hungary Government 7.625% 3/29/2041  |  | 170000 | 200355 |
| TOTAL HUNGARY |  |  | 2160299 |
| INDONESIA - 0.0%  |  |  |  |
| Indonesia Government 2.85% 2/14/2030  |  | 1430000 | 1351350 |
| Indonesia Government 3.05% 3/12/2051  |  | 1180000 | 793845 |
| Indonesia Government 3.4% 9/18/2029  |  | 420000 | 409106 |
| Indonesia Government 3.5% 1/11/2028  |  | 6300000 | 6227157 |
| TOTAL INDONESIA |  |  | 8781458 |
| ISRAEL - 0.0%  |  |  |  |
| Israel Government 5.375% 2/19/2030  |  | 4461000 | 4614802 |
| Israel Government 5.5% 3/12/2034  |  | 200000 | 207984 |
| TOTAL ISRAEL |  |  | 4822786 |
| ITALY - 0.0%  |  |  |  |
| Cassa Depositi e Prestiti SpA 4.375% 10/1/2030 (b) |  | 1200000 | 1206332 |
| Cassa Depositi e Prestiti SpA 5.75% 5/5/2026 (b) |  | 1200000 | 1207419 |
| Cassa Depositi e Prestiti SpA 5.875% 4/30/2029 (b) |  | 2200000 | 2323769 |
| TOTAL ITALY |  |  | 4737520 |
| JAPAN - 0.0%  |  |  |  |
| Japan Government 0.1% 9/20/2028  | JPY | 114850000 | 715937 |
| Japan Government 0.2% 3/1/2026  | JPY | 378350000 | 2420442 |
| Japan Government 1.3% 9/20/2030  | JPY | 507500000 | 3246564 |
| Japan Government 1.9% 6/20/2044  | JPY | 510000000 | 2876543 |
| Japan Government 2.2% 6/20/2054  | JPY | 410000000 | 2086156 |
| Japan Government 2.3% 12/20/2054  | JPY | 534250000 | 2771957 |
| Japan Government 2.4% 3/20/2055  | JPY | 396400000 | 2103898 |
| Japan Government 3.2% 9/20/2055  | JPY | 66700000 | 418348 |
| Japan Government Treasury Bills 0% 3/2/2026 (n) | JPY | 300000000 | 1918136 |
| TOTAL JAPAN |  |  | 18557981 |
| JORDAN - 0.0%  |  |  |  |
| Jordan Government 0% 11/12/2032 (b) |  | 918000 | 903083 |
| Jordan Government 5.85% 7/7/2030 (e) |  | 200000 | 200900 |
| Jordan Government 7.375% 10/10/2047 (e) |  | 400000 | 399300 |
| TOTAL JORDAN |  |  | 1503283 |
| KENYA - 0.0%  |  |  |  |
| Republic of Kenya Government Bond 7.875% 10/9/2033 (b) |  | 320000 | 306800 |
| Republic of Kenya Government Bond 8.8% 10/9/2038 (b) |  | 452000 | 437170 |
| Republic of Kenya Government Bond 9.5% 3/5/2036 (b) |  | 532000 | 538384 |
| TOTAL KENYA |  |  | 1282354 |
| KUWAIT - 0.0%  |  |  |  |
| State of Kuwait 4.016% 10/9/2028 (b) |  | 3100000 | 3099721 |
| State of Kuwait 4.136% 10/9/2030 (b) |  | 3100000 | 3100996 |
| State of Kuwait 4.652% 10/9/2035 (b) |  | 2400000 | 2404848 |
| TOTAL KUWAIT |  |  | 8605565 |
| MEXICO - 0.2%  |  |  |  |
| United Mexican States 2.659% 5/24/2031  |  | 2470000 | 2203240 |
| United Mexican States 4.28% 8/14/2041  |  | 400000 | 323200 |
| United Mexican States 4.5% 1/31/2050  |  | 1880000 | 1445720 |
| United Mexican States 4.5% 4/22/2029  |  | 2920000 | 2931680 |
| United Mexican States 4.75% 3/22/2031  |  | 4100000 | 4052850 |
| United Mexican States 4.75% 3/8/2044  |  | 206000 | 171391 |
| United Mexican States 5.375% 3/22/2033  |  | 4085000 | 4074788 |
| United Mexican States 5.625% 9/22/2035  |  | 2211000 | 2191101 |
| United Mexican States 5.85% 7/2/2032  |  | 4875000 | 5031000 |
| United Mexican States 6% 5/13/2030  |  | 4310000 | 4528733 |
| United Mexican States 6.05% 1/11/2040  |  | 1600000 | 1602400 |
| United Mexican States 6.35% 2/9/2035  |  | 1200000 | 1264320 |
| United Mexican States 6.875% 5/13/2037  |  | 11400000 | 12283500 |
| TOTAL MEXICO |  |  | 42103923 |
| MULTI-NATIONAL - 0.1%  |  |  |  |
| European Union 2.875% 10/5/2029 (e) | EUR | 19500000 | 23036484 |
| European Union 3.375% 12/12/2035 (e) | EUR | 1195000 | 1421578 |
| European Union 3.75% 10/12/2045 (e) | EUR | 400000 | 462409 |
| European Union 4% 4/4/2044 (e) | EUR | 815000 | 982684 |
| TOTAL MULTI-NATIONAL |  |  | 25903155 |
| NIGERIA - 0.0%  |  |  |  |
| Republic of Nigeria 6.125% 9/28/2028 (b) |  | 300000 | 297167 |
| Republic of Nigeria 6.5% 11/28/2027 (e) |  | 300000 | 301875 |
| Republic of Nigeria 9.1297% 1/13/2046 (b) |  | 560000 | 593880 |
| TOTAL NIGERIA |  |  | 1192922 |
| PAKISTAN - 0.0%  |  |  |  |
| Islamic Republic of Pakistan 6.875% 12/5/2027 (b) |  | 200000 | 200160 |
| Islamic Republic of Pakistan 7.375% 4/8/2031 (b) |  | 500000 | 491000 |
| Islamic Republic of Pakistan 8.875% 4/8/2051 (b) |  | 600000 | 574500 |
| TOTAL PAKISTAN |  |  | 1265660 |
| PANAMA - 0.0%  |  |  |  |
| Panamanian Republic 3.16% 1/23/2030  |  | 650000 | 604825 |
| Panamanian Republic 3.875% 3/17/2028  |  | 1220000 | 1194380 |
| Panamanian Republic 4.3% 4/29/2053  |  | 615000 | 455100 |
| Panamanian Republic 4.5% 4/1/2056  |  | 680000 | 507280 |
| Panamanian Republic 4.5% 4/16/2050  |  | 400000 | 304100 |
| TOTAL PANAMA |  |  | 3065685 |
| PARAGUAY - 0.0%  |  |  |  |
| Republic of Paraguay 5.4% 3/30/2050 (e) |  | 1019000 | 941556 |
| Republic of Paraguay 5.6% 3/13/2048 (e) |  | 400000 | 380550 |
| Republic of Paraguay 6% 2/9/2036 (b) |  | 510000 | 540284 |
| TOTAL PARAGUAY |  |  | 1862390 |
| PERU - 0.0%  |  |  |  |
| Peruvian Republic 1.862% 12/1/2032  |  | 2350000 | 1956375 |
| Peruvian Republic 2.783% 1/23/2031  |  | 772000 | 716416 |
| Peruvian Republic 2.844% 6/20/2030  |  | 800000 | 752800 |
| Peruvian Republic 3.55% 3/10/2051  |  | 1000000 | 717000 |
| Peruvian Republic 5.375% 2/8/2035  |  | 800000 | 822500 |
| Peruvian Republic 5.875% 8/8/2054  |  | 2600000 | 2618200 |
| Peruvian Republic 6.85% 8/12/2035 (e) | PEN | 3550000 | 1126894 |
| Peruvian Republic 7.6% 8/12/2039 (e) | PEN | 2858000 | 932547 |
| TOTAL PERU |  |  | 9642732 |
| PHILIPPINES - 0.0%  |  |  |  |
| Philippine Republic 3% 2/1/2028  |  | 1130000 | 1105988 |
| Philippine Republic 3.2% 7/6/2046  |  | 1180000 | 855499 |
| Philippine Republic 5.5% 2/4/2035  |  | 2790000 | 2960888 |
| TOTAL PHILIPPINES |  |  | 4922375 |
| POLAND - 0.0%  |  |  |  |
| Republic of Poland 5.125% 9/18/2034  |  | 200000 | 205649 |
| Republic of Poland 5.375% 2/12/2035  |  | 285000 | 296745 |
| Republic of Poland 5.5% 3/18/2054  |  | 370000 | 360473 |
| TOTAL POLAND |  |  | 862867 |
| ROMANIA - 0.0%  |  |  |  |
| Romanian Republic 5.375% 6/7/2033 (b) | EUR | 11400000 | 13430511 |
| Romanian Republic 5.625% 5/30/2037 (b) | EUR | 1800000 | 2034639 |
| Romanian Republic 5.75% 3/24/2035 (e) |  | 502000 | 491001 |
| Romanian Republic 5.75% 9/16/2030 (b) |  | 3270000 | 3351897 |
| Romanian Republic 5.875% 7/11/2032 (e) | EUR | 650000 | 791230 |
| Romanian Republic 6.625% 5/16/2036 (e) |  | 2010000 | 2075325 |
| TOTAL ROMANIA |  |  | 22174603 |
| SAUDI ARABIA - 0.1%  |  |  |  |
| Kingdom of Saudi Arabia 3.625% 3/4/2028 (e) |  | 8800000 | 8701264 |
| Kingdom of Saudi Arabia 5.125% 1/13/2028 (b) |  | 18400000 | 18814000 |
| TOTAL SAUDI ARABIA |  |  | 27515264 |
| SERBIA - 0.0%  |  |  |  |
| Republic of Serbia 1.5% 6/26/2029 (e) | EUR | 3203000 | 3456514 |
| Republic of Serbia 1.5% 6/26/2029 (b) | EUR | 1790000 | 1931676 |
| Republic of Serbia 1.65% 3/3/2033 (b) | EUR | 671000 | 652984 |
| Republic of Serbia 1.65% 3/3/2033 (e) | EUR | 183000 | 178087 |
| Republic of Serbia 6.25% 5/26/2028 (e) |  | 1308000 | 1357572 |
| Republic of Serbia 6.25% 5/26/2028 (b) |  | 995000 | 1032709 |
| TOTAL SERBIA |  |  | 8609542 |
| SOUTH AFRICA - 0.0%  |  |  |  |
| South African Republic 10% 3/31/2033  | ZAR | 22669000 | 1454514 |
| South African Republic 5.875% 4/20/2032  |  | 690000 | 709617 |
| South African Republic 7.1% 11/19/2036 (b) |  | 10537000 | 11345715 |
| South African Republic 7.3% 4/20/2052  |  | 500000 | 503785 |
| South African Republic 7.95% 11/19/2054 (b) |  | 483000 | 517776 |
| South African Republic 8.5% 1/31/2037  | ZAR | 20925000 | 1184838 |
| TOTAL SOUTH AFRICA |  |  | 15716245 |
| SURINAME - 0.0%  |  |  |  |
| Republic of Suriname 0% 11/6/2030 (b) |  | 479000 | 492053 |
| Republic of Suriname 8.5% 11/6/2035 (b) |  | 663000 | 713759 |
| TOTAL SURINAME |  |  | 1205812 |
| TURKEY - 0.0%  |  |  |  |
| Istanbul Metropolitan Municipality 10.5% 12/6/2028 (b) |  | 600000 | 656892 |
| Turkish Republic 7.125% 2/12/2032  |  | 200000 | 210800 |
| Turkish Republic 7.625% 5/15/2034  |  | 400000 | 429688 |
| TOTAL TURKEY |  |  | 1297380 |
| UNITED KINGDOM - 0.3%  |  |  |  |
| United Kingdom of Great Britain and Northern Ireland 0.5% 10/22/2061 (e) | GBP | 1900000 | 657777 |
| United Kingdom of Great Britain and Northern Ireland 3.75% 10/22/2053 (e) | GBP | 2700000 | 2814024 |
| United Kingdom of Great Britain and Northern Ireland 4.375% 7/31/2054 (e) | GBP | 12865000 | 14947049 |
| United Kingdom of Great Britain and Northern Ireland 4.5% 3/7/2035 (e) | GBP | 50000000 | 66428110 |
| TOTAL UNITED KINGDOM |  |  | 84846960 |
| URUGUAY - 0.0%  |  |  |  |
| Uruguay Republic 4.375% 10/27/2027  |  | 100000 | 100350 |
| Uruguay Republic 5.1% 6/18/2050  |  | 830000 | 794310 |
| TOTAL URUGUAY |  |  | 894660 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $486,437,840) |  |  | <br> **493839534** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Municipal Securities - 0.2%** | &nbsp;&nbsp;**Municipal Securities - 0.2%** | &nbsp;&nbsp;**Municipal Securities - 0.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Arizona - 0.0%  |  |  |
| Electric Utilities - 0.0% |  |  |
| Salt River Proj AZ Agric & Pwr 4.839% 1/1/2041  | 750000 | 739565 |
| Other - 0.0% |  |  |
| Maricopa Cnty AZ Ind Dev Au Ed Series 2024, 7.375% 10/1/2029 (b) | 4950000 | 5205981 |
| TOTAL ARIZONA |  | 5945546 |
| California - 0.0%  |  |  |
| Education - 0.0% |  |  |
| University CA Revs 4.858% 5/15/2112  | 499000 | 424155 |
| University CA Revs Series 2015 AQ, 4.767% 5/15/2115  | 1565000 | 1305264 |
| University CA Revs Series 2015 J, 4.131% 5/15/2045  | 1750000 | 1625173 |
|  |  | 3354592 |
| General Obligations - 0.0% |  |  |
| State of California 7.5% 4/1/2034  | 205000 | 241369 |
| State of California 7.55% 4/1/2039  | 290000 | 357022 |
| State of California Gen. Oblig. 4.6% 4/1/2038 (Pre-refunded to 4/1/2028 at 100)  | 1180000 | 1204078 |
|  |  | 1802469 |
| Health Care - 0.0% |  |  |
| Univ CA Regts Med Ctr Pooled Rev Series 2022 Q, 4.563% 5/15/2053  | 875000 | 766123 |
| Tobacco Bonds - 0.0% |  |  |
| Golden State Tobacco Securitization Corp. Tobacco Settlement Series 2021 B 1, 3.85% 6/1/2050  | 70000 | 64181 |
| Transportation - 0.0% |  |  |
| Bay Area Toll Auth CA Bridge Rev 6.263% 4/1/2049  | 3565000 | 3840312 |
| Bay Area Toll Auth CA Bridge Rev 7.043% 4/1/2050  | 540000 | 629734 |
| Los Angeles CA Dept Arpts Rev Series 2021 C, 2.063% 5/15/2034  | 500000 | 421500 |
| Los Angeles CA Dept Arpts Rev Series 2021 C, 2.163% 5/15/2035  | 500000 | 414534 |
|  |  | 5306080 |
| TOTAL CALIFORNIA |  | 11293445 |
| Colorado - 0.0%  |  |  |
| Special Tax - 0.0% |  |  |
| Regional Transn Dist CO Sales 5.844% 11/1/2050  | 45000 | 46393 |
| Florida - 0.0%  |  |  |
| Special Tax - 0.0% |  |  |
| State of Florida Series 2024A, 5.526% 7/1/2034  | 1500000 | 1585662 |
| Georgia - 0.0%  |  |  |
| Electric Utilities - 0.0% |  |  |
| Georgia Mun Elec Auth Pwr Rev Series 2010 A, 6.637% 4/1/2057  | 207000 | 227859 |
| Illinois - 0.0%  |  |  |
| General Obligations - 0.0% |  |  |
| Illinois St Gen. Oblig. 5.1% 6/1/2033  | 2159559 | 2216211 |
| Louisiana - 0.0%  |  |  |
| Other - 0.0% |  |  |
| Louisiana Local Government Environmental Facilities & Community Development Auth Series ELL Class A2, 4.145% 2/1/2033  | 720000 | 722472 |
| Massachusetts - 0.0%  |  |  |
| Special Tax - 0.0% |  |  |
| Massachusetts St Transn Fd Rev 5.731% 6/1/2040  | 150000 | 158660 |
| Michigan - 0.0%  |  |  |
| Education - 0.0% |  |  |
| Michigan St Univ Revs Series 2022A, 4.165% 8/15/2122  | 3660000 | 2706464 |
| University MI Univ Revs 2.437% 4/1/2040  | 570000 | 439054 |
| University MI Univ Revs 3.504% 4/1/2052  | 1080000 | 812023 |
| University MI Univ Revs 4.454% 4/1/2122  | 4790000 | 3854811 |
|  |  | 7812352 |
| Health Care - 0.0% |  |  |
| Michigan Fin Auth Rev (Trinity Health Proj.) Series 2019 T, 3.384% 12/1/2040  | 545000 | 464668 |
| TOTAL MICHIGAN |  | 8277020 |
| Minnesota - 0.0%  |  |  |
| Education - 0.0% |  |  |
| University MN Series 2022, 4.048% 4/1/2052  | 1060000 | 875758 |
| New Jersey - 0.0%  |  |  |
| Transportation - 0.0% |  |  |
| New Jersey Turnpike Authority 7.102% 1/1/2041  | 855000 | 1000052 |
| New Jersey Turnpike Authority 7.414% 1/1/2040  | 2220000 | 2677311 |
|  |  | 3677363 |
| TOTAL NEW JERSEY |  | 3677363 |
| New Jersey,New York - 0.0%  |  |  |
| Transportation - 0.0% |  |  |
| Port Auth NY & NJ 4.926% 10/1/2051  | 70000 | 66835 |
| Port Auth NY & NJ 4.96% 8/1/2046  | 280000 | 268926 |
| Port Auth NY & NJ 5.647% 11/1/2040  | 240000 | 257715 |
| Port Auth NY & NJ Series 174, 4.458% 10/1/2062  | 515000 | 442551 |
|  |  | 1036027 |
| TOTAL NEW JERSEY,NEW YORK |  | 1036027 |
| New York - 0.2%  |  |  |
| Education - 0.1% |  |  |
| NY St Dorm Auth Revs Non St Supported Debt Series 2025B, 5.228% 7/1/2035  | 5630000 | 5923559 |
| Other - 0.0% |  |  |
| New York City Transitional Finance Authority 2.69% 5/1/2033 (Escrowed to Maturity)  | 530000 | 476446 |
| Special Tax - 0.1% |  |  |
| New York City Transitional Finance Authority 2.69% 5/1/2033  | 1485000 | 1329118 |
| New York City Transitional Finance Authority Series FISCAL 2025C SUB C 2, 4.375% 5/1/2037  | 9300000 | 8993358 |
| New York NY City Transitional Fin Auth Rev Series FISCAL 2021 SUB E 3, 1.97% 2/1/2033  | 2015000 | 1723924 |
| New York NY City Transitional Fin Auth Rev Series FISCAL 2023 F SUBF 3, 5.13% 2/1/2035  | 750000 | 775314 |
| New York NY City Transitional Fin Auth Rev Series FISCAL 2023 F SUBF 3, 5.15% 2/1/2036  | 750000 | 770535 |
| New York St Dorm Auth St Pers Income Tax Rev (New York State Pit Proj.) 5.628% 3/15/2039  | 990000 | 1027481 |
| New York Twy Auth Pers Income Tax Rev (New York State Pit Proj.) Series 2022 C, 5% 3/15/2053  | 1340000 | 1378379 |
| New York Twy Auth Pers Income Tax Rev (New York State Pit Proj.) Series 2025 B, 5% 3/15/2059  | 740000 | 766519 |
|  |  | 16764628 |
| Transportation - 0.0% |  |  |
| Metropolitan Transn Auth NY Rv 6.668% 11/15/2039  | 380000 | 421296 |
| Metropolitan Transn Auth NY Rv Series 2010E, 6.814% 11/15/2040  | 15000 | 17083 |
|  |  | 438379 |
| Water & Sewer - 0.0% |  |  |
| New York NY Cty Muni Wtr Fin Auth 5.882% 6/15/2044  | 320000 | 332198 |
| New York NY Cty Muni Wtr Fin Auth 6.011% 6/15/2042  | 70000 | 73761 |
|  |  | 405959 |
| TOTAL NEW YORK |  | 24008971 |
| Ohio - 0.0%  |  |  |
| Education - 0.0% |  |  |
| Ohio St Univ Gen Rcpts 4.8% 6/1/2111  | 1503000 | 1280833 |
| Ohio St Univ Gen Rcpts 4.91% 6/1/2040  | 140000 | 139508 |
|  |  | 1420341 |
| Electric Utilities - 0.0% |  |  |
| American Mun Pwr Rev 8.084% 2/15/2050  | 435000 | 560696 |
| Special Tax - 0.0% |  |  |
| JobsOhio Beverage System Series 2020A, 2.833% 1/1/2038  | 325000 | 276584 |
| TOTAL OHIO |  | 2257621 |
| Texas - 0.0%  |  |  |
| Electric Utilities - 0.0% |  |  |
| San Antonio TX Elec & Gas Rev 5.808% 2/1/2041  | 230000 | 240998 |
| General Obligations - 0.0% |  |  |
| Lamar TX Isd Series 2023 A, 5% 2/15/2058 (Permanent Sch Fund of Texas Guaranteed)  | 980000 | 1014416 |
| Texas State Gen. Oblig. 5.517% 4/1/2039  | 318685 | 333953 |
|  |  | 1348369 |
| Industrial Development - 0.0% |  |  |
| Port of Beaumont Navigation District Series 2024 B, 10% 7/1/2026 (b) | 325000 | 326200 |
| Transportation - 0.0% |  |  |
| Dallas Fort Worth International Airport 4.087% 11/1/2051  | 1010000 | 849381 |
| Texas Private Activity Bd Surface Transn Corp Rev 3.922% 12/31/2049  | 390000 | 315455 |
|  |  | 1164836 |
| TOTAL TEXAS |  | 3080403 |
| Virginia - 0.0%  |  |  |
| Education - 0.0% |  |  |
| University VA Univ Revs (University VA Univ Revs Proj.) 2.584% 11/1/2051  | 1520000 | 960029 |
| Other - 0.0% |  |  |
| Williamsburg Economic Development Authority Series 2025, 4.957% 11/1/2035  | 885000 | 894406 |
| TOTAL VIRGINIA |  | 1854435 |
| <br> **TOTAL MUNICIPAL SECURITIES**<br> (Cost $72,570,628) |  | <br> **67263846** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 14.2%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 14.2%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 14.2%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 14.2%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| NBN Co Ltd 4% 10/1/2027 (b) |  | 7200000 | 7181920 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Santos Finance Ltd 3.649% 4/29/2031 (b) |  | 4800000 | 4497430 |
| Santos Finance Ltd 4.125% 9/14/2027 (e) |  | 6300000 | 6247160 |
| Woodside Finance Ltd 5.4% 5/19/2030  |  | 500000 | 515460 |
|  |  |  | 11260050 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Australia & New Zealand Banking Group Ltd 5.1454% 8/18/2036 (d)(e) | GBP | 400000 | 529157 |
| Commonwealth Bank of Australia 3.61% 9/12/2034 (b)(d) |  | 3419000 | 3305020 |
| Commonwealth Bank of Australia 3.788% 8/26/2037 (d)(e) | EUR | 500000 | 581844 |
| National Australia Bank Ltd 2.332% 8/21/2030 (b) |  | 450000 | 409637 |
| Westpac Banking Corp 4.11% 7/24/2034 (d) |  | 4937000 | 4865006 |
|  |  |  | 9690664 |
| Capital Markets - 0.0% |  |  |  |
| Macquarie Group Ltd 2.691% 6/23/2032 (b)(d) |  | 166000 | 151307 |
| Financial Services - 0.0% |  |  |  |
| Amcor UK Finance PLC 3.75% 2/20/2033  | EUR | 605000 | 700414 |
| Cimic Finance Ltd 1.5% 5/28/2029 (e) | EUR | 465000 | 502770 |
|  |  |  | 1203184 |
| Insurance - 0.0% |  |  |  |
| QBE Insurance Group Ltd 2.5% 9/13/2038 (d)(e) | GBP | 325000 | 405609 |
| TOTAL FINANCIALS |  |  | 11450764 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| Pacific National Finance Pty Ltd 3.7% 9/24/2029  | AUD | 570000 | 345297 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Sydney Airport Finance Co Pty Ltd 1.75% 4/26/2028 (e) | EUR | 1500000 | 1706648 |
| TOTAL INDUSTRIALS |  |  | 2051945 |
| Materials - 0.1% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Dyno Nobel Ltd 5.4% 11/8/2032  | AUD | 620000 | 401908 |
| Metals & Mining - 0.1% |  |  |  |
| BHP Billiton Finance USA Ltd 4.9% 2/28/2033  |  | 103000 | 105519 |
| BHP Billiton Finance USA Ltd 5% 2/21/2030  |  | 1330000 | 1374581 |
| BHP Billiton Finance USA Ltd 5.125% 2/21/2032  |  | 3269000 | 3391273 |
| BHP Billiton Finance USA Ltd 5.25% 9/8/2033  |  | 3170000 | 3308811 |
| BHP Billiton Finance USA Ltd 5.3% 2/21/2035  |  | 355000 | 369509 |
| Fortescue Treasury Pty Ltd 4.375% 4/1/2031 (b) |  | 76000 | 73309 |
| Fortescue Treasury Pty Ltd 6.125% 4/15/2032 (b) |  | 150000 | 156566 |
| Glencore Funding LLC 2.5% 9/1/2030 (b) |  | 80000 | 73425 |
| Glencore Funding LLC 2.625% 9/23/2031 (b) |  | 342000 | 308760 |
| Glencore Funding LLC 2.85% 4/27/2031 (b) |  | 754000 | 695941 |
| Glencore Funding LLC 3.875% 10/27/2027 (b) |  | 137000 | 136329 |
| Glencore Funding LLC 5.186% 4/1/2030 (b) |  | 140000 | 144224 |
| Glencore Funding LLC 5.634% 4/4/2034 (b) |  | 2325000 | 2439398 |
| Glencore Funding LLC 5.7% 5/8/2033 (b) |  | 321000 | 339635 |
| Glencore Funding LLC 6.125% 10/6/2028 (b) |  | 1250000 | 1313169 |
| Glencore Funding LLC 6.375% 10/6/2030 (b) |  | 233000 | 251834 |
| Mineral Resources Ltd 7% 4/1/2031 (b) |  | 530000 | 550869 |
| Mineral Resources Ltd 8% 11/1/2027 (b) |  | 530000 | 541816 |
| Mineral Resources Ltd 9.25% 10/1/2028 (b) |  | 775000 | 813746 |
| Rio Tinto Finance USA Ltd 5.2% 11/2/2040  |  | 68000 | 68651 |
| Rio Tinto Finance USA PLC 4.125% 8/21/2042  |  | 160000 | 139269 |
| Rio Tinto Finance USA PLC 5.25% 3/14/2035  |  | 540000 | 560220 |
|  |  |  | 17156854 |
| TOTAL MATERIALS |  |  | 17558762 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| AusNet Services Holdings Pty Ltd 6.134% 5/31/2033  | AUD | 800000 | 546851 |
| TOTAL AUSTRALIA |  |  | 50050292 |
| AUSTRIA - 0.0%  |  |  |  |
| Information Technology - 0.0% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |  |
| ams-OSRAM AG 12.25% 3/30/2029 (b) |  | 3900000 | 4172080 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Mondi Finance PLC 3.375% 5/23/2031 (e) | EUR | 135000 | 156046 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Supernova Invest GmbH 5% 6/24/2030 (e) | EUR | 150000 | 178336 |
| TOTAL AUSTRIA |  |  | 4506462 |
| BAILIWICK OF JERSEY - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Deepocean Ltd 6% 4/8/2031 (e) | EUR | 100000 | 117951 |
| BELGIUM - 0.1%  |  |  |  |
| Consumer Staples - 0.1% |  |  |  |
| Beverages - 0.1% |  |  |  |
| Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc 4.7% 2/1/2036  |  | 11348000 | 11339776 |
| Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc 4.9% 2/1/2046  |  | 3125000 | 2943194 |
| Anheuser-Busch InBev Worldwide Inc 5.8% 1/23/2059  |  | 77000 | 80282 |
|  |  |  | 14363252 |
| Food Products - 0.0% |  |  |  |
| Barry Callebaut Services NV 4.25% 8/19/2031 (e) | EUR | 400000 | 477291 |
| TOTAL CONSUMER STAPLES |  |  | 14840543 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Fluxys SA 4% 11/28/2030 (e) | EUR | 400000 | 474936 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| KBC Group NV 4.932% 10/16/2030 (b)(d) |  | 8910000 | 9089772 |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| UCB SA 4.25% 3/20/2030 (e) | EUR | 2100000 | 2519323 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Syensqo Finance America LLC 5.65% 6/4/2029 (b) |  | 2000000 | 2077532 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Shurgard Luxembourg Sarl 4% 5/27/2035 (e) | EUR | 300000 | 348255 |
| TOTAL BELGIUM |  |  | 29350361 |
| BRAZIL - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| MV24 Capital BV 6.748% 6/1/2034 (b) |  | 146464 | 143901 |
| Petrobras Global Finance BV 6.625% 1/16/2034  | GBP | 400000 | 526634 |
|  |  |  | 670535 |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Raizen Fuels Finance SA 5.7% 1/17/2035 (b) |  | 394000 | 324201 |
| Industrials - 0.0% |  |  |  |
| Marine Transportation - 0.0% |  |  |  |
| Yinson Bergenia Production BV 8.498% 1/31/2045 (b) |  | 612000 | 640458 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Braskem Netherlands Finance BV 4.5% 1/10/2028 (b) |  | 245000 | 95869 |
| Braskem Netherlands Finance BV 4.5% 1/31/2030 (b) |  | 1080000 | 383400 |
| Braskem Netherlands Finance BV 8.5% 1/12/2031 (b) |  | 4393000 | 1605202 |
|  |  |  | 2084471 |
| Metals & Mining - 0.0% |  |  |  |
| ERO Copper Corp 6.5% 2/15/2030 (b) |  | 315000 | 315394 |
| TOTAL MATERIALS |  |  | 2399865 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| FS Luxembourg Sarl 8.625% 6/25/2033 (b) |  | 200000 | 204318 |
| FS Luxembourg Sarl 8.875% 2/12/2031 (b) |  | 335000 | 345780 |
|  |  |  | 550098 |
| TOTAL BRAZIL |  |  | 4585157 |
| CANADA - 0.5%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| TELUS Corp 6.625% 10/15/2055 (d) |  | 100000 | 102484 |
| TELUS Corp 7% 10/15/2055 (d) |  | 150000 | 156582 |
|  |  |  | 259066 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Rogers Communications Inc 5.3% 2/15/2034  |  | 2725000 | 2762787 |
| TOTAL COMMUNICATION SERVICES |  |  | 3021853 |
| Consumer Discretionary - 0.0% |  |  |  |
| Distributors - 0.0% |  |  |  |
| RB Global Holdings Inc 7.75% 3/15/2031 (b) |  | 229000 | 240013 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| 1011778 BC ULC / New Red Finance Inc 4% 10/15/2030 (b) |  | 5425000 | 5169411 |
| 1011778 BC ULC / New Red Finance Inc 4.375% 1/15/2028 (b) |  | 280000 | 277516 |
| 1011778 BC ULC / New Red Finance Inc 6.125% 6/15/2029 (b) |  | 280000 | 288684 |
| Great Canadian Gaming Corp/Raptor LLC 8.75% 11/15/2029 (b) |  | 188000 | 189568 |
| Ontario Gaming GTA LP/OTG Co-Issuer Inc 8% 8/1/2030 (b) |  | 97000 | 95132 |
|  |  |  | 6020311 |
| Household Durables - 0.0% |  |  |  |
| Brookfield Residential Properties Inc / Brookfield Residential US LLC 4.875% 2/15/2030 (b) |  | 500000 | 463750 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |  |
| Gildan Activewear Inc 4.7% 10/7/2030 (b) |  | 409000 | 407958 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 7132032 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| Alimentation Couche-Tard Inc 5.267% 2/12/2034 (b) |  | 2645000 | 2720585 |
| Energy - 0.2% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |  |
| Baytex Energy Corp 8.5% 4/30/2030 (b) |  | 514000 | 542132 |
| Canadian Natural Resources Ltd 3.85% 6/1/2027  |  | 3200000 | 3186501 |
| Canadian Natural Resources Ltd 5% 12/15/2029  |  | 10920000 | 11183797 |
| Canadian Natural Resources Ltd 5.4% 12/15/2034  |  | 4100000 | 4198949 |
| Cenovus Energy Inc 2.65% 1/15/2032  |  | 1050000 | 935882 |
| Cenovus Energy Inc 3.75% 2/15/2052  |  | 3795000 | 2696406 |
| Cenovus Energy Inc 4.65% 3/20/2031  |  | 983000 | 985973 |
| Cenovus Energy Inc 5.25% 6/15/2037  |  | 1199000 | 1172900 |
| Cenovus Energy Inc 5.4% 3/20/2036  |  | 757000 | 764395 |
| Enbridge Inc 4.6% 6/20/2028  |  | 4400000 | 4448579 |
| Enbridge Inc 4.9% 6/20/2030  |  | 3500000 | 3582168 |
| Enbridge Inc 5.3% 4/5/2029  |  | 800000 | 825793 |
| Enbridge Inc 8.5% 1/15/2084 (d) |  | 3910000 | 4485830 |
| South Bow Canadian Infrastructure Holdings Ltd 7.5% 3/1/2055 (d) |  | 48000 | 50909 |
| South Bow USA Infrastructure Holdings LLC 4.911% 9/1/2027  |  | 535000 | 539080 |
| South Bow USA Infrastructure Holdings LLC 5.026% 10/1/2029  |  | 4320000 | 4385371 |
| Suncor Energy Inc 3.75% 3/4/2051  |  | 695000 | 502072 |
| Suncor Energy Inc 6.8% 5/15/2038  |  | 191000 | 212406 |
| TransCanada PipeLines Ltd 4.625% 3/1/2034  |  | 735000 | 721487 |
| Transcanada Trust 5.5% 9/15/2079 (d) |  | 1695000 | 1680330 |
|  |  |  | 47100960 |
| Financials - 0.2% |  |  |  |
| Banks - 0.1% |  |  |  |
| Bank of Montreal 5.511% 6/4/2031  |  | 250000 | 264474 |
| Bank of Nova Scotia/The 3.375% 3/5/2033 (d)(e) | EUR | 760000 | 886203 |
| Bank of Nova Scotia/The 4.338% 9/15/2031 (d) |  | 300000 | 299596 |
| Bank of Nova Scotia/The 4.74% 11/10/2032 (d) |  | 475000 | 482152 |
| Canadian Imperial Bank of Commerce 4.58% 9/8/2031 (d) |  | 4500000 | 4539941 |
| Canadian Imperial Bank of Commerce 4.631% 9/11/2030 (d) |  | 275000 | 279217 |
| Canadian Imperial Bank of Commerce 5.26% 4/8/2029  |  | 110000 | 114098 |
| Royal Bank of Canada 3.125% 9/27/2031 (d)(e) | EUR | 435000 | 506544 |
| Royal Bank of Canada 4.498% 8/6/2029 (d) |  | 11500000 | 11619634 |
| Royal Bank of Canada 4.65% 1/27/2026  |  | 127000 | 127056 |
| Royal Bank of Canada 4.65% 10/18/2030 (d) |  | 3805000 | 3861745 |
| Toronto Dominion Bank 2% 9/10/2031  |  | 180000 | 161222 |
| Toronto Dominion Bank 3.357% 9/22/2032 (e) | EUR | 435000 | 503353 |
| Toronto Dominion Bank 4.456% 6/8/2032  |  | 305000 | 306035 |
| Toronto Dominion Bank 4.568% 12/17/2026  |  | 11000000 | 11070206 |
| Toronto Dominion Bank 4.928% 10/15/2035  |  | 1845000 | 1863478 |
| Toronto Dominion Bank 6.35% 10/31/2085 (d) |  | 1885000 | 1905733 |
|  |  |  | 38790687 |
| Capital Markets - 0.0% |  |  |  |
| CI Financial Corp 7.5% 5/30/2029 (b) |  | 2000000 | 2123486 |
| Insurance - 0.1% |  |  |  |
| Fairfax Financial Holdings Ltd 2.75% 3/29/2028 (e) | EUR | 2100000 | 2427170 |
| Fairfax Financial Holdings Ltd 3.375% 3/3/2031  |  | 4595000 | 4323820 |
| Fairfax Financial Holdings Ltd 4.85% 4/17/2028  |  | 1850000 | 1871412 |
| Fairfax Financial Holdings Ltd 5.625% 8/16/2032  |  | 6600000 | 6900641 |
| Fairfax Financial Holdings Ltd 5.75% 5/20/2035  |  | 5560000 | 5808520 |
| Fairfax Financial Holdings Ltd 6% 12/7/2033  |  | 3200000 | 3404258 |
|  |  |  | 24735821 |
| TOTAL FINANCIALS |  |  | 65649994 |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| Bombardier Inc 6% 2/15/2028 (b) |  | 4020000 | 4032193 |
| Bombardier Inc 6.75% 6/15/2033 (b) |  | 355000 | 374380 |
| Bombardier Inc 7.875% 4/15/2027 (b) |  | 218000 | 218645 |
| Bombardier Inc 8.75% 11/15/2030 (b) |  | 355000 | 383256 |
|  |  |  | 5008474 |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Garda World Security Corp 8.375% 11/15/2032 (b) |  | 100000 | 102523 |
| Northriver Midstream Finance LP 6.75% 7/15/2032 (b) |  | 270000 | 275031 |
| Wrangler Holdco Corp 6.625% 4/1/2032 (b) |  | 880000 | 923596 |
|  |  |  | 1301150 |
| Ground Transportation - 0.0% |  |  |  |
| Canadian Pacific Railway Co 2.875% 11/15/2029  |  | 265000 | 253068 |
| Canadian Pacific Railway Co 3.1% 12/2/2051  |  | 248000 | 167372 |
|  |  |  | 420440 |
| Passenger Airlines - 0.0% |  |  |  |
| Air Canada 2017-1 Class AA Pass Through Trust equipment trust certificate 3.7% 7/15/2027 (b) |  | 36833 | 36734 |
| Air Canada 2017-1 Class AA Pass Through Trust Series 1AA, 3.3% 7/15/2031 (b) |  | 375336 | 358985 |
|  |  |  | 395719 |
| TOTAL INDUSTRIALS |  |  | 7125783 |
| Information Technology - 0.0% |  |  |  |
| IT Services - 0.0% |  |  |  |
| CGI Inc 1.45% 9/14/2026  |  | 109000 | 106818 |
| Software - 0.0% |  |  |  |
| Open Text Corp 3.875% 12/1/2029 (b) |  | 235000 | 222857 |
| Open Text Corp 3.875% 2/15/2028 (b) |  | 490000 | 477889 |
| Open Text Corp 6.9% 12/1/2027 (b) |  | 970000 | 1006250 |
| Open Text Holdings Inc 4.125% 2/15/2030 (b) |  | 100000 | 95337 |
|  |  |  | 1802333 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 1909151 |
| Materials - 0.1% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Methanex Corp 5.125% 10/15/2027  |  | 250000 | 250704 |
| Methanex Corp 5.25% 12/15/2029  |  | 50000 | 50049 |
| NOVA Chemicals Corp 4.25% 5/15/2029 (b) |  | 27000 | 26151 |
| NOVA Chemicals Corp 5.25% 6/1/2027 (b) |  | 129000 | 129473 |
| NOVA Chemicals Corp 9% 2/15/2030 (b) |  | 300000 | 320982 |
| Nutrien Ltd 4.9% 3/27/2028  |  | 3135000 | 3191408 |
| Nutrien Ltd 4.9% 6/1/2043  |  | 1325000 | 1219995 |
| Nutrien Ltd 5.2% 6/21/2027  |  | 5775000 | 5870869 |
|  |  |  | 11059631 |
| Metals & Mining - 0.1% |  |  |  |
| Barrick North America Finance LLC 5.7% 5/30/2041  |  | 2830000 | 2912756 |
| Barrick North America Finance LLC 5.75% 5/1/2043  |  | 475000 | 490464 |
| Barrick PD Australia Finance Pty Ltd 5.95% 10/15/2039  |  | 1340000 | 1431490 |
| Capstone Copper Corp 6.75% 3/31/2033 (b) |  | 705000 | 731319 |
| Champion Iron Canada Inc 7.875% 7/15/2032 (b) |  | 1635000 | 1721869 |
| Hudbay Minerals Inc 4.5% 4/1/2026 (b) |  | 190000 | 190182 |
| Kinross Gold Corp 4.5% 7/15/2027  |  | 10910000 | 10911697 |
| Kinross Gold Corp 6.25% 7/15/2033  |  | 5585000 | 6121397 |
| New Gold Inc 6.875% 4/1/2032 (b) |  | 550000 | 584941 |
|  |  |  | 25096115 |
| TOTAL MATERIALS |  |  | 36155746 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Mattamy Group Corp 4.625% 3/1/2030 (b) |  | 1500000 | 1455243 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Emera Inc 6.75% 6/15/2076 (d) |  | 193000 | 194412 |
| Fortis Inc/Canada 3.055% 10/4/2026  |  | 301000 | 298245 |
|  |  |  | 492657 |
| Gas Utilities - 0.0% |  |  |  |
| Superior Plus LP / Superior General Partner Inc 4.5% 3/15/2029 (b) |  | 216000 | 208916 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Emera US Finance LP 2.639% 6/15/2031  |  | 1335000 | 1200891 |
| Emera US Finance LP 4.75% 6/15/2046  |  | 325000 | 280819 |
| TransAlta Corp 6.5% 3/15/2040  |  | 160000 | 160916 |
|  |  |  | 1642626 |
| Multi-Utilities - 0.0% |  |  |  |
| Algonquin Power & Utilities Corp 5.365% 6/15/2026 (g) |  | 3670000 | 3688446 |
| TOTAL UTILITIES |  |  | 6032645 |
| TOTAL CANADA |  |  | 178303992 |
| CHILE - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Corp Nacional del Cobre de Chile 5.125% 2/2/2033 (e) |  | 350000 | 351092 |
| COLOMBIA - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Food Products - 0.0% |  |  |  |
| Grupo Nutresa SA 9% 5/12/2035 (b) |  | 350000 | 394406 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Ecopetrol SA 6.875% 4/29/2030  |  | 1534000 | 1558161 |
| Ecopetrol SA 8.375% 1/19/2036  |  | 140000 | 143325 |
| Ecopetrol SA 8.625% 1/19/2029  |  | 3555000 | 3821056 |
| Ecopetrol SA 8.875% 1/13/2033  |  | 647000 | 691514 |
|  |  |  | 6214056 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| EnfraGen Energia Sur SA / EnfraGen Spain SA / Prime Energia SpA 5.375% 12/30/2030 (b) |  | 290000 | 269338 |
| EnfraGen Energia Sur SAU/ EnfraGen Chile SpA/ EnfraGen Spain SAU 8.499% 6/30/2032 (b) |  | 80000 | 82680 |
|  |  |  | 352018 |
| TOTAL COLOMBIA |  |  | 6960480 |
| CONGO DEMOCRATIC REPUBLIC OF - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Ivanhoe Mines Ltd 7.875% 1/23/2030 (b) |  | 130000 | 133402 |
| CZECH REPUBLIC - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| CPI Property Group SA 1.5% 1/27/2031 (e) | EUR | 175000 | 166510 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| EPH Financing International AS 6.651% 11/13/2028 (e) | EUR | 200000 | 250803 |
| TOTAL CZECH REPUBLIC |  |  | 417313 |
| DENMARK - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Carlsberg Breweries A/S 3.25% 2/28/2032 (e) | EUR | 215000 | 249042 |
| Tobacco - 0.0% |  |  |  |
| Scandinavian Tobacco Group A/S 4.875% 9/12/2029 (e) | EUR | 150000 | 180880 |
| TOTAL CONSUMER STAPLES |  |  | 429922 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Danske Bank A/S 3.875% 1/9/2032 (d)(e) | EUR | 405000 | 485749 |
| Danske Bank A/S 4.613% 10/2/2030 (b)(d) |  | 412000 | 415817 |
| Danske Bank A/S 5.705% 3/1/2030 (b)(d) |  | 400000 | 417007 |
| Jyske Bank A/S 5.125% 5/1/2035 (d)(e) | EUR | 159000 | 195208 |
|  |  |  | 1513781 |
| Health Care - 0.0% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| GENMAB A/S/GENMAB FINANCE LLC 6.25% 12/15/2032 (b)(f) |  | 200000 | 205646 |
| GENMAB A/S/GENMAB FINANCE LLC 7.25% 12/15/2033 (b)(f) |  | 335000 | 350841 |
|  |  |  | 556487 |
| TOTAL DENMARK |  |  | 2500190 |
| EL SALVADOR - 0.0%  |  |  |  |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Comision Ejecutiva Hidroelectrica del Rio Lempa 8.65% 1/24/2033 (b) |  | 150000 | 159750 |
| FINLAND - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Leisure Products - 0.0% |  |  |  |
| Amer Sports Co 6.75% 2/16/2031 (b) |  | 405000 | 422213 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Nordea Bank Abp 5.375% 9/22/2027 (b) |  | 400000 | 409565 |
| Nordea Bank Abp U.S. SOFR Index + 0.74%, 4.8684% 3/19/2027 (b)(c)(d) |  | 200000 | 200943 |
|  |  |  | 610508 |
| Health Care - 0.0% |  |  |  |
| Health Care Providers & Services - 0.0% |  |  |  |
| Mehilainen Yhtiot Oy 5.125% 6/30/2032 (e) | EUR | 200000 | 236273 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Citycon Treasury BV 5% 3/11/2030 (e) | EUR | 200000 | 222969 |
| Citycon Treasury BV 5.375% 7/8/2031 (e) | EUR | 300000 | 334570 |
|  |  |  | 557539 |
| TOTAL FINLAND |  |  | 1826533 |
| FRANCE - 0.3%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Altice France SA 6.5% 4/15/2032 (b) |  | 328317 | 319429 |
| Altice France SA 6.875% 7/15/2032 (b) |  | 40000 | 38989 |
| Altice France SA 9.5% 11/1/2029 (b) |  | 43841 | 44995 |
|  |  |  | 403413 |
| Media - 0.0% |  |  |  |
| Publicis Groupe SA 3.375% 6/12/2032 (e) | EUR | 300000 | 346636 |
| TOTAL COMMUNICATION SERVICES |  |  | 750049 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Forvia SE 5.625% 6/15/2030 (e) | EUR | 100000 | 120853 |
| Kapla Holding SAS 5% 4/30/2031 (e) | EUR | 150000 | 176492 |
|  |  |  | 297345 |
| Automobiles - 0.0% |  |  |  |
| RCI Banque SA 4.75% 3/24/2037 (d)(e) | EUR | 500000 | 585150 |
| RCI Banque SA 5.5% 10/9/2034 (d)(e) | EUR | 400000 | 485822 |
| Renault SA 3.875% 9/30/2030 (e) | EUR | 100000 | 116307 |
|  |  |  | 1187279 |
| Specialty Retail - 0.0% |  |  |  |
| Goldstory SAS 6.75% 2/1/2030 (e) | EUR | 282000 | 339455 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 1824079 |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Pernod Ricard SA 3.75% 2/4/2037 (e) | EUR | 300000 | 343447 |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| Picard Groupe SAS 6.375% 7/1/2029 (e) | EUR | 100000 | 120812 |
| Personal Care Products - 0.0% |  |  |  |
| Opal Bidco SAS 5.5% 3/31/2032 (e) | EUR | 100000 | 119951 |
| TOTAL CONSUMER STAPLES |  |  | 584210 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Vallourec SACA 7.5% 4/15/2032 (b) |  | 265000 | 282136 |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| TotalEnergies Capital International SA 3.127% 5/29/2050  |  | 347000 | 237684 |
| TotalEnergies Capital International SA 3.461% 7/12/2049  |  | 500000 | 363650 |
| TotalEnergies Capital SA 5.275% 9/10/2054  |  | 330000 | 317353 |
| TotalEnergies Capital SA 5.488% 4/5/2054  |  | 450000 | 444151 |
| TotalEnergies Capital SA 5.638% 4/5/2064  |  | 1020000 | 1015465 |
|  |  |  | 2378303 |
| TOTAL ENERGY |  |  | 2660439 |
| Financials - 0.3% |  |  |  |
| Banks - 0.3% |  |  |  |
| Banque Federative du Credit Mutuel SA 5.79% 7/13/2028 (b) |  | 1800000 | 1872701 |
| Banque Federative du Credit Mutuel SA U.S. SOFR Averages Index + 1.07%, 5.0239% 2/16/2028 (b)(c)(d) |  | 2000000 | 2011502 |
| BNP Paribas SA 1.904% 9/30/2028 (b)(d) |  | 400000 | 383266 |
| BNP Paribas SA 2.159% 9/15/2029 (b)(d) |  | 6450000 | 6086773 |
| BNP Paribas SA 2.871% 4/19/2032 (b)(d) |  | 1500000 | 1372492 |
| BNP Paribas SA 3.052% 1/13/2031 (b)(d) |  | 6950000 | 6582533 |
| BNP Paribas SA 3.132% 1/20/2033 (b)(d) |  | 3670000 | 3357649 |
| BNP Paribas SA 3.945% 2/18/2037 (d)(e) | EUR | 400000 | 465145 |
| BNP Paribas SA 5.176% 1/9/2030 (b)(d) |  | 1920000 | 1971048 |
| BNP Paribas SA 5.497% 5/20/2030 (b)(d) |  | 285000 | 295509 |
| BNP Paribas SA 5.738% 2/20/2035 (b)(d) |  | 900000 | 952479 |
| BNP Paribas SA 5.786% 1/13/2033 (b)(d) |  | 17320000 | 18269627 |
| BNP Paribas SA 5.906% 11/19/2035 (b)(d) |  | 1945000 | 2034406 |
| BPCE SA 2.045% 10/19/2027 (b)(d) |  | 2670000 | 2620248 |
| BPCE SA 3.116% 10/19/2032 (b)(d) |  | 500000 | 450046 |
| BPCE SA 3.875% 1/11/2029 (e) | EUR | 6500000 | 7749560 |
| BPCE SA 4.75% 7/19/2027 (b) |  | 250000 | 252687 |
| BPCE SA 5.125% 1/18/2028 (b) |  | 541000 | 552443 |
| BPCE SA 5.281% 5/30/2029 (b) |  | 2000000 | 2068171 |
| BPCE SA 5.716% 1/18/2030 (b)(d) |  | 400000 | 415133 |
| BPCE SA 5.876% 1/14/2031 (b)(d) |  | 9300000 | 9739306 |
| BPCE SA 5.936% 5/30/2035 (b)(d) |  | 1305000 | 1376981 |
| BPCE SA 6.293% 1/14/2036 (b)(d) |  | 450000 | 485715 |
| BPCE SA 6.612% 10/19/2027 (b)(d) |  | 1055000 | 1076226 |
| BPCE SA 6.714% 10/19/2029 (b)(d) |  | 4540000 | 4829374 |
| BPCE SA 7.003% 10/19/2034 (b)(d) |  | 1731000 | 1945745 |
| Credit Agricole SA 4% 1/10/2033 (b)(d) |  | 261000 | 257518 |
| Credit Agricole SA 4.631% 9/11/2028 (b)(d) |  | 290000 | 292268 |
| Credit Agricole SA 5.862% 1/9/2036 (b)(d) |  | 945000 | 1002174 |
| Credit Agricole SA 6.316% 10/3/2029 (b)(d) |  | 3655000 | 3853095 |
| Credit Agricole SA U.S. SOFR Index + 0.87%, 5.0322% 3/11/2027 (b)(c)(d) |  | 250000 | 250878 |
| Credit Agricole SA U.S. SOFR Index + 1.21%, 5.3722% 9/11/2028 (b)(c)(d) |  | 8400000 | 8453256 |
| Societe Generale SA 1.488% 12/14/2026 (b)(d) |  | 10614000 | 10599814 |
| Societe Generale SA 1.792% 6/9/2027 (b)(d) |  | 1500000 | 1479459 |
| Societe Generale SA 2.797% 1/19/2028 (b)(d) |  | 3156000 | 3100542 |
| Societe Generale SA 2.889% 6/9/2032 (b)(d) |  | 210000 | 190178 |
| Societe Generale SA 3.337% 1/21/2033 (b)(d) |  | 1105000 | 1010011 |
| Societe Generale SA 5.5% 4/13/2029 (b)(d) |  | 4316000 | 4420318 |
| Societe Generale SA 5.512% 5/22/2031 (b)(d) |  | 1050000 | 1087360 |
| Societe Generale SA 6.066% 1/19/2035 (b)(d) |  | 1052000 | 1114456 |
| Societe Generale SA 6.1% 4/13/2033 (b)(d) |  | 1520000 | 1612331 |
| Societe Generale SA 6.447% 1/12/2027 (b)(d) |  | 200000 | 200411 |
|  |  |  | 118140834 |
| Financial Services - 0.0% |  |  |  |
| Iliad Holding SAS 6.875% 4/15/2031 (e) | EUR | 101000 | 125132 |
| Iliad Holding SAS 7% 10/15/2028 (b) |  | 450000 | 456408 |
| Iliad Holding SAS 7% 4/15/2032 (b) |  | 120000 | 123699 |
| Worldline SA/France 0.875% 6/30/2027 (e) | EUR | 100000 | 103765 |
| Worldline SA/France 4.125% 9/12/2028 (e) | EUR | 200000 | 203969 |
| Worldline SA/France 5.25% 11/27/2029 (e) | EUR | 100000 | 100132 |
| Worldline SA/France 5.5% 6/10/2030 (e) | EUR | 100000 | 99500 |
|  |  |  | 1212605 |
| TOTAL FINANCIALS |  |  | 119353439 |
| Industrials - 0.0% |  |  |  |
| Commercial Services & Supplies - 0.0% |  |  |  |
| IPD 3 BV 5.5% 6/15/2031 (e) | EUR | 100000 | 117292 |
| Machinery - 0.0% |  |  |  |
| Loxam SAS 4.25% 2/15/2031 (e) | EUR | 148000 | 171486 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Holding d'Infrastructures des Metiers de l'Environnement SAS 0.625% 9/16/2028 (e) | EUR | 300000 | 322379 |
| TOTAL INDUSTRIALS |  |  | 611157 |
| Information Technology - 0.0% |  |  |  |
| IT Services - 0.0% |  |  |  |
| Atos SE 9% 12/18/2029 (e)(g) | EUR | 266090 | 351380 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| New Immo Holding SA 5.875% 4/17/2028 (e) | EUR | 100000 | 119907 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Electricite de France SA 2% 12/9/2049 (e) | EUR | 1600000 | 1109933 |
| Electricite de France SA 4.75% 10/12/2034 (e) | EUR | 200000 | 249698 |
| Electricite de France SA 4.75% 6/17/2044 (e) | EUR | 1200000 | 1393818 |
| Electricite de France SA 5.5% 1/25/2035 (e) | GBP | 300000 | 393012 |
| Electricite de France SA 5.636% 8/28/2035 (e) | AUD | 510000 | 328647 |
| Electricite de France SA 6% 4/22/2064 (b) |  | 8200000 | 8141698 |
| Electricite de France SA 6.9% 5/23/2053 (b) |  | 390000 | 439178 |
| RTE Reseau de Transport d'Electricite SADIR 3.875% 11/24/2037 (e) | EUR | 200000 | 232731 |
|  |  |  | 12288715 |
| Multi-Utilities - 0.0% |  |  |  |
| Engie SA 4.25% 9/6/2034 (e) | EUR | 400000 | 484842 |
| Veolia Environnement SA 3.324% 6/17/2032 (e) | EUR | 300000 | 347818 |
|  |  |  | 832660 |
| Water Utilities - 0.0% |  |  |  |
| Suez SACA 2.875% 5/24/2034 (e) | EUR | 1500000 | 1623339 |
| TOTAL UTILITIES |  |  | 14744714 |
| TOTAL FRANCE |  |  | 140999374 |
| GERMANY - 0.4%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Deutsche Telekom International Finance BV 8.75% 6/15/2030 (d) |  | 2300000 | 2702113 |
| Media - 0.0% |  |  |  |
| Tele Columbus AG 10% 1/1/2029 pay-in-kind (e) | EUR | 100000 | 77949 |
| TOTAL COMMUNICATION SERVICES |  |  | 2780062 |
| Consumer Discretionary - 0.2% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| IHO Verwaltungs GmbH 7% 11/15/2031 pay-in-kind (d)(e) | EUR | 100000 | 124894 |
| Mahle GmbH 6.5% 5/2/2031 (e) | EUR | 200000 | 238792 |
| Robert Bosch GmbH 4.375% 6/2/2043 (e) | EUR | 100000 | 115464 |
| Schaeffler AG 5.375% 4/1/2031 (e) | EUR | 300000 | 366335 |
| ZF Europe Finance BV 4.75% 1/31/2029 (e) | EUR | 400000 | 458184 |
| ZF Europe Finance BV 6.125% 3/13/2029 (e) | EUR | 100000 | 119040 |
| ZF Europe Finance BV 7% 6/12/2030 (e) | EUR | 400000 | 483778 |
| ZF North America Capital Inc 6.75% 4/23/2030 (b) |  | 170000 | 165146 |
| ZF North America Capital Inc 6.875% 4/14/2028 (b) |  | 400000 | 408250 |
| ZF North America Capital Inc 6.875% 4/23/2032 (b) |  | 135000 | 128258 |
|  |  |  | 2608141 |
| Automobiles - 0.2% |  |  |  |
| BMW US Capital LLC 5.05% 3/21/2030 (b) |  | 8300000 | 8547765 |
| BMW US Capital LLC U.S. SOFR Averages Index + 0.92%, 5.0443% 3/21/2028 (b)(c)(d) |  | 3000000 | 3019830 |
| Mercedes-Benz Finance North America LLC 4.75% 3/31/2028 (b) |  | 10000000 | 10143715 |
| Mercedes-Benz Finance North America LLC 4.8% 8/1/2029 (b) |  | 4000000 | 4085445 |
| Mercedes-Benz Finance North America LLC 4.9% 11/15/2027 (b) |  | 2100000 | 2135652 |
| Volkswagen Group of America Finance LLC 4.450% 9/11/2027 (b) |  | 4200000 | 4211354 |
| Volkswagen Group of America Finance LLC 4.75% 11/13/2028 (b) |  | 3941000 | 3984540 |
| Volkswagen Group of America Finance LLC 5.05% 3/27/2028 (b) |  | 6778000 | 6881543 |
| Volkswagen Group of America Finance LLC 5.35% 3/27/2030 (b) |  | 11923000 | 12275308 |
| Volkswagen Group of America Finance LLC 5.65% 3/25/2032 (b) |  | 2855000 | 2967423 |
| Volkswagen Group of America Finance LLC 5.65% 9/12/2028 (b) |  | 4113000 | 4250960 |
| Volkswagen Group of America Finance LLC 5.8% 3/27/2035 (b) |  | 435000 | 451919 |
|  |  |  | 62955454 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 65563595 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| METRO AG 4% 3/5/2030 (e) | EUR | 205000 | 247339 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Vier Gas Transport GmbH 3.625% 9/8/2033 (e) | EUR | 400000 | 463128 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Commerzbank AG 3.625% 1/14/2032 (d)(e) | EUR | 200000 | 235953 |
| Commerzbank AG 4.875% 10/16/2034 (d)(e) | EUR | 100000 | 121524 |
| DZ Bank AG Deutsche Zentral-Genossenschaftsbank Frankfurt Am Main 3.706% 10/15/2035 (d)(e) | EUR | 200000 | 231780 |
| Volkswagen Bank GmbH 3.5% 6/19/2031 (e) | EUR | 300000 | 349477 |
|  |  |  | 938734 |
| Capital Markets - 0.0% |  |  |  |
| Deutsche Bank AG 6.125% 12/12/2030 (d)(e) | GBP | 300000 | 416465 |
| Deutsche Bank AG/New York NY 3.742% 1/7/2033 (d) |  | 4860000 | 4535280 |
| Deutsche Bank AG/New York NY 4.95% 8/4/2031 (d) |  | 1950000 | 1978275 |
| Deutsche Bank AG/New York NY 5.373% 1/10/2029 (d) |  | 945000 | 965032 |
| Deutsche Bank AG/New York NY 5.414% 5/10/2029  |  | 375000 | 390574 |
| Deutsche Bank AG/New York NY 6.819% 11/20/2029 (d) |  | 835000 | 892302 |
| Deutsche Bank AG/New York NY 7.079% 2/10/2034 (d) |  | 2110000 | 2320660 |
| Deutsche Bank AG/New York NY 7.146% 7/13/2027 (d) |  | 3400000 | 3458428 |
|  |  |  | 14957016 |
| Insurance - 0.0% |  |  |  |
| Allianz SE 5.6% 9/3/2054 (b)(d) |  | 800000 | 819662 |
| TOTAL FINANCIALS |  |  | 16715412 |
| Health Care - 0.2% |  |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |  |
| Sartorius Finance BV 4.875% 9/14/2035 (e) | EUR | 800000 | 988266 |
| Health Care Providers & Services - 0.0% |  |  |  |
| Fresenius Medical Care US Finance III Inc 1.875% 12/1/2026 (b) |  | 660000 | 644561 |
| Nidda Healthcare Holding GmbH 3 month EURIBOR + 3.25%, 5.276% 10/15/2032 (c)(d)(e) | EUR | 100000 | 116910 |
| Nidda Healthcare Holding GmbH 5.375% 10/23/2030 (e) | EUR | 100000 | 118448 |
|  |  |  | 879919 |
| Pharmaceuticals - 0.2% |  |  |  |
| Bayer AG 5.375% 3/25/2082 (d)(e) | EUR | 200000 | 238207 |
| Bayer US Finance II LLC 4.375% 12/15/2028 (b) |  | 19800000 | 19786430 |
| Bayer US Finance II LLC 4.4% 7/15/2044 (b) |  | 3231000 | 2611561 |
| Bayer US Finance II LLC 4.625% 6/25/2038 (b) |  | 570000 | 519431 |
| Bayer US Finance II LLC 4.875% 6/25/2048 (b) |  | 1930000 | 1634031 |
| Bayer US Finance LLC 6.125% 11/21/2026 (b) |  | 5400000 | 5488980 |
| Bayer US Finance LLC 6.375% 11/21/2030 (b) |  | 1740000 | 1860901 |
| Bayer US Finance LLC 6.5% 11/21/2033 (b) |  | 1106000 | 1197592 |
| EMD Finance LLC 4.375% 10/15/2030 (b) |  | 5200000 | 5224860 |
| Gruenenthal GmbH 4.625% 11/15/2031 (e) | EUR | 100000 | 117492 |
|  |  |  | 38679485 |
| TOTAL HEALTH CARE |  |  | 40547670 |
| Industrials - 0.0% |  |  |  |
| Air Freight & Logistics - 0.0% |  |  |  |
| Deutsche Post AG 3.75% 11/25/2037 (e) | EUR | 270000 | 314283 |
| Commercial Services & Supplies - 0.0% |  |  |  |
| APCOA Group GmbH 6% 4/15/2031 (e) | EUR | 235000 | 276536 |
| Electrical Equipment - 0.0% |  |  |  |
| Dynamo Newco II GmbH 6.25% 10/15/2031 (e) | EUR | 150000 | 175421 |
| Machinery - 0.0% |  |  |  |
| Daimler Truck Finance North America LLC 5.125% 9/25/2027 (b) |  | 7852000 | 7976220 |
| Daimler Truck Finance North America LLC U.S. SOFR Index + 0.96%, 5.0954% 9/25/2027 (b)(c)(d) |  | 3000000 | 3008504 |
|  |  |  | 10984724 |
| Passenger Airlines - 0.0% |  |  |  |
| Deutsche Lufthansa AG 5.25% 1/15/2055 (d)(e) | EUR | 200000 | 241143 |
| TOTAL INDUSTRIALS |  |  | 11992107 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Progroup AG 5.375% 4/15/2031 (e) | EUR | 311000 | 365472 |
| Real Estate - 0.0% |  |  |  |
| Office REITs - 0.0% |  |  |  |
| Alstria Office AG 5.5% 3/20/2031 (e) | EUR | 200000 | 237872 |
| Real Estate Management & Development - 0.0% |  |  |  |
| ACCENTRO East Holding GMBH 6% 6/30/2027 pay-in-kind (i) | EUR | 100000 | 116035 |
| Accentro Real Estate AG 10% 12/30/2027  | EUR | 200000 | 247973 |
| Accentro Real Estate AG 5.625% 2/13/2026 (e)(g) | EUR | 733500 | 255761 |
| Sirius Real Estate Ltd 4% 1/22/2032 (e) | EUR | 300000 | 348024 |
| Vonovia SE 3.5% 11/12/2032 (e) | EUR | 300000 | 346130 |
| Vonovia SE 5.717% 9/3/2035 (e) | AUD | 1060000 | 678667 |
|  |  |  | 1992590 |
| TOTAL REAL ESTATE |  |  | 2230462 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Amprion GmbH 3.125% 8/27/2030 (e) | EUR | 400000 | 466782 |
| Amprion GmbH 3.625% 5/21/2031 (e) | EUR | 200000 | 237336 |
| Amprion GmbH 3.875% 6/5/2036 (e) | EUR | 100000 | 116767 |
| EnBW International Finance BV 3.75% 11/20/2035 (e) | EUR | 850000 | 994117 |
| EnBW International Finance BV 5.7923% 2/26/2036 (e) | AUD | 370000 | 239986 |
|  |  |  | 2054988 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| RWE Finance US LLC 5.125% 9/18/2035 (b) |  | 185000 | 184040 |
| RWE Finance US LLC 5.875% 4/16/2034 (b) |  | 881000 | 929582 |
|  |  |  | 1113622 |
| TOTAL UTILITIES |  |  | 3168610 |
| TOTAL GERMANY |  |  | 144073857 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Global Aircraft Leasing Co Ltd 8.75% 9/1/2027 (b) |  | 370000 | 382667 |
| GREECE - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Marine Transportation - 0.0% |  |  |  |
| Danaos Corp 6.875% 10/15/2032 (b) |  | 100000 | 101777 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Public Power Corp SA 4.25% 10/31/2030 (e) | EUR | 100000 | 119620 |
| TOTAL GREECE |  |  | 221397 |
| GUATEMALA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Millicom International Cellular SA 4.5% 4/27/2031 (b) |  | 95000 | 88136 |
| Millicom International Cellular SA 5.125% 1/15/2028 (b) |  | 247500 | 246263 |
| TOTAL GUATEMALA |  |  | 334399 |
| HONG KONG - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Melco Resorts Finance Ltd 5.75% 7/21/2028 (e) |  | 1150000 | 1143916 |
| Financials - 0.0% |  |  |  |
| Insurance - 0.0% |  |  |  |
| Prudential Funding Asia PLC 2.95% 11/3/2033 (d)(e) |  | 375000 | 358863 |
| TOTAL HONG KONG |  |  | 1502779 |
| INDIA - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Indian Railway Finance Corp Ltd 3.57% 1/21/2032 (b) |  | 1010000 | 964085 |
| Power Finance Corp Ltd 1.841% 9/21/2028 (e) | EUR | 2400000 | 2676899 |
| Power Finance Corp Ltd 6.15% 12/6/2028 (b) |  | 3050000 | 3200884 |
|  |  |  | 6841868 |
| Health Care - 0.0% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| Biocon Biologics Global PLC 6.67% 10/9/2029 (e) |  | 800000 | 787254 |
| Industrials - 0.0% |  |  |  |
| Construction & Engineering - 0.0% |  |  |  |
| IRB Infrastructure Developers Ltd 7.11% 3/11/2032 (e) |  | 900000 | 926719 |
| Electrical Equipment - 0.0% |  |  |  |
| Diamond II Ltd 7.95% 7/28/2026 (e) |  | 900000 | 902250 |
| TOTAL INDUSTRIALS |  |  | 1828969 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Continuum Energy Aura Pte Ltd 9.5% 2/24/2027 (e) |  | 900000 | 918975 |
| Greenko Wind Projects Mauritius Ltd 7.25% 9/27/2028 (e) |  | 400000 | 404124 |
| India Clean Energy Holdings 4.5% 4/18/2027 (e) |  | 1150000 | 1116938 |
| India Cleantech Energy 4.7% 8/10/2026 (e) |  | 1062600 | 1049881 |
|  |  |  | 3489918 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Clean Renewable Power Mauritius Pte Ltd 4.25% 3/25/2027 (e) |  | 1078000 | 1048355 |
| Continuum Green Energy India Pvt / Co-Issuers 7.5% 6/26/2033 (e) |  | 868050 | 905729 |
| Greenko Dutch BV 3.85% 3/29/2026 (e) |  | 1211000 | 1197376 |
| Greenko Dutch BV 3.85% 3/29/2026 (b) |  | 173000 | 171054 |
| ReNew Pvt Ltd 5.875% 3/5/2027 (e) |  | 900000 | 895455 |
|  |  |  | 4217969 |
| TOTAL UTILITIES |  |  | 7707887 |
| TOTAL INDIA |  |  | 17165978 |
| INDONESIA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Medco Cypress Tree Pte Ltd 8.625% 5/19/2030 (e) |  | 900000 | 944324 |
| Medco Laurel Tree Pte Ltd 6.95% 11/12/2028 (e) |  | 1150000 | 1155560 |
|  |  |  | 2099884 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT 6.53% 11/15/2028 (b) |  | 1750000 | 1858828 |
| Nickel Industries Ltd 9% 9/30/2030 (e) |  | 285000 | 293194 |
|  |  |  | 2152022 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 1.875% 11/5/2031 (b) | EUR | 1500000 | 1561582 |
| Star Energy Geothermal Wayang Windu Ltd 6.75% 4/24/2033 (e) |  | 573750 | 592038 |
|  |  |  | 2153620 |
| TOTAL INDONESIA |  |  | 6405526 |
| IRELAND - 0.2%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| Virgin Media O2 Vendor Financing Notes V DAC 7.875% 3/15/2032 (e) | GBP | 235000 | 314782 |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Flutter Treasury DAC 5.875% 6/4/2031 (b) |  | 125000 | 126251 |
| Flutter Treasury DAC 6.125% 6/4/2031 (e) | GBP | 540000 | 716743 |
|  |  |  | 842994 |
| Financials - 0.1% |  |  |  |
| Banks - 0.0% |  |  |  |
| AIB Group PLC 5.32% 5/15/2031 (b)(d) |  | 200000 | 206785 |
| AIB Group PLC 6.608% 9/13/2029 (b)(d) |  | 400000 | 425519 |
| Bank of Ireland Group PLC 5.601% 3/20/2030 (b)(d) |  | 665000 | 692544 |
|  |  |  | 1324848 |
| Consumer Finance - 0.1% |  |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  |  | 11600000 | 11425411 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  |  | 11894000 | 11514411 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.3% 1/30/2032  |  | 4790000 | 4437146 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.65% 7/21/2027  |  | 4098000 | 4065238 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5% 11/15/2035  |  | 286000 | 284275 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.5% 1/31/2056 (d) |  | 375000 | 385490 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.95% 3/10/2055 (d) |  | 150000 | 157307 |
|  |  |  | 32269278 |
| Financial Services - 0.0% |  |  |  |
| GGAM Finance Ltd 5.875% 3/15/2030 (b) |  | 260000 | 262920 |
| GGAM Finance Ltd 6.875% 4/15/2029 (b) |  | 145000 | 150456 |
| GGAM Finance Ltd 8% 2/15/2027 (b) |  | 165000 | 168777 |
|  |  |  | 582153 |
| TOTAL FINANCIALS |  |  | 34176279 |
| Industrials - 0.1% |  |  |  |
| Passenger Airlines - 0.0% |  |  |  |
| SMBC Aviation Capital Finance DAC 5.1% 4/1/2030 (b) |  | 2000000 | 2052374 |
| SMBC Aviation Capital Finance DAC 5.7% 7/25/2033 (b) |  | 2365000 | 2489341 |
|  |  |  | 4541715 |
| Professional Services - 0.0% |  |  |  |
| Cedacri SpA 3 month EURIBOR + 4.625%, 6.689% 5/15/2028 (c)(d)(e) | EUR | 100000 | 116882 |
| Transportation Infrastructure - 0.1% |  |  |  |
| Avolon Holdings Funding Ltd 2.125% 2/21/2026 (b) |  | 97000 | 96402 |
| Avolon Holdings Funding Ltd 2.528% 11/18/2027 (b) |  | 7750000 | 7497937 |
| Avolon Holdings Funding Ltd 4.375% 5/1/2026 (b) |  | 3477000 | 3474525 |
| Avolon Holdings Funding Ltd 4.95% 10/15/2032 (b) |  | 210000 | 208313 |
| Avolon Holdings Funding Ltd 5.15% 1/15/2030 (b) |  | 2033000 | 2069492 |
| Avolon Holdings Funding Ltd 5.375% 5/30/2030 (b) |  | 1953000 | 2007870 |
| Avolon Holdings Funding Ltd 5.5% 1/15/2026 (b) |  | 93000 | 93039 |
| Avolon Holdings Funding Ltd 5.75% 11/15/2029 (b) |  | 2325000 | 2417371 |
| Avolon Holdings Funding Ltd 5.75% 3/1/2029 (b) |  | 848000 | 878713 |
| Avolon Holdings Funding Ltd 6.375% 5/4/2028 (b) |  | 6970000 | 7267900 |
| DAA Finance PLC 1.554% 6/7/2028 (e) | EUR | 3200000 | 3618934 |
|  |  |  | 29630496 |
| TOTAL INDUSTRIALS |  |  | 34289093 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Smurfit Kappa Treasury ULC 3.489% 11/24/2031  | EUR | 100000 | 116785 |
| TOTAL IRELAND |  |  | 69739933 |
| ISRAEL - 0.0%  |  |  |  |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Teva Pharmaceutical Finance Netherlands IV BV 5.75% 12/1/2030  |  | 742000 | 770024 |
| ITALY - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Telecom Italia Capital SA 7.721% 6/4/2038  |  | 164000 | 181523 |
| Consumer Discretionary - 0.0% |  |  |  |
| Diversified Consumer Services - 0.0% |  |  |  |
| Pachelbel Bidco SpA 7.125% 5/17/2031 (e) | EUR | 282000 | 348860 |
| Specialty Retail - 0.0% |  |  |  |
| Bubbles Bidco SPA 6.5% 9/30/2031 (e) | EUR | 200000 | 237682 |
| Duomo Bidco SpA 3 month EURIBOR + 3.25%, 5.31% 1/15/2032 (c)(d)(e) | EUR | 100000 | 116363 |
|  |  |  | 354045 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 702905 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Eni SpA 5.95% 5/15/2054 (b) |  | 1560000 | 1567899 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Intesa Sanpaolo SpA 4.95% 6/1/2042 (b)(d) |  | 468000 | 399156 |
| Intesa Sanpaolo SpA 5.71% 1/15/2026 (b) |  | 10048000 | 10060055 |
| Intesa Sanpaolo SpA 6.625% 6/20/2033 (b) |  | 225000 | 248979 |
| Intesa Sanpaolo SpA 7.2% 11/28/2033 (b) |  | 865000 | 992130 |
| UniCredit SpA 1.982% 6/3/2027 (b)(d) |  | 200000 | 197747 |
| UniCredit SpA 3.127% 6/3/2032 (b)(d) |  | 2515000 | 2340835 |
|  |  |  | 14238902 |
| Health Care - 0.0% |  |  |  |
| Health Care Providers & Services - 0.0% |  |  |  |
| Gruppo San Donato SPA 6.5% 10/31/2031 (e) | EUR | 100000 | 118211 |
| Kedrion SpA 6.5% 9/1/2029 (b) |  | 414000 | 402089 |
|  |  |  | 520300 |
| Pharmaceuticals - 0.0% |  |  |  |
| Dolcetto Holdco SpA 5.625% 7/14/2032 (e) | EUR | 282000 | 332071 |
| TOTAL HEALTH CARE |  |  | 852371 |
| Information Technology - 0.0% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| Fibercop SpA 4.75% 6/30/2030 (e) | EUR | 100000 | 117838 |
| Fibercop SpA 6.375% 11/15/2033 (b) |  | 275000 | 269306 |
|  |  |  | 387144 |
| IT Services - 0.0% |  |  |  |
| Almaviva-The Italian Innovation Co SpA 5% 10/30/2030 (e) | EUR | 100000 | 116518 |
| Engineering - Ingegneria Informatica - SpA 11.125% 5/15/2028 (e) | EUR | 100000 | 122709 |
|  |  |  | 239227 |
| Software - 0.0% |  |  |  |
| TeamSystem SpA 5% 7/1/2031 (e) | EUR | 100000 | 116694 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 743065 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Itelyum Regeneration Spa 5.75% 4/15/2030 (e) | EUR | 100000 | 117022 |
| Utilities - 0.1% |  |  |  |
| Electric Utilities - 0.1% |  |  |  |
| Enel Finance International NV 2.5% 7/12/2031 (b)(g) |  | 5974000 | 5388846 |
| Enel Finance International NV 4.375% 9/30/2030 (b) |  | 283000 | 282614 |
| Enel Finance International NV 4.5% 2/20/2043 (e) | EUR | 495000 | 587145 |
| Enel Finance International NV 5% 9/30/2035 (b) |  | 1600000 | 1596382 |
| Enel Finance International NV 5.125% 6/26/2029 (b) |  | 7130000 | 7330003 |
| Enel Finance International NV 5.5% 6/26/2034 (b) |  | 660000 | 689676 |
| Enel Finance International NV 5.75% 9/30/2055 (b) |  | 590000 | 581336 |
| Enel Finance International NV 7.5% 10/14/2032 (b) |  | 217000 | 250913 |
| Enel SpA 3.375% (d)(e)(r) | EUR | 335000 | 389456 |
|  |  |  | 17096371 |
| Gas Utilities - 0.0% |  |  |  |
| Snam SpA 5% 5/28/2030 (b) |  | 3930000 | 4022875 |
| Snam SpA 5.75% 5/28/2035 (b) |  | 5491000 | 5739522 |
|  |  |  | 9762397 |
| TOTAL UTILITIES |  |  | 26858768 |
| TOTAL ITALY |  |  | 45262455 |
| JAMAICA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Digicel Group Holdings Ltd 0% 12/31/2030 (b)(i)(j) |  | 151934 | 6229 |
| Digicel International Finance Ltd / Difl US LLC 8.625% 8/1/2032 (b) |  | 3680000 | 3757004 |
| TOTAL JAMAICA |  |  | 3763233 |
| JAPAN - 0.2%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| NTT Finance Corp 2.906% 3/16/2029 (b) | EUR | 1400000 | 1630996 |
| NTT Finance Corp 3.678% 7/16/2033 (e) | EUR | 170000 | 200353 |
| NTT Finance Corp 4.091% 7/16/2037 (b) | EUR | 5500000 | 6530835 |
| NTT Finance Corp 4.567% 7/16/2027 (b) |  | 1162000 | 1170761 |
| NTT Finance Corp 4.62% 7/16/2028 (b) |  | 2810000 | 2849206 |
| NTT Finance Corp 4.876% 7/16/2030 (b) |  | 2480000 | 2533609 |
| NTT Finance Corp 5.136% 7/2/2031 (b) |  | 250000 | 258087 |
| NTT Finance Corp 5.171% 7/16/2032 (b) |  | 1600000 | 1649921 |
| NTT Finance Corp 5.502% 7/16/2035 (b) |  | 700000 | 731466 |
| NTT Finance Corp U.S. SOFR Index + 1.31%, 5.4226% 7/16/2030 (b)(c)(d) |  | 1200000 | 1219805 |
|  |  |  | 18775039 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| SoftBank Group Corp 5.25% 10/10/2029 (e) | EUR | 302000 | 355784 |
| SoftBank Group Corp 6.375% 7/10/2033 (e) | EUR | 200000 | 238881 |
|  |  |  | 594665 |
| TOTAL COMMUNICATION SERVICES |  |  | 19369704 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| Nissan Motor Co Ltd 6.375% 7/17/2033 (e) | EUR | 370000 | 439183 |
| Broadline Retail - 0.0% |  |  |  |
| Rakuten Group Inc 9.75% 4/15/2029 (e) |  | 900000 | 1000072 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 1439255 |
| Consumer Staples - 0.0% |  |  |  |
| Tobacco - 0.0% |  |  |  |
| Japan Tobacco Inc 5.21% 6/15/2030 (b) |  | 705000 | 733700 |
| Japan Tobacco Inc 5.856% 6/15/2035 (b) |  | 735000 | 789287 |
|  |  |  | 1522987 |
| Financials - 0.2% |  |  |  |
| Banks - 0.2% |  |  |  |
| Mitsubishi UFJ Financial Group Inc 1.538% 7/20/2027 (d) |  | 465000 | 457326 |
| Mitsubishi UFJ Financial Group Inc 5.197% 1/16/2031 (d) |  | 11700000 | 12108787 |
| Mitsubishi UFJ Financial Group Inc 5.422% 2/22/2029 (d) |  | 2350000 | 2418763 |
| Mitsubishi UFJ Financial Group Inc 5.475% 2/22/2031 (d) |  | 400000 | 418588 |
| Mizuho Financial Group Inc 5.382% 7/10/2030 (d) |  | 3000000 | 3113202 |
| Mizuho Financial Group Inc 5.748% 7/6/2034 (d) |  | 200000 | 213510 |
| Mizuho Financial Group Inc 5.778% 7/6/2029 (d) |  | 1765000 | 1839059 |
| Norinchukin Bank/The 5.094% 10/16/2029 (b) |  | 10000000 | 10231227 |
| Sumitomo Mitsui Financial Group Inc 4.954% 7/8/2033 (d) |  | 9060000 | 9295390 |
| Sumitomo Mitsui Financial Group Inc 5.24% 4/15/2030  |  | 10000000 | 10404217 |
| Sumitomo Mitsui Financial Group Inc 5.316% 7/9/2029  |  | 6100000 | 6339887 |
| Sumitomo Mitsui Financial Group Inc 5.424% 7/9/2031  |  | 1500000 | 1577300 |
| Sumitomo Mitsui Financial Group Inc 5.52% 1/13/2028  |  | 200000 | 206362 |
| Sumitomo Mitsui Financial Group Inc 5.716% 9/14/2028  |  | 405000 | 422534 |
| Sumitomo Mitsui Financial Group Inc 5.766% 1/13/2033  |  | 200000 | 214477 |
| Sumitomo Mitsui Trust Bank Ltd 5.65% 3/9/2026 (b) |  | 1820000 | 1827952 |
|  |  |  | 61088581 |
| Capital Markets - 0.0% |  |  |  |
| Nomura Holdings Inc 2.608% 7/14/2031  |  | 1155000 | 1046304 |
| Nomura Holdings Inc 4.904% 7/1/2030  |  | 5700000 | 5803817 |
| Nomura Holdings Inc U.S. SOFR Index + 1.25%, 5.3819% 7/2/2027 (c)(d) |  | 3000000 | 3027303 |
|  |  |  | 9877424 |
| TOTAL FINANCIALS |  |  | 70966005 |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Takeda Pharmaceutical Co Ltd 2.05% 3/31/2030  |  | 1600000 | 1464977 |
| Takeda Pharmaceutical Co Ltd 3.025% 7/9/2040  |  | 2260000 | 1752489 |
| Takeda Pharmaceutical Co Ltd 3.175% 7/9/2050  |  | 308000 | 210525 |
| Takeda Pharmaceutical Co Ltd 5.65% 7/5/2044  |  | 292000 | 299204 |
|  |  |  | 3727195 |
| Information Technology - 0.0% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |  |
| Kioxia Holdings Corp 6.25% 7/24/2030 (b) |  | 400000 | 411604 |
| TOTAL JAPAN |  |  | 97436750 |
| KAZAKHSTAN - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| KazMunayGas National Co JSC 3.5% 4/14/2033 (b) |  | 870000 | 785723 |
| KazMunayGas National Co JSC 5.375% 4/24/2030 (e) |  | 200000 | 204152 |
| TOTAL KAZAKHSTAN |  |  | 989875 |
| KOREA (SOUTH) - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Korea National Oil Corp 4.875% 4/3/2029 (b) |  | 300000 | 307471 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Export-Import Bank of Korea 5.125% 1/11/2033  |  | 515000 | 544122 |
| Korea Development Bank/The 3% 1/13/2026  |  | 13000000 | 12984814 |
|  |  |  | 13528936 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Kraton Corp 5% 7/15/2027 (b) |  | 3000000 | 3045861 |
| TOTAL KOREA (SOUTH) |  |  | 16882268 |
| LUXEMBOURG - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| Altice Financing SA 5% 1/15/2028 (b) |  | 135000 | 90243 |
| Altice Financing SA 5.75% 8/15/2029 (b) |  | 1939000 | 1294283 |
| Altice Financing SA 9.625% 7/15/2027 (b) |  | 385000 | 307295 |
| Summer BC Holdco B SARL 3 month EURIBOR + 4.25%, 6.314% 2/15/2030 (c)(d)(e) | EUR | 311000 | 341510 |
|  |  |  | 2033331 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Intelsat Jackson Holdings SA 9.75% (b)(i)(s) |  | 5500000 | 1 |
| TOTAL COMMUNICATION SERVICES |  |  | 2033332 |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Essendi SA 5.625% 5/15/2032 (e) | EUR | 302000 | 360415 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Breakwater Energy Holdings Sarl 9.25% 11/15/2030 (b) |  | 390000 | 403946 |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| ION Platform Finance SARL 6.5% 9/30/2030 (e) | EUR | 104000 | 117280 |
| ION Platform Finance SARL 6.875% 9/30/2032 (e) | EUR | 200000 | 224118 |
| Titanium 2l Bondco Sarl 6.25% 1/14/2031 pay-in-kind  | EUR | 3716100 | 991714 |
| Vivion Investments Sarl 5.625% 6/8/2030 (e)(f) | EUR | 100000 | 114023 |
| Vivion Investments Sarl 8.25% 2/28/2029 pay-in-kind (d)(e) | EUR | 100000 | 115691 |
| Vivion Investments Sarl 8.25% 8/31/2028 pay-in-kind (d)(e) | EUR | 281869 | 327482 |
|  |  |  | 1890308 |
| Health Care - 0.0% |  |  |  |
| Health Care Providers & Services - 0.0% |  |  |  |
| Ephios Subco 3 Sarl 7.875% 1/31/2031 (e) | EUR | 235000 | 289046 |
| Industrials - 0.0% |  |  |  |
| Electrical Equipment - 0.0% |  |  |  |
| Albion Financing 1 SARL / Aggreko Holdings Inc 5.375% 5/21/2030 (e) | EUR | 235000 | 280854 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| INEOS Finance PLC 7.5% 4/15/2029 (b) |  | 450000 | 403882 |
| Maxam Prill Sarl 6% 7/15/2030 (e) | EUR | 282000 | 332277 |
|  |  |  | 736159 |
| Real Estate - 0.0% |  |  |  |
| Diversified REITs - 0.0% |  |  |  |
| Stoneweg Ereit Lux Finco Sarl 4.125% 2/22/2033 (e) | EUR | 525000 | 601703 |
| Industrial REITs - 0.0% |  |  |  |
| Prologis International Funding II SA 4.375% 7/1/2036 (e) | EUR | 200000 | 240491 |
| Real Estate Management & Development - 0.0% |  |  |  |
| Adler Financing Sarl 8.25% 12/31/2028 pay-in-kind (d) | EUR | 265162 | 334241 |
| AXA Logistics Europe Master SCA 3.375% 5/13/2031 (e) | EUR | 100000 | 116084 |
| Blackstone Property Partners Europe Holdings Sarl 1% 5/4/2028 (e) | EUR | 680000 | 753994 |
| CBRE Europe Logistics Partners SCA SICAV-SIF 3.5% 9/22/2032 (e) | EUR | 500000 | 572508 |
| Logicor Financing Sarl 0.875% 1/14/2031 (e) | EUR | 400000 | 405578 |
| Logicor Financing Sarl 3.75% 7/14/2032 (e) | EUR | 230000 | 265119 |
| Logicor Financing Sarl 4.25% 7/18/2029 (e) | EUR | 280000 | 336600 |
| P3 Group Sarl 3.75% 4/2/2033 (e) | EUR | 300000 | 344165 |
| P3 Group Sarl 4% 4/19/2032 (e) | EUR | 165000 | 194096 |
|  |  |  | 3322385 |
| TOTAL REAL ESTATE |  |  | 4164579 |
| TOTAL LUXEMBOURG |  |  | 10158639 |
| MACAU - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| MGM China Holdings Ltd 7.125% 6/26/2031 (e) |  | 450000 | 471997 |
| Sands China Ltd 5.4% 8/8/2028 (g) |  | 1379000 | 1398316 |
| Studio City Finance Ltd 5% 1/15/2029 (e) |  | 900000 | 849654 |
| Wynn Macau Ltd 5.625% 8/26/2028 (e) |  | 900000 | 893115 |
| TOTAL MACAU |  |  | 3613082 |
| MAURITIUS - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Flourishing Trade & Investment Ltd 11.035% 4/2/2028 (b)(i) |  | 1235625 | 1281961 |
| MEXICO - 0.2%  |  |  |  |
| Energy - 0.2% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |  |
| Petroleos Mexicanos 10% 2/7/2033  |  | 788000 | 909431 |
| Petroleos Mexicanos 2.75% 4/21/2027 (e) | EUR | 339000 | 388245 |
| Petroleos Mexicanos 5.95% 1/28/2031  |  | 5032000 | 4851150 |
| Petroleos Mexicanos 6.5% 1/23/2029  |  | 990000 | 1001781 |
| Petroleos Mexicanos 6.625% 6/15/2038  |  | 147000 | 133549 |
| Petroleos Mexicanos 6.7% 2/16/2032  |  | 12020000 | 11910017 |
| Petroleos Mexicanos 6.75% 9/21/2047  |  | 11150000 | 9076435 |
| Petroleos Mexicanos 6.84% 1/23/2030  |  | 300000 | 303735 |
| Petroleos Mexicanos 7.5% 3/20/2026 (b)(i) |  | 1392000 | 1383300 |
| Petroleos Mexicanos 7.69% 1/23/2050  |  | 25840000 | 23041528 |
| Petroleos Mexicanos 8.75% 6/2/2029  |  | 2598000 | 2779860 |
|  |  |  | 55779031 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco Nacional de Comercio Exterior SNC/Cayman Islands 5.875% 5/7/2030 (b) |  | 200000 | 207262 |
| Capital Markets - 0.0% |  |  |  |
| Eagle Funding Luxco Sarl 5.5% 8/17/2030 (b) |  | 13300000 | 13491387 |
| TOTAL FINANCIALS |  |  | 13698649 |
| Industrials - 0.0% |  |  |  |
| Passenger Airlines - 0.0% |  |  |  |
| Mexico City Airport Trust 4.25% 10/31/2026 (b) |  | 4270000 | 4241156 |
| Mexico City Airport Trust 5.5% 10/31/2046 (b) |  | 1092000 | 959147 |
| Mexico City Airport Trust 5.5% 7/31/2047 (b) |  | 3767000 | 3306296 |
|  |  |  | 8506599 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Southern Copper Corp 5.875% 4/23/2045  |  | 455000 | 469200 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Comision Federal de Electricidad 4.688% 5/15/2029 (b) |  | 2277000 | 2245521 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple 7.25% 1/31/2041 (b) |  | 354602 | 370619 |
| Saavi Energia Sarl 8.875% 2/10/2035 (b) |  | 470000 | 503196 |
|  |  |  | 873815 |
| TOTAL UTILITIES |  |  | 3119336 |
| TOTAL MEXICO |  |  | 81572815 |
| MOROCCO - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| OCP SA 3.75% 6/23/2031 (b) |  | 269000 | 250758 |
| OCP SA 6.7% 3/1/2036 (b) |  | 200000 | 213300 |
| OCP SA 6.75% 5/2/2034 (b) |  | 2395000 | 2579703 |
| OCP SA 7.5% 5/2/2054 (b) |  | 290000 | 320778 |
| TOTAL MOROCCO |  |  | 3364539 |
| MULTI-NATIONAL - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Corp Andina de Fomento 5% 1/24/2029  |  | 745000 | 768580 |
| NETHERLANDS - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Koninklijke KPN NV 3.875% 2/16/2036 (e) | EUR | 200000 | 233842 |
| Media - 0.0% |  |  |  |
| Sunrise FinCo I BV 4.625% 5/15/2032 (e) | EUR | 100000 | 117256 |
| VZ Secured Financing BV 5% 1/15/2032 (b) |  | 2051000 | 1863525 |
| VZ Secured Financing BV 5.25% 1/15/2033 (e) | EUR | 100000 | 115193 |
|  |  |  | 2095974 |
| TOTAL COMMUNICATION SERVICES |  |  | 2329816 |
| Consumer Discretionary - 0.0% |  |  |  |
| Distributors - 0.0% |  |  |  |
| Boels Topholding BV 5.75% 5/15/2030 (e) | EUR | 102000 | 122159 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| REWE International Finance BV 4.875% 9/13/2030 (e) | EUR | 200000 | 248180 |
| Food Products - 0.0% |  |  |  |
| JDE Peet's NV 0.5% 1/16/2029 (e) | EUR | 5000000 | 5375280 |
| TOTAL CONSUMER STAPLES |  |  | 5623460 |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| ABN AMRO Bank NV 2.47% 12/13/2029 (b)(d) |  | 1000000 | 952756 |
| ABN AMRO Bank NV 4.988% 12/3/2028 (b)(d) |  | 1100000 | 1117844 |
| ABN AMRO Bank NV 6.339% 9/18/2027 (b)(d) |  | 3400000 | 3456927 |
| Cooperatieve Rabobank UA 3.649% 4/6/2028 (b)(d) |  | 665000 | 661047 |
| Cooperatieve Rabobank UA 5.71% 1/21/2033 (b)(d) |  | 628000 | 665923 |
| Cooperatieve Rabobank UA/NY U.S. SOFR Averages Index + 0.62%, 4.63% 8/28/2026 (c)(d) |  | 6350000 | 6366496 |
| ING Groep NV 1.726% 4/1/2027 (d) |  | 5935000 | 5886470 |
| ING Groep NV 3% 8/17/2031 (d)(e) | EUR | 400000 | 461887 |
| ING Groep NV 4.858% 3/25/2029 (d) |  | 3900000 | 3960297 |
| ING Groep NV 5.335% 3/19/2030 (d) |  | 200000 | 207129 |
|  |  |  | 23736776 |
| Industrials - 0.0% |  |  |  |
| Trading Companies & Distributors - 0.0% |  |  |  |
| IMCD NV 2.125% 3/31/2027 (e) | EUR | 4400000 | 5066166 |
| Information Technology - 0.0% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 2.5% 5/11/2031  |  | 162000 | 146692 |
| NXP BV / NXP Funding LLC / NXP USA Inc 4.85% 8/19/2032  |  | 1461000 | 1473996 |
| NXP BV / NXP Funding LLC / NXP USA Inc 5.25% 8/19/2035  |  | 4212000 | 4283467 |
| NXP BV / NXP Funding LLC 5.55% 12/1/2028  |  | 70000 | 72491 |
|  |  |  | 5976646 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Trivium Packaging Finance BV 12.25% 1/15/2031 (b) |  | 200000 | 213213 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Tennet Netherlands BV 4.75% 10/28/2042 (e) | EUR | 915000 | 1156924 |
| TOTAL NETHERLANDS |  |  | 44225160 |
| NEW ZEALAND - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| ASB Bank Ltd 2.375% 10/22/2031 (b) |  | 200000 | 180849 |
| NORWAY - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Seadrill Finance Ltd 8.375% 8/1/2030 (b) |  | 215000 | 222213 |
| TGS ASA 8.5% 1/15/2030 (b) |  | 290000 | 300693 |
|  |  |  | 522906 |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Aker BP ASA 3.1% 7/15/2031 (b) |  | 7295000 | 6685641 |
| Aker BP ASA 5.8% 10/1/2054 (b) |  | 180000 | 166644 |
| Equinor ASA 3.7% 4/6/2050  |  | 920000 | 714635 |
| Equinor ASA 3.95% 5/15/2043  |  | 300000 | 257386 |
| Var Energi ASA 5% 5/18/2027 (b) |  | 5410000 | 5458283 |
| Var Energi ASA 5.875% 5/22/2030 (b) |  | 2700000 | 2814070 |
| Var Energi ASA 7.862% 11/15/2083 (d)(e) | EUR | 100000 | 127795 |
|  |  |  | 16224454 |
| TOTAL ENERGY |  |  | 16747360 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| DNB Bank ASA 4.853% 11/5/2030 (b)(d) |  | 900000 | 920734 |
| TOTAL NORWAY |  |  | 17668094 |
| PANAMA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Sable International Finance Ltd 7.125% 10/15/2032 (b) |  | 315000 | 317674 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| C&W Senior Finance Ltd 9% 1/15/2033 (b) |  | 295000 | 306531 |
| TOTAL PANAMA |  |  | 624205 |
| PARAGUAY - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Construction & Engineering - 0.0% |  |  |  |
| Bioceanico Sovereign Certificate Ltd 0% 6/5/2034 (b)(j) |  | 110990 | 90316 |
| PERU - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Peru LNG Srl 5.375% 3/22/2030 (b) |  | 150020 | 144723 |
| POLAND - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| GTC Aurora Luxembourg SA 2.25% 6/23/2026 (e) | EUR | 875000 | 1000594 |
| GTC Finance DAC 6.5% 10/15/2030 (e) | EUR | 485000 | 509307 |
| TOTAL POLAND |  |  | 1509901 |
| PORTUGAL - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Insurance - 0.0% |  |  |  |
| Fidelidade - Co De Seguros SA/Portugal 4.25% 9/4/2031 (d)(e) | EUR | 500000 | 584461 |
| QATAR - 0.0%  |  |  |  |
| Utilities - 0.0% |  |  |  |
| Gas Utilities - 0.0% |  |  |  |
| Nakilat Inc 6.067% 12/31/2033 (b) |  | 490922 | 520377 |
| SAUDI ARABIA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Saudi Arabian Oil Co 5.25% 7/17/2034 (b) |  | 3000000 | 3093240 |
| Industrials - 0.0% |  |  |  |
| Construction & Engineering - 0.0% |  |  |  |
| Greensaif Pipelines Bidco Sarl 6.1027% 8/23/2042 (b) |  | 3525000 | 3677033 |
| TOTAL SAUDI ARABIA |  |  | 6770273 |
| SINGAPORE - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Puma International Financing SA 7.75% 4/25/2029 (e) |  | 900000 | 928128 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| GLP Pte Ltd 9.75% 5/20/2028 (e) |  | 300000 | 303260 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Project Infinity 12.85% 9/13/2027 (i) |  | 478810 | 478810 |
| TOTAL SINGAPORE |  |  | 1710198 |
| SLOVENIA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| United Group BV 3.625% 2/15/2028 (e) | EUR | 2000000 | 2297725 |
| United Group BV 5.25% 2/1/2030 (b) | EUR | 2900000 | 3349940 |
| TOTAL SLOVENIA |  |  | 5647665 |
| SOUTH AFRICA - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Sasol Financing USA LLC 4.375% 9/18/2026  |  | 810000 | 804435 |
| Metals & Mining - 0.0% |  |  |  |
| Anglo American Capital PLC 2.625% 9/10/2030 (b) |  | 1035000 | 957996 |
| TOTAL MATERIALS |  |  | 1762431 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Eskom Holdings 6.35% 8/10/2028 (b) |  | 1298000 | 1337346 |
| Eskom Holdings 6.35% 8/10/2028 (e) |  | 213000 | 219456 |
| Eskom Holdings 8.45% 8/10/2028 (e) |  | 3699000 | 3961167 |
| Eskom Holdings 8.45% 8/10/2028 (b) |  | 671000 | 718557 |
|  |  |  | 6236526 |
| TOTAL SOUTH AFRICA |  |  | 7998957 |
| SPAIN - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Cellnex Telecom SA 1.75% 10/23/2030 (e) | EUR | 5500000 | 5961171 |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Cirsa Finance International Sarl 3 month EURIBOR + 3%, 5.072% 10/15/2032 (c)(d)(e) | EUR | 100000 | 117041 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Repsol E&P Capital Markets US LLC 4.805% 9/16/2028 (b) |  | 235000 | 236897 |
| Repsol E&P Capital Markets US LLC 5.204% 9/16/2030 (b) |  | 280000 | 282576 |
| Repsol E&P Capital Markets US LLC 5.976% 9/16/2035 (b) |  | 605000 | 620297 |
|  |  |  | 1139770 |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| Banco Bilbao Vizcaya Argentaria SA 5.381% 3/13/2029  |  | 1800000 | 1867137 |
| Banco Bilbao Vizcaya Argentaria SA 6.033% 3/13/2035 (d) |  | 400000 | 428679 |
| Banco Santander SA 3.49% 5/28/2030  |  | 1000000 | 965511 |
| Banco Santander SA 4.175% 3/24/2028 (d) |  | 8000000 | 7993157 |
| Banco Santander SA 4.551% 11/6/2030  |  | 800000 | 804010 |
| Banco Santander SA 5.127% 11/6/2035  |  | 800000 | 806504 |
| Banco Santander SA 5.365% 7/15/2028 (d) |  | 4000000 | 4077443 |
| Banco Santander SA 5.439% 7/15/2031  |  | 4400000 | 4639191 |
| Banco Santander SA 5.538% 3/14/2030 (d) |  | 2000000 | 2072818 |
| Banco Santander SA 5.552% 3/14/2028 (d) |  | 8400000 | 8547085 |
| Banco Santander SA 5.588% 8/8/2028  |  | 1400000 | 1452301 |
| Banco Santander SA 6.033% 1/17/2035  |  | 1000000 | 1082417 |
| CaixaBank SA 3.625% 9/19/2032 (d)(e) | EUR | 200000 | 236245 |
| CaixaBank SA 5.581% 7/3/2036 (b)(d) |  | 200000 | 207522 |
| CaixaBank SA 5.673% 3/15/2030 (b)(d) |  | 400000 | 416516 |
| CaixaBank SA 6.684% 9/13/2027 (b)(d) |  | 265000 | 270045 |
|  |  |  | 35866581 |
| Health Care - 0.0% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| Grifols SA 7.5% 5/1/2030 (e) | EUR | 973000 | 1184610 |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| Abertis Infraestructuras SA 3.375% 11/27/2026 (e) | GBP | 500000 | 656448 |
| TOTAL SPAIN |  |  | 44925621 |
| SWEDEN - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Dometic Group AB 5% 9/11/2030 (e) | EUR | 100000 | 117678 |
| Leisure Products - 0.0% |  |  |  |
| Asmodee Group AB 3 month EURIBOR + 3.75%, 5.764% 12/15/2029 (b)(c)(d) | EUR | 470588 | 551615 |
| Asmodee Group AB 5.75% 12/15/2029 (b) | EUR | 1120000 | 1365096 |
|  |  |  | 1916711 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 2034389 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Svenska Handelsbanken AB 5.5% 6/15/2028 (b) |  | 943000 | 976031 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Samhallsbyggnadsbolaget I Norden Holding AB 2.25% 7/12/2027 (e) | EUR | 400000 | 436274 |
| TOTAL SWEDEN |  |  | 3446694 |
| SWITZERLAND - 0.1%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Allwyn Entertainment Financing UK PLC 4.125% 2/15/2031 (e) | EUR | 294000 | 334299 |
| Financials - 0.1% |  |  |  |
| Capital Markets - 0.1% |  |  |  |
| UBS Group AG 1.305% 2/2/2027 (b)(d) |  | 500000 | 497370 |
| UBS Group AG 3.091% 5/14/2032 (b)(d) |  | 9800000 | 9135403 |
| UBS Group AG 3.126% 8/13/2030 (b)(d) |  | 2640000 | 2534327 |
| UBS Group AG 3.869% 1/12/2029 (b)(d) |  | 6800000 | 6758864 |
| UBS Group AG 4.194% 4/1/2031 (b)(d) |  | 21240000 | 21090416 |
| UBS Group AG 4.282% 1/9/2028 (b) |  | 430000 | 430645 |
| UBS Group AG 4.55% 4/17/2026  |  | 3490000 | 3496350 |
| UBS Group AG 4.75% 3/17/2032 (d)(e) | EUR | 1575000 | 1963029 |
| UBS Group AG 4.751% 5/12/2028 (b)(d) |  | 937000 | 944294 |
| UBS Group AG 5.01% 3/23/2037 (b)(d) |  | 620000 | 620108 |
| UBS Group AG 5.617% 9/13/2030 (b)(d) |  | 530000 | 554944 |
| UBS Group AG 6.246% 9/22/2029 (b)(d) |  | 10600000 | 11174583 |
|  |  |  | 59200333 |
| Insurance - 0.0% |  |  |  |
| Argentum Netherlands BV for Swiss Re Ltd 5.625% 8/15/2052 (d)(e) |  | 495000 | 499402 |
| Swiss Re Finance Luxembourg SA 5% 4/2/2049 (b)(d) |  | 1200000 | 1209897 |
| Zurich Finance Ireland Designated Activity Co 3.5% 5/2/2052 (d)(e) |  | 545000 | 496474 |
|  |  |  | 2205773 |
| TOTAL FINANCIALS |  |  | 61406106 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| SIG Combibloc PurchaseCo Sarl 3.75% 3/19/2030 (e) | EUR | 100000 | 117440 |
| TOTAL SWITZERLAND |  |  | 61857845 |
| TAIWAN - 0.0%  |  |  |  |
| Information Technology - 0.0% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |  |
| TSMC Arizona Corp 2.5% 10/25/2031  |  | 702000 | 642491 |
| TANZANIA - 0.0%  |  |  |  |
| Information Technology - 0.0% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| HTA Group Ltd/Mauritius 7.5% 6/4/2029 (b) |  | 150000 | 155532 |
| TRINIDAD & TOBAGO - 0.0%  |  |  |  |
| Utilities - 0.0% |  |  |  |
| Multi-Utilities - 0.0% |  |  |  |
| Trinidad Generation UnLtd 7.75% 6/16/2033 (b) |  | 277000 | 285241 |
| TURKEY - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| TC Ziraat Bankasi AS 7.25% 2/4/2030 (b) |  | 207000 | 214032 |
| Capital Markets - 0.0% |  |  |  |
| Turkiye Varlik Fonu Yonetimi AS 8.25% 2/14/2029 (e) |  | 200000 | 213375 |
| TOTAL TURKEY |  |  | 427407 |
| UNITED ARAB EMIRATES - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Adnoc Murban Rsc Ltd 4.25% 9/11/2029 (b) |  | 3800000 | 3814250 |
| Galaxy Pipeline Assets Bidco Ltd 2.16% 3/31/2034 (e) |  | 251708 | 227109 |
|  |  |  | 4041359 |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| DP World Ltd/United Arab Emirates 2.375% 9/25/2026 (b) | EUR | 1430000 | 1653078 |
| Utilities - 0.0% |  |  |  |
| Multi-Utilities - 0.0% |  |  |  |
| Abu Dhabi National Energy Co PJSC 4.375% 10/9/2031 (b) |  | 11000000 | 11026070 |
| TOTAL UNITED ARAB EMIRATES |  |  | 16720507 |
| UNITED KINGDOM - 0.8%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| BT Finance PLC 3.375% 11/17/2032 (e) | EUR | 275000 | 317408 |
| Virgin Media Finance PLC 5% 7/15/2030 (b) |  | 70000 | 61951 |
|  |  |  | 379359 |
| Media - 0.0% |  |  |  |
| RELX Capital Inc 5.25% 3/27/2035  |  | 3400000 | 3534588 |
| Virgin Media Secured Finance PLC 4.25% 1/15/2030 (e) | GBP | 2800000 | 3406738 |
|  |  |  | 6941326 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Vmed O2 UK Financing I PLC 4% 1/31/2029 (e) | GBP | 1470000 | 1841892 |
| Vmed O2 UK Financing I PLC 4.25% 1/31/2031 (b) |  | 215000 | 196473 |
| Vmed O2 UK Financing I PLC 5.625% 4/15/2032 (e) | EUR | 257000 | 301880 |
| Vmed O2 UK Financing I PLC 6.75% 1/15/2033 (b) |  | 200000 | 199173 |
| Vmed O2 UK Financing I PLC 7.75% 4/15/2032 (b) |  | 200000 | 208604 |
| Vodafone Group PLC 5.75% 6/28/2054  |  | 350000 | 345180 |
|  |  |  | 3093202 |
| TOTAL COMMUNICATION SERVICES |  |  | 10413887 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| BCP V Modular Services Finance II PLC 6.125% 11/30/2028 (e) | GBP | 100000 | 124425 |
| BCP V Modular Services Finance II PLC 6.5% 7/10/2031 (e) | EUR | 302000 | 327136 |
|  |  |  | 451561 |
| Broadline Retail - 0.0% |  |  |  |
| John Lewis PLC 4.25% 12/18/2034 (e) | GBP | 498000 | 556153 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Deuce Finco PLC 7% 11/20/2031 (e) | GBP | 100000 | 131687 |
| IHG Finance LLC 3.375% 9/10/2030 (e) | EUR | 250000 | 291312 |
| InterContinental Hotels Group PLC 3.375% 10/8/2028 (e) | GBP | 155000 | 199111 |
| Whitbread Group PLC 2.375% 5/31/2027 (e) | GBP | 195000 | 249909 |
|  |  |  | 872019 |
| Household Durables - 0.0% |  |  |  |
| Berkeley Group PLC/The 2.5% 8/11/2031 (e) | GBP | 660000 | 753955 |
| Specialty Retail - 0.0% |  |  |  |
| Belron UK Finance PLC 5.75% 10/15/2029 (b) |  | 200000 | 203386 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 2837074 |
| Consumer Staples - 0.2% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Diageo Investment Corp 5.625% 4/15/2035  |  | 2915000 | 3108252 |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| Bellis Acquisition Co PLC 8% 7/1/2031 (b) | EUR | 4300000 | 4860927 |
| Bellis Acquisition Co PLC 8% 7/1/2031 (e) | EUR | 366000 | 413744 |
| Boots Group Finco LP 5.375% 8/31/2032 (b) | EUR | 475000 | 566123 |
| Boots Group Finco LP 7.375% 8/31/2032 (b) | GBP | 550000 | 747661 |
| Boots Group Finco LP 7.375% 8/31/2032 (e) | GBP | 100000 | 135938 |
| Market Bidco Finco PLC 6.75% 1/31/2031 (e) | EUR | 100000 | 115093 |
| Ocado Group PLC 10.5% 8/8/2029 (e) | GBP | 100000 | 125226 |
|  |  |  | 6964712 |
| Tobacco - 0.2% |  |  |  |
| BAT Capital Corp 2.259% 3/25/2028  |  | 1008000 | 967555 |
| BAT Capital Corp 3.557% 8/15/2027  |  | 2939000 | 2910628 |
| BAT Capital Corp 4.39% 8/15/2037  |  | 9056000 | 8388741 |
| BAT Capital Corp 4.625% 3/22/2033  |  | 1270000 | 1267855 |
| BAT Capital Corp 4.7% 4/2/2027  |  | 425000 | 427558 |
| BAT Capital Corp 4.758% 9/6/2049  |  | 1414000 | 1214871 |
| BAT Capital Corp 5.282% 4/2/2050  |  | 662000 | 606736 |
| BAT Capital Corp 5.35% 8/15/2032  |  | 3350000 | 3495046 |
| BAT Capital Corp 5.625% 8/15/2035  |  | 1275000 | 1336841 |
| BAT Capital Corp 5.65% 3/16/2052  |  | 1995000 | 1917000 |
| BAT Capital Corp 5.834% 2/20/2031  |  | 1290000 | 1370956 |
| BAT Capital Corp 6.343% 8/2/2030  |  | 1270000 | 1374336 |
| BAT Capital Corp 7.079% 8/2/2043  |  | 1813000 | 2052986 |
| BAT Capital Corp 7.081% 8/2/2053  |  | 254000 | 290570 |
| BAT International Finance PLC 4.125% 4/12/2032 (e) | EUR | 825000 | 987811 |
| BAT International Finance PLC 4.448% 3/16/2028  |  | 8700000 | 8766648 |
| BAT International Finance PLC 5.931% 2/2/2029  |  | 395000 | 415217 |
| Imperial Brands Finance PLC 3.875% 2/12/2034 (e) | EUR | 750000 | 860343 |
| Imperial Brands Finance PLC 5.875% 7/1/2034 (b) |  | 2400000 | 2513299 |
| Reynolds American Inc 5.7% 8/15/2035  |  | 1189000 | 1251545 |
| Reynolds American Inc 5.85% 8/15/2045  |  | 269000 | 268180 |
| Reynolds American Inc 8.125% 5/1/2040  |  | 24000 | 28920 |
|  |  |  | 42713642 |
| TOTAL CONSUMER STAPLES |  |  | 52786606 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| CD&R Firefly Bidco PLC 8.625% 4/30/2029 (e) | GBP | 282000 | 390621 |
| OEG Finance PLC 7.25% 9/27/2029 (e) | EUR | 257000 | 311434 |
|  |  |  | 702055 |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| EG Global Finance PLC 11% 11/30/2028 (b) | EUR | 3800000 | 4778344 |
| EG Global Finance PLC 12% 11/30/2028 (b) |  | 2500000 | 2723433 |
| Ithaca Energy North Sea PLC 5.5% 10/1/2031 (e) | EUR | 100000 | 116409 |
|  |  |  | 7618186 |
| TOTAL ENERGY |  |  | 8320241 |
| Financials - 0.5% |  |  |  |
| Banks - 0.5% |  |  |  |
| Barclays PLC 2.667% 3/10/2032 (d) |  | 8625000 | 7868461 |
| Barclays PLC 2.894% 11/24/2032 (d) |  | 4600000 | 4189484 |
| Barclays PLC 3.543% 8/14/2031 (d)(e) | EUR | 550000 | 646218 |
| Barclays PLC 4.476% 11/11/2029 (d) |  | 5605000 | 5638133 |
| Barclays PLC 4.942% 9/10/2030 (d) |  | 2650000 | 2702894 |
| Barclays PLC 5.086% 2/25/2029 (d) |  | 1600000 | 1630235 |
| Barclays PLC 5.088% 6/20/2030 (d) |  | 13438000 | 13679529 |
| Barclays PLC 5.2% 5/12/2026  |  | 1701000 | 1707625 |
| Barclays PLC 5.501% 8/9/2028 (d) |  | 445000 | 454173 |
| Barclays PLC 5.69% 3/12/2030 (d) |  | 300000 | 312511 |
| Barclays PLC 5.86% 8/11/2046 (d) |  | 1390000 | 1443474 |
| Barclays PLC 6.496% 9/13/2027 (d) |  | 600000 | 610255 |
| Barclays PLC 6.692% 9/13/2034 (d) |  | 2900000 | 3225030 |
| Barclays PLC 7.385% 11/2/2028 (d) |  | 620000 | 656044 |
| Barclays PLC 7.437% 11/2/2033 (d) |  | 500000 | 575458 |
| HSBC Holdings PLC 2.013% 9/22/2028 (d) |  | 3943000 | 3796746 |
| HSBC Holdings PLC 2.206% 8/17/2029 (d) |  | 3380000 | 3209404 |
| HSBC Holdings PLC 2.804% 5/24/2032 (d) |  | 5336000 | 4887633 |
| HSBC Holdings PLC 3.973% 5/22/2030 (d) |  | 1811000 | 1792593 |
| HSBC Holdings PLC 4.619% 11/6/2031 (d) |  | 950000 | 956179 |
| HSBC Holdings PLC 4.856% 5/23/2033 (d)(e) | EUR | 900000 | 1129033 |
| HSBC Holdings PLC 5.13% 3/3/2031 (d) |  | 610000 | 626871 |
| HSBC Holdings PLC 5.133% 11/6/2036 (d) |  | 980000 | 988819 |
| HSBC Holdings PLC 5.21% 8/11/2028 (d) |  | 358000 | 363759 |
| HSBC Holdings PLC 5.24% 5/13/2031 (d) |  | 4000000 | 4135875 |
| HSBC Holdings PLC 5.286% 11/19/2030 (d) |  | 2320000 | 2399730 |
| HSBC Holdings PLC 5.597% 5/17/2028 (d) |  | 5600000 | 5710934 |
| HSBC Holdings PLC 5.733% 5/17/2032 (d) |  | 645000 | 682502 |
| HSBC Holdings PLC 5.887% 8/14/2027 (d) |  | 2285000 | 2311744 |
| HSBC Holdings PLC 6.161% 3/9/2029 (d) |  | 24300000 | 25326377 |
| HSBC Holdings PLC 7.39% 11/3/2028 (d) |  | 800000 | 846701 |
| HSBC Holdings PLC 8.201% 11/16/2034 (d)(e) | GBP | 550000 | 804504 |
| HSBC Holdings PLC U.S. SOFR Index + 1.03%, 5.2526% 3/3/2029 (c)(d) |  | 5000000 | 5012313 |
| Lloyds Banking Group PLC 1.627% 5/11/2027 (d) |  | 520000 | 514065 |
| Lloyds Banking Group PLC 4.75% 9/21/2031 (d)(e) | EUR | 605000 | 751522 |
| Lloyds Banking Group PLC 4.943% 11/4/2036 (d) |  | 1125000 | 1121270 |
| Lloyds Banking Group PLC 5.087% 11/26/2028 (d) |  | 10050000 | 10230974 |
| Lloyds Banking Group PLC 5.462% 1/5/2028 (d) |  | 200000 | 202789 |
| Lloyds Banking Group PLC 5.679% 1/5/2035 (d) |  | 200000 | 211515 |
| Lloyds Banking Group PLC 5.871% 3/6/2029 (d) |  | 1365000 | 1416773 |
| Lloyds Banking Group PLC 5.985% 8/7/2027 (d) |  | 1000000 | 1012053 |
| Lloyds Banking Group PLC U.S. SOFR Averages Index + 1.06%, 4.9826% 11/26/2028 (c)(d) |  | 10050000 | 10103265 |
| NatWest Group PLC 3.073% 5/22/2028 (d) |  | 5999000 | 5913109 |
| NatWest Group PLC 3.632% 9/3/2034 (d)(e) | EUR | 650000 | 756466 |
| NatWest Group PLC 5.076% 1/27/2030 (d) |  | 400000 | 409573 |
| NatWest Group PLC 5.115% 5/23/2031 (d) |  | 505000 | 519840 |
| NatWest Group PLC 5.808% 9/13/2029 (d) |  | 240000 | 250199 |
| NatWest Group PLC 5.847% 3/2/2027 (d) |  | 700000 | 702656 |
| NatWest Markets PLC 5.022% 3/21/2030 (b) |  | 940000 | 969972 |
| NatWest Markets PLC 5.41% 5/17/2029 (b) |  | 1750000 | 1822484 |
| Santander UK Group Holdings PLC 1.673% 6/14/2027 (d) |  | 1065000 | 1050064 |
| Santander UK Group Holdings PLC 2.896% 3/15/2032 (d) |  | 204000 | 187665 |
| Santander UK Group Holdings PLC 4.32% 9/22/2029 (d) |  | 470000 | 470518 |
| Santander UK Group Holdings PLC 4.858% 9/11/2030 (d) |  | 9595000 | 9730396 |
| Santander UK Group Holdings PLC 5.694% 4/15/2031 (d) |  | 255000 | 267026 |
| Santander UK Group Holdings PLC 6.534% 1/10/2029 (d) |  | 200000 | 209218 |
| Standard Chartered Bank/New York 4.853% 12/3/2027  |  | 13800000 | 14084979 |
| Standard Chartered PLC 1.456% 1/14/2027 (b)(d) |  | 200000 | 199266 |
| Standard Chartered PLC 3.864% 3/17/2033 (d)(e) | EUR | 245000 | 289822 |
| Standard Chartered PLC 5.005% 10/15/2030 (b)(d) |  | 5900000 | 6031139 |
| Standard Chartered PLC 5.688% 5/14/2028 (b)(d) |  | 340000 | 346850 |
| Standard Chartered PLC 5.905% 5/14/2035 (b)(d) |  | 665000 | 708378 |
| Standard Chartered PLC 6.187% 7/6/2027 (b)(d) |  | 700000 | 707934 |
| Standard Chartered PLC 6.301% 1/9/2029 (b)(d) |  | 297000 | 309054 |
| Standard Chartered PLC 7.767% 11/16/2028 (b)(d) |  | 641000 | 683792 |
| Virgin Money UK PLC 7.625% 8/23/2029 (d)(e) | GBP | 345000 | 494484 |
|  |  |  | 183000351 |
| Capital Markets - 0.0% |  |  |  |
| Marex Group PLC 6.404% 11/4/2029  |  | 5900000 | 6093003 |
| Consumer Finance - 0.0% |  |  |  |
| Motability Operations Group PLC 3.625% 1/22/2033 (e) | EUR | 375000 | 437324 |
| Financial Services - 0.0% |  |  |  |
| LSEG US Finance Corp 4.875% 3/28/2027 (b) |  | 300000 | 303118 |
| Nationwide Building Society 2.972% 2/16/2028 (b)(d) |  | 210000 | 207015 |
| Nationwide Building Society 4% 7/30/2035 (d)(e) | EUR | 170000 | 200633 |
| Nationwide Building Society 5.127% 7/29/2029 (b) |  | 297000 | 306467 |
| Nationwide Building Society 6.557% 10/18/2027 (b)(d) |  | 955000 | 973681 |
| Virgin Media Vendor Financing Notes III DAC 4.875% 7/15/2028 (e) | GBP | 1385000 | 1778544 |
|  |  |  | 3769458 |
| Insurance - 0.0% |  |  |  |
| Admiral Group PLC 8.5% 1/6/2034 (e) | GBP | 400000 | 612505 |
| Ardonagh Finco Ltd 6.875% 2/15/2031 (e) | EUR | 235000 | 280114 |
|  |  |  | 892619 |
| TOTAL FINANCIALS |  |  | 194192755 |
| Health Care - 0.0% |  |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |  |
| Smith & Nephew PLC 5.15% 3/20/2027  |  | 250000 | 252794 |
| Health Care Providers & Services - 0.0% |  |  |  |
| 180 Medical Inc 3.875% 10/15/2029 (b) |  | 390000 | 379112 |
| TOTAL HEALTH CARE |  |  | 631906 |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| BAE Systems PLC 3.4% 4/15/2030 (b) |  | 2985000 | 2890650 |
| Rolls-Royce PLC 5.75% 10/15/2027 (b) |  | 800000 | 820205 |
|  |  |  | 3710855 |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Amber Finco PLC 6.625% 7/15/2029 (e) | EUR | 135000 | 164421 |
| Ground Transportation - 0.0% |  |  |  |
| Mobico Group PLC 4.875% 9/26/2031 (e) | EUR | 660000 | 577280 |
| Machinery - 0.0% |  |  |  |
| Weir Group Inc 5.35% 5/6/2030 (b) |  | 5300000 | 5468330 |
| Trading Companies & Distributors - 0.0% |  |  |  |
| Travis Perkins PLC 3.75% 2/17/2026 (e) | GBP | 255000 | 332273 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Edge Finco PLC 8.125% 8/15/2031 (e) | GBP | 200000 | 279288 |
| Heathrow Finance PLC 6.625% 3/1/2031 (e) | GBP | 282000 | 374461 |
| Heathrow Funding Ltd 6% 3/5/2032 (e) | GBP | 465000 | 634430 |
|  |  |  | 1288179 |
| TOTAL INDUSTRIALS |  |  | 11541338 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| INEOS Quattro Finance 2 Plc 9.625% 3/15/2029 (b) |  | 265000 | 225383 |
| Real Estate - 0.0% |  |  |  |
| Office REITs - 0.0% |  |  |  |
| Great Portland Estates PLC 5.375% 9/25/2031 (e) | GBP | 300000 | 403257 |
| Real Estate Management & Development - 0.0% |  |  |  |
| Titanium Ruth Holdco Ltd 0.95% 6/2/2026 (e) | EUR | 780000 | 897384 |
| TOTAL REAL ESTATE |  |  | 1300641 |
| Utilities - 0.1% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| London Power Networks PLC 3.837% 6/11/2037 (e) | EUR | 300000 | 348304 |
| NGG Finance PLC 2.125% 9/5/2082 (d)(e) | EUR | 440000 | 502355 |
| Scottish Hydro Electric Transmission PLC 3.375% 9/4/2032 (e) | EUR | 430000 | 501129 |
| Yorkshire Power Finance Ltd 7.25% 8/4/2028  | GBP | 4419000 | 6212178 |
|  |  |  | 7563966 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| California Buyer Ltd / Atlantica Sustainable Infrastructure PLC 5.625% 2/15/2032 (e) | EUR | 257000 | 300674 |
| California Buyer Ltd / Atlantica Sustainable Infrastructure PLC 6.375% 2/15/2032 (b) |  | 505000 | 505070 |
| ContourGlobal Power Holdings SA 5% 2/28/2030 (e) | EUR | 100000 | 118642 |
| ContourGlobal Power Holdings SA 6.75% 2/28/2030 (b) |  | 200000 | 205750 |
|  |  |  | 1130136 |
| Water Utilities - 0.1% |  |  |  |
| Anglian Water Services Financing PLC 5.875% 6/20/2031 (e) | GBP | 565000 | 775234 |
| Anglian Water Services Financing PLC 6.293% 7/30/2030 (e) | GBP | 150000 | 209278 |
| Northumbrian Water Finance PLC 5.375% 7/22/2032 (e) | GBP | 375000 | 499736 |
| Severn Trent Utilities Finance PLC 3.875% 8/4/2035 (e) | EUR | 425000 | 493310 |
| Severn Trent Utilities Finance PLC 4% 3/5/2034 (e) | EUR | 750000 | 892373 |
| South West Water Finance PLC 5.25% 9/15/2031 (e) | GBP | 340000 | 453673 |
| South West Water Finance PLC 5.75% 12/11/2032 (e) | GBP | 125000 | 171702 |
| SW Finance I PLC 6.875% 8/7/2032 (e) | GBP | 650000 | 893401 |
| Thames Water Super Senior Issuer PLC 9.75% 10/10/2027 (b) | GBP | 65272 | 98936 |
| United Utilities Water Finance PLC 3.5% 2/27/2033 (e) | EUR | 170000 | 196701 |
| United Utilities Water Finance PLC 3.75% 5/23/2034 (e) | EUR | 730000 | 850427 |
| Wessex Water Services Finance PLC 6.125% 9/19/2034 (e) | GBP | 320000 | 435437 |
| Yorkshire Water Finance PLC 6% 7/22/2033 (e) | GBP | 330000 | 444700 |
| Yorkshire Water Finance PLC 6.375% 11/18/2034 (e) | GBP | 1160000 | 1592274 |
|  |  |  | 8007182 |
| TOTAL UTILITIES |  |  | 16701284 |
| TOTAL UNITED KINGDOM |  |  | 298951115 |
| UNITED STATES - 11.0%  |  |  |  |
| Communication Services - 0.9% |  |  |  |
| Diversified Telecommunication Services - 0.2% |  |  |  |
| APLD ComputeCo LLC 9.25% 12/15/2030 (b) |  | 630000 | 607162 |
| AT&T Inc 1.65% 2/1/2028  |  | 4120000 | 3918109 |
| AT&T Inc 2.55% 12/1/2033  |  | 5588000 | 4794453 |
| AT&T Inc 3.5% 6/1/2041  |  | 5306000 | 4231666 |
| AT&T Inc 3.5% 9/15/2053  |  | 3282000 | 2258039 |
| AT&T Inc 3.55% 9/15/2055  |  | 2735000 | 1874311 |
| AT&T Inc 3.65% 6/1/2051  |  | 50000 | 35923 |
| AT&T Inc 3.65% 9/15/2059  |  | 7497000 | 5110928 |
| AT&T Inc 3.8% 12/1/2057  |  | 3545000 | 2518309 |
| AT&T Inc 3.85% 6/1/2060  |  | 650000 | 460008 |
| AT&T Inc 4.3% 2/15/2030  |  | 3709000 | 3729724 |
| AT&T Inc 4.35% 3/1/2029  |  | 150000 | 150856 |
| AT&T Inc 4.5% 5/15/2035  |  | 1980000 | 1923386 |
| AT&T Inc 4.75% 5/15/2046  |  | 5130000 | 4560086 |
| AT&T Inc 4.9% 11/1/2035  |  | 2105000 | 2097979 |
| AT&T Inc 5.7% 11/1/2054  |  | 1455000 | 1428187 |
| AT&T Inc 6.05% 8/15/2056  |  | 2298000 | 2369803 |
| Cablevision Lightpath LLC 3.875% 9/15/2027 (b) |  | 195000 | 192005 |
| Cablevision Lightpath LLC 5.625% 9/15/2028 (b) |  | 75000 | 73522 |
| Cipher Compute LLC 7.125% 11/15/2030 (b) |  | 315000 | 320021 |
| Embarq LLC 7.995% 6/1/2036  |  | 119000 | 47043 |
| Frontier Communications Holdings LLC 5% 5/1/2028 (b) |  | 4196000 | 4210787 |
| Frontier Communications Holdings LLC 5.875% 10/15/2027 (b) |  | 362000 | 362489 |
| Frontier Communications Holdings LLC 5.875% 11/1/2029  |  | 3597720 | 3650714 |
| Frontier Communications Holdings LLC 6.75% 5/1/2029 (b) |  | 100000 | 100938 |
| Frontier Communications Holdings LLC 8.625% 3/15/2031 (b) |  | 1320000 | 1394185 |
| Level 3 Financing Inc 4.5% 4/1/2030 (b) |  | 1725000 | 1589156 |
| Level 3 Financing Inc 6.875% 6/30/2033 (b) |  | 1760000 | 1792361 |
| Level 3 Financing Inc 7% 3/31/2034 (b) |  | 2541000 | 2602594 |
| Lumen Technologies Inc 4.125% 4/15/2030 (b) |  | 284408 | 281976 |
| Lumen Technologies Inc 4.125% 4/15/2030 (b) |  | 177467 | 175950 |
| Sprint Capital Corp 6.875% 11/15/2028  |  | 304000 | 327428 |
| Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC 5.152% 9/20/2029 (b) |  | 6327500 | 6386799 |
| Verizon Communications Inc 1.5% 9/18/2030  |  | 1029000 | 906627 |
| Verizon Communications Inc 2.1% 3/22/2028  |  | 3600000 | 3451944 |
| Verizon Communications Inc 2.355% 3/15/2032  |  | 5720000 | 5055548 |
| Verizon Communications Inc 2.65% 11/20/2040  |  | 1515000 | 1100103 |
| Verizon Communications Inc 3.15% 3/22/2030  |  | 175000 | 167860 |
| Verizon Communications Inc 4.4% 11/1/2034  |  | 9000 | 8741 |
| Verizon Communications Inc 4.78% 2/15/2035  |  | 700000 | 694428 |
| Verizon Communications Inc 5.401% 7/2/2037 (b) |  | 2589000 | 2648451 |
| Verizon Communications Inc 5.875% 11/30/2055  |  | 3656000 | 3689992 |
| Verizon Communications Inc 6% 11/30/2065  |  | 1034000 | 1045727 |
| Windstream Services LLC 7.5% 10/15/2033 (b) |  | 165000 | 167917 |
| WULF Compute LLC 7.75% 10/15/2030 (b) |  | 615000 | 635861 |
| Zayo Group Holdings Inc 9.25% 3/9/2030 pay-in-kind (b)(d) |  | 572544 | 527542 |
|  |  |  | 85677638 |
| Entertainment - 0.0% |  |  |  |
| Cinemark USA Inc 5.25% 7/15/2028 (b) |  | 204000 | 203469 |
| Live Nation Entertainment Inc 4.75% 10/15/2027 (b) |  | 562000 | 561044 |
| Live Nation Entertainment Inc 6.5% 5/15/2027 (b) |  | 433000 | 437319 |
| Netflix Inc 5.375% 11/15/2029 (b) |  | 518000 | 542895 |
| ROBLOX Corp 3.875% 5/1/2030 (b) |  | 280000 | 267716 |
| Take-Two Interactive Software Inc 3.7% 4/14/2027  |  | 180000 | 179055 |
| Take-Two Interactive Software Inc 5.4% 6/12/2029  |  | 209000 | 216599 |
| Take-Two Interactive Software Inc 5.6% 6/12/2034  |  | 836000 | 877640 |
|  |  |  | 3285737 |
| Interactive Media & Services - 0.3% |  |  |  |
| Alphabet Inc 4.1% 11/15/2030  |  | 1655000 | 1669275 |
| Alphabet Inc 4.375% 11/15/2032  |  | 590000 | 597177 |
| Alphabet Inc 4.375% 11/6/2064  | EUR | 290000 | 332707 |
| Alphabet Inc 4.7% 11/15/2035  |  | 1665000 | 1691876 |
| Alphabet Inc 5.7% 11/15/2075  |  | 1817000 | 1868752 |
| Beignet Investor LLC 6.581% 5/30/2049 (b) |  | 82428000 | 88872583 |
| Meta Platforms Inc 4.6% 11/15/2032  |  | 2603000 | 2641912 |
| Meta Platforms Inc 4.65% 8/15/2062  |  | 2230000 | 1871902 |
| Meta Platforms Inc 4.875% 11/15/2035  |  | 9660000 | 9764697 |
| Meta Platforms Inc 5.4% 8/15/2054  |  | 860000 | 834107 |
| Meta Platforms Inc 5.5% 11/15/2045  |  | 1255000 | 1255409 |
| Meta Platforms Inc 5.6% 5/15/2053  |  | 2633000 | 2622807 |
| Meta Platforms Inc 5.625% 11/15/2055  |  | 5450000 | 5436193 |
| Snap Inc 6.875% 3/1/2033 (b) |  | 580000 | 597479 |
| Snap Inc 6.875% 3/15/2034 (b) |  | 190000 | 194218 |
|  |  |  | 120251094 |
| Media - 0.4% |  |  |  |
| AMC Networks Inc 10.25% 1/15/2029 (b) |  | 100000 | 104909 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.25% 1/15/2034 (b) |  | 668000 | 566015 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.25% 2/1/2031 (b) |  | 1630000 | 1501607 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 5/1/2032  |  | 2897000 | 2609816 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 8/15/2030 (b) |  | 1189000 | 1112538 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.75% 2/1/2032 (b) |  | 1185000 | 1088820 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.75% 3/1/2030 (b) |  | 2560000 | 2438341 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5% 2/1/2028 (b) |  | 260000 | 257829 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5.125% 5/1/2027 (b) |  | 200000 | 199718 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.25% 1/15/2029  |  | 5888000 | 5475827 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.3% 2/1/2032  |  | 1788000 | 1536583 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.8% 4/1/2031  |  | 1640000 | 1473445 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.5% 3/1/2042  |  | 458000 | 321449 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.5% 6/1/2041  |  | 8794000 | 6274323 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.7% 4/1/2051  |  | 712000 | 458193 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.85% 4/1/2061  |  | 515000 | 315058 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.9% 6/1/2052  |  | 1255000 | 823901 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.95% 6/30/2062  |  | 2082000 | 1280531 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 12/1/2061  |  | 916000 | 611949 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.8% 3/1/2050  |  | 488000 | 374994 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.05% 3/30/2029  |  | 2360000 | 2383097 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.25% 4/1/2053  |  | 1076000 | 872059 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/2047  |  | 26133000 | 21920631 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.75% 4/1/2048  |  | 895000 | 784296 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.85% 12/1/2035  |  | 455000 | 456034 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  |  | 4171000 | 4349217 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.384% 10/23/2035  |  | 392000 | 405034 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/2045  |  | 3015000 | 2888756 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  |  | 5679000 | 5989282 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.65% 2/1/2034  |  | 852000 | 901629 |
| Clear Channel Outdoor Holdings Inc 7.125% 2/15/2031 (b) |  | 625000 | 650505 |
| Clear Channel Outdoor Holdings Inc 7.875% 4/1/2030 (b) |  | 100000 | 105360 |
| Comcast Corp 1.95% 1/15/2031  |  | 119000 | 106015 |
| Comcast Corp 2.8% 1/15/2051  |  | 1480000 | 884042 |
| Comcast Corp 2.887% 11/1/2051  |  | 1104000 | 667963 |
| Comcast Corp 2.937% 11/1/2056  |  | 2015000 | 1169522 |
| Comcast Corp 2.987% 11/1/2063  |  | 1661000 | 926923 |
| Comcast Corp 3.45% 2/1/2050  |  | 123000 | 84443 |
| Comcast Corp 3.75% 4/1/2040  |  | 4161000 | 3478047 |
| Comcast Corp 3.9% 3/1/2038  |  | 435000 | 381989 |
| Comcast Corp 3.969% 11/1/2047  |  | 32000 | 24577 |
| Comcast Corp 3.999% 11/1/2049  |  | 3000 | 2266 |
| Comcast Corp 4% 3/1/2048  |  | 150000 | 115486 |
| Comcast Corp 4.25% 10/15/2030  |  | 435000 | 435943 |
| Comcast Corp 4.4% 8/15/2035  |  | 112000 | 107659 |
| Comcast Corp 5.3% 6/1/2034  |  | 240000 | 247874 |
| Comcast Corp 5.35% 5/15/2053  |  | 2467000 | 2274182 |
| Cox Enterprises Inc 7.375% 7/15/2027 (b) |  | 1945000 | 2023796 |
| CSC Holdings LLC 11.75% 1/31/2029 (b) |  | 2219000 | 1564209 |
| CSC Holdings LLC 5.375% 2/1/2028 (b) |  | 399000 | 289204 |
| CSC Holdings LLC 5.5% 4/15/2027 (b) |  | 1117000 | 963834 |
| CSC Holdings LLC 5.75% 1/15/2030 (b) |  | 538000 | 198743 |
| CSC Holdings LLC 6.5% 2/1/2029 (b) |  | 3048000 | 1914284 |
| Directv Financing LLC / Directv Financing Co-Obligor Inc 10% 2/15/2031 (b) |  | 100000 | 99333 |
| Directv Financing LLC / Directv Financing Co-Obligor Inc 5.875% 8/15/2027 (b) |  | 310000 | 310091 |
| Directv Financing LLC 8.875% 2/1/2030 (b) |  | 31000 | 30664 |
| Discovery Communications LLC 3.95% 3/20/2028  |  | 3108000 | 3044333 |
| DISH DBS Corp 5.125% 6/1/2029  |  | 975000 | 825208 |
| DISH DBS Corp 5.25% 12/1/2026 (b) |  | 526000 | 513867 |
| DISH DBS Corp 5.75% 12/1/2028 (b) |  | 53000 | 51215 |
| DISH DBS Corp 7.375% 7/1/2028  |  | 225000 | 209745 |
| DISH DBS Corp 7.75% 7/1/2026  |  | 2500000 | 2447526 |
| DISH Network Corp 11.75% 11/15/2027 (b) |  | 5358000 | 5594877 |
| EchoStar Corp 10.75% 11/30/2029  |  | 4804600 | 5297072 |
| EchoStar Corp 6.75% 11/30/2030 pay-in-kind (d) |  | 505000 | 524462 |
| Getty Images Inc 10.5% 11/15/2030 (b) |  | 415000 | 424021 |
| Gray Media Inc 10.5% 7/15/2029 (b) |  | 285000 | 307147 |
| Gray Media Inc 4.75% 10/15/2030 (b) |  | 61000 | 47071 |
| Gray Media Inc 5.375% 11/15/2031 (b) |  | 63000 | 47379 |
| Gray Media Inc 7.25% 8/15/2033 (b) |  | 220000 | 220381 |
| Gray Media Inc 9.625% 7/15/2032 (b) |  | 100000 | 103641 |
| iHeartCommunications Inc 10.875% 5/1/2030 (b) |  | 133088 | 109523 |
| iHeartCommunications Inc 7.75% 8/15/2030 (b) |  | 113030 | 96496 |
| iHeartCommunications Inc 9.125% 5/1/2029 (b) |  | 465193 | 430452 |
| Lamar Media Corp 3.75% 2/15/2028  |  | 27000 | 26465 |
| Lamar Media Corp 4% 2/15/2030  |  | 172000 | 166407 |
| Lamar Media Corp 4.875% 1/15/2029  |  | 250000 | 249492 |
| Lamar Media Corp 5.375% 11/1/2033 (b) |  | 130000 | 130142 |
| Nexstar Media Inc 4.75% 11/1/2028 (b) |  | 221000 | 219165 |
| Nexstar Media Inc 5.625% 7/15/2027 (b) |  | 984000 | 984767 |
| Outfront Media Capital LLC / Outfront Media Capital Corp 4.25% 1/15/2029 (b) |  | 280000 | 272044 |
| Outfront Media Capital LLC / Outfront Media Capital Corp 7.375% 2/15/2031 (b) |  | 80000 | 84780 |
| Paramount Global 2.9% 1/15/2027  |  | 1157000 | 1137335 |
| Paramount Global 3.375% 2/15/2028  |  | 190000 | 185652 |
| Paramount Global 3.7% 10/4/2026  |  | 273000 | 269692 |
| Paramount Global 4.6% 1/15/2045  |  | 676000 | 513598 |
| Paramount Global 4.9% 8/15/2044  |  | 43000 | 33598 |
| Paramount Global 4.95% 1/15/2031  |  | 770000 | 759778 |
| Paramount Global 5.25% 4/1/2044  |  | 54000 | 43725 |
| Paramount Global 5.85% 9/1/2043  |  | 189000 | 170007 |
| Paramount Global 6.25% 2/28/2057 (d) |  | 200000 | 194675 |
| Scripps Escrow II Inc 3.875% 1/15/2029 (b) |  | 359000 | 334090 |
| Sinclair Television Group Inc 4.375% 12/31/2032 (b) |  | 118000 | 91450 |
| Sinclair Television Group Inc 8.125% 2/15/2033 (b) |  | 260000 | 270860 |
| Sirius XM Radio LLC 4% 7/15/2028 (b) |  | 713000 | 695056 |
| Sirius XM Radio LLC 4.125% 7/1/2030 (b) |  | 720000 | 681743 |
| Sirius XM Radio LLC 5% 8/1/2027 (b) |  | 450000 | 450100 |
| Sirius XM Radio LLC 5.5% 7/1/2029 (b) |  | 798000 | 802106 |
| Stagwell Global LLC 5.625% 8/15/2029 (b) |  | 380000 | 369263 |
| TCA Cable TV Inc 1.8% 10/1/2030 (b) |  | 1840000 | 1611708 |
| TCA Cable TV Inc 5.45% 9/15/2028 (b) |  | 2525000 | 2600649 |
| TEGNA Inc 4.625% 3/15/2028  |  | 266000 | 262787 |
| TEGNA Inc 5% 9/15/2029  |  | 605000 | 599410 |
| Time Warner Cable LLC 5.5% 9/1/2041  |  | 5200000 | 4608878 |
| Time Warner Cable LLC 5.875% 11/15/2040  |  | 930000 | 863931 |
| Time Warner Cable LLC 6.55% 5/1/2037  |  | 8522000 | 8711795 |
| Time Warner Cable LLC 7.3% 7/1/2038  |  | 6393000 | 6805639 |
| Univision Communications Inc 7.375% 6/30/2030 (b) |  | 270000 | 273897 |
| Univision Communications Inc 8% 8/15/2028 (b) |  | 1610000 | 1661494 |
| Univision Communications Inc 8.5% 7/31/2031 (b) |  | 390000 | 403453 |
| Univision Communications Inc 9.375% 8/1/2032 (b) |  | 225000 | 238851 |
| Versant Media Group Inc 7.25% 1/30/2031 (b) |  | 12000 | 12329 |
| Warnermedia Holdings Inc 3.755% 3/15/2027  |  | 8213000 | 8125573 |
| Warnermedia Holdings Inc 4.279% 3/15/2032  |  | 405000 | 370069 |
| Warnermedia Holdings Inc 5.05% 3/15/2042  |  | 1180000 | 943847 |
| Warnermedia Holdings Inc 5.141% 3/15/2052  |  | 200000 | 149599 |
|  |  |  | 156507150 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| T-Mobile USA Inc 2.625% 4/15/2026  |  | 3800000 | 3780381 |
| T-Mobile USA Inc 3% 2/15/2041  |  | 3650000 | 2753721 |
| T-Mobile USA Inc 3.375% 4/15/2029  |  | 2445000 | 2383137 |
| T-Mobile USA Inc 3.4% 10/15/2052  |  | 520000 | 357577 |
| T-Mobile USA Inc 3.6% 11/15/2060  |  | 1136000 | 774907 |
| T-Mobile USA Inc 3.875% 4/15/2030  |  | 21448000 | 21127081 |
| T-Mobile USA Inc 4.7% 1/15/2035  |  | 2510000 | 2489799 |
| T-Mobile USA Inc 4.85% 1/15/2029  |  | 600000 | 613466 |
| T-Mobile USA Inc 4.95% 3/15/2028  |  | 800000 | 815376 |
| T-Mobile USA Inc 5.05% 7/15/2033  |  | 315000 | 323414 |
| T-Mobile USA Inc 5.125% 5/15/2032  |  | 1945000 | 2013543 |
| T-Mobile USA Inc 5.2% 1/15/2033  |  | 971000 | 1007259 |
| T-Mobile USA Inc 5.8% 9/15/2062  |  | 464000 | 468573 |
| T-Mobile USA Inc 6.7% 12/15/2033  |  | 202000 | 227886 |
|  |  |  | 39136120 |
| TOTAL COMMUNICATION SERVICES |  |  | 404857739 |
| Consumer Discretionary - 0.5% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Adient Global Holdings Ltd 7% 4/15/2028 (b) |  | 548000 | 562271 |
| Adient Global Holdings Ltd 7.5% 2/15/2033 (b) |  | 135000 | 139763 |
| American Axle & Manufacturing Inc 5% 10/1/2029  |  | 270000 | 258774 |
| American Axle & Manufacturing Inc 6.375% 10/15/2032 (b) |  | 100000 | 100613 |
| American Axle & Manufacturing Inc 6.875% 7/1/2028  |  | 216000 | 216913 |
| American Axle & Manufacturing Inc 7.75% 10/15/2033 (b) |  | 185000 | 186839 |
| Aptiv Swiss Holdings Ltd 5.15% 9/13/2034  |  | 225000 | 228057 |
| Aptiv Swiss Holdings Ltd 6.875% 12/15/2054 (d) |  | 245000 | 251565 |
| Clarios Global LP / Clarios US Finance Co 4.75% 6/15/2031 (e) | EUR | 100000 | 118177 |
| Clarios Global LP / Clarios US Finance Co 6.75% 9/15/2032 (b) |  | 130000 | 133715 |
| Clarios Global LP / Clarios US Finance Co 6.75% 2/15/2030 (b) |  | 530000 | 550924 |
| Clarios Global LP / Clarios US Finance Co 6.75% 5/15/2028 (b) |  | 205000 | 210290 |
| Cooper-Standard Automotive Inc 13.5% 3/31/2027 pay-in-kind (b)(d) |  | 202568 | 212348 |
| Cooper-Standard Automotive Inc 5.625% 5/15/2027 pay-in-kind (b)(d) |  | 143968 | 141311 |
| Dana Inc 5.625% 6/15/2028  |  | 652000 | 652300 |
| EquipmentShare.com Inc 9% 5/15/2028 (b) |  | 100000 | 102066 |
| Goodyear Tire & Rubber Co/The 5% 7/15/2029  |  | 380000 | 369183 |
| Goodyear Tire & Rubber Co/The 5.25% 4/30/2031  |  | 517000 | 493484 |
| Goodyear Tire & Rubber Co/The 5.25% 7/15/2031  |  | 127000 | 119989 |
| Goodyear Tire & Rubber Co/The 5.625% 4/30/2033  |  | 100000 | 94190 |
| Hertz Corp/The 4.625% 12/1/2026 (b) |  | 372000 | 362297 |
| Patrick Industries Inc 6.375% 11/1/2032 (b) |  | 250000 | 256047 |
| Phinia Inc 6.75% 4/15/2029 (b) |  | 540000 | 557278 |
| Tenneco Inc 8% 11/17/2028 (b) |  | 3475000 | 3473997 |
|  |  |  | 9792391 |
| Automobiles - 0.1% |  |  |  |
| American Honda Finance Corp 5.05% 8/20/2031  | GBP | 305000 | 407557 |
| American Honda Finance Corp U.S. SOFR Index + 0.73%, 4.6862% 8/13/2027 (c)(d) |  | 10100000 | 10122944 |
| Ford Motor Co 3.25% 2/12/2032  |  | 1675000 | 1471349 |
| Ford Motor Co 4.75% 1/15/2043  |  | 340000 | 273641 |
| Ford Motor Co 9.625% 4/22/2030  |  | 481000 | 558271 |
| General Motors Co 5.35% 4/15/2028  |  | 3190000 | 3271124 |
| General Motors Co 5.95% 4/1/2049  |  | 10000 | 9813 |
| General Motors Co 6.25% 10/2/2043  |  | 525000 | 539059 |
| General Motors Co 6.6% 4/1/2036  |  | 775000 | 848201 |
| General Motors Co 6.75% 4/1/2046  |  | 465000 | 504294 |
| General Motors Financial Co Inc 2.4% 10/15/2028  |  | 2200000 | 2096892 |
| General Motors Financial Co Inc 2.4% 4/10/2028  |  | 1895000 | 1818384 |
| General Motors Financial Co Inc 5.05% 4/4/2028  |  | 4804000 | 4890782 |
| General Motors Financial Co Inc 5.4% 5/8/2027  |  | 795000 | 808076 |
| General Motors Financial Co Inc 5.45% 9/6/2034  |  | 275000 | 280316 |
| General Motors Financial Co Inc 5.85% 4/6/2030  |  | 2471000 | 2602161 |
| General Motors Financial Co Inc 5.9% 1/7/2035  |  | 355000 | 371501 |
| General Motors Financial Co Inc 5.95% 4/4/2034  |  | 275000 | 289459 |
| Hyundai Capital America 1.5% 6/15/2026 (b) |  | 367000 | 361743 |
| Hyundai Capital America 2.1% 9/15/2028 (b) |  | 1595000 | 1505366 |
| Hyundai Capital America 3% 2/10/2027 (b) |  | 252000 | 248484 |
| Hyundai Capital America 4.55% 9/26/2029 (b) |  | 2700000 | 2713814 |
| Hyundai Capital America 4.875% 11/1/2027 (b) |  | 4000000 | 4049782 |
| Hyundai Capital America 5.4% 6/23/2032 (b) |  | 3340000 | 3467747 |
| Hyundai Capital America U.S. SOFR Index + 1.04%, 5.1614% 6/24/2027 (b)(c)(d) |  | 3300000 | 3312222 |
| Hyundai Capital America U.S. SOFR Index + 1.04%, 5.1684% 3/19/2027 (b)(c)(d) |  | 250000 | 250892 |
| Nissan Motor Acceptance Co LLC 2.45% 9/15/2028 (b) |  | 20000 | 18379 |
| Nissan Motor Acceptance Co LLC 5.55% 9/13/2029 (b) |  | 40000 | 39661 |
| Nissan Motor Acceptance Co LLC 5.625% 9/29/2028 (b) |  | 68000 | 67827 |
| Nissan Motor Acceptance Co LLC 6.125% 9/30/2030 (b) |  | 260000 | 257673 |
| Nissan Motor Acceptance Co LLC 7.05% 9/15/2028 (b) |  | 200000 | 206330 |
| Nissan Motor Acceptance Co LLC U.S. SOFR Averages Index + 2.05%, 6.205% 9/13/2027 (b)(c)(d) |  | 8800000 | 8769528 |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC 10% 1/15/2031 (b) |  | 125000 | 119767 |
| Stellantis Finance US Inc 5.75% 3/18/2030 (b) |  | 340000 | 349138 |
| Thor Industries Inc 4% 10/15/2029 (b) |  | 200000 | 191411 |
|  |  |  | 57093588 |
| Broadline Retail - 0.0% |  |  |  |
| Amazon.com Inc 2.5% 6/3/2050  |  | 250000 | 154226 |
| Amazon.com Inc 3.95% 4/13/2052  |  | 1279000 | 1028641 |
| Amazon.com Inc 4.65% 11/20/2035  |  | 1825000 | 1841285 |
| Amazon.com Inc 5.55% 11/20/2065  |  | 985000 | 989611 |
| Kohl's Corp 5.125% 5/1/2031  |  | 100000 | 85886 |
| Macy's Retail Holdings LLC 7.375% 8/1/2033 (b) |  | 125000 | 131522 |
| Match Group Holdings II LLC 3.625% 10/1/2031 (b) |  | 200000 | 183030 |
| Match Group Holdings II LLC 4.125% 8/1/2030 (b) |  | 110000 | 104174 |
| Match Group Holdings II LLC 4.625% 6/1/2028 (b) |  | 100000 | 99020 |
| Nordstrom Inc 4.375% 4/1/2030  |  | 453000 | 425813 |
| Shutterfly Finance LLC 8.5% 10/1/2027 pay-in-kind (b)(d) |  | 41774 | 39790 |
| Shutterfly Finance LLC 9.75% 10/1/2027 (b) |  | 4660 | 4659 |
| Wayfair LLC 6.75% 11/15/2032 (b) |  | 80000 | 81628 |
| Wayfair LLC 7.25% 10/31/2029 (b) |  | 540000 | 561733 |
| Wayfair LLC 7.75% 9/15/2030 (b) |  | 645000 | 687426 |
|  |  |  | 6418444 |
| Distributors - 0.0% |  |  |  |
| American Builders & Contractors Supply Co Inc 3.875% 11/15/2029 (b) |  | 80000 | 76575 |
| American Builders & Contractors Supply Co Inc 4% 1/15/2028 (b) |  | 282000 | 278960 |
| Genuine Parts Co 4.95% 8/15/2029  |  | 765000 | 776767 |
|  |  |  | 1132302 |
| Diversified Consumer Services - 0.1% |  |  |  |
| Adtalem Global Education Inc 5.5% 3/1/2028 (b) |  | 445000 | 443996 |
| California Institute of Technology 3.65% 9/1/2119  |  | 535000 | 348612 |
| ERAC USA Finance LLC 3.3% 12/1/2026 (b) |  | 8865000 | 8810555 |
| Grand Canyon University 5.125% 10/1/2028  |  | 280000 | 276920 |
| Massachusetts Institute of Technology 2.989% 7/1/2050  |  | 865000 | 596742 |
| Massachusetts Institute of Technology 3.959% 7/1/2038  |  | 2125000 | 2000376 |
| Massachusetts Institute of Technology 5.6% 7/1/2111  |  | 400000 | 406522 |
| President and Fellows of Harvard College 3.15% 7/15/2046  |  | 315000 | 235016 |
| President and Fellows of Harvard College 3.3% 7/15/2056  |  | 190000 | 133603 |
| Service Corp International/US 3.375% 8/15/2030  |  | 100000 | 93709 |
| Service Corp International/US 4% 5/15/2031  |  | 255000 | 243444 |
| Service Corp International/US 5.125% 6/1/2029  |  | 600000 | 601574 |
| Service Corp International/US 5.75% 10/15/2032  |  | 910000 | 928578 |
| Sotheby's 7.375% 10/15/2027 (b) |  | 460000 | 457971 |
| Trustees of the University of Pennsylvania/The 2.396% 10/1/2050  |  | 495000 | 297700 |
| Trustees of the University of Pennsylvania/The 3.61% 2/15/2119  |  | 285000 | 184570 |
| University of Southern California 3.841% 10/1/2047  |  | 815000 | 667375 |
| University of Southern California 4.976% 10/1/2053  |  | 572000 | 541454 |
| Washington University/The 3.524% 4/15/2054  |  | 2930000 | 2180101 |
| Washington University/The 4.349% 4/15/2122  |  | 2340000 | 1803225 |
| Yale University 2.402% 4/15/2050  |  | 2140000 | 1311427 |
|  |  |  | 22563470 |
| Hotels, Restaurants & Leisure - 0.2% |  |  |  |
| Acushnet Co 5.625% 12/1/2033 (b) |  | 85000 | 85660 |
| Aramark Services Inc 5% 2/1/2028 (b) |  | 1490000 | 1490890 |
| BCPE Flavor Debt Merger Sub LLC and BCPE Flavor Issuer Inc 9.5% 7/1/2032 (b) |  | 305000 | 297477 |
| Boyd Gaming Corp 4.75% 12/1/2027  |  | 165000 | 164680 |
| Boyne USA Inc 4.75% 5/15/2029 (b) |  | 325000 | 319828 |
| Brightstar Lottery PLC 6.25% 1/15/2027 (b) |  | 200000 | 201799 |
| Brinker International Inc 8.25% 7/15/2030 (b) |  | 1475000 | 1564901 |
| Caesars Entertainment Inc 4.625% 10/15/2029 (b) |  | 950000 | 899089 |
| Caesars Entertainment Inc 6% 10/15/2032 (b) |  | 80000 | 76322 |
| Caesars Entertainment Inc 6.5% 2/15/2032 (b) |  | 1679000 | 1707798 |
| Caesars Entertainment Inc 7% 2/15/2030 (b) |  | 2625000 | 2717408 |
| Carnival Corp 4% 8/1/2028 (b) |  | 675000 | 663370 |
| Carnival Corp 5.125% 5/1/2029 (b) |  | 1040000 | 1048702 |
| Carnival Corp 5.75% 3/15/2030 (b) |  | 850000 | 873602 |
| Carnival Corp 5.75% 8/1/2032 (b) |  | 2325000 | 2383388 |
| Carnival Corp 5.875% 6/15/2031 (b) |  | 865000 | 890648 |
| Carnival Corp 6.125% 2/15/2033 (b) |  | 720000 | 741664 |
| Churchill Downs Inc 4.75% 1/15/2028 (b) |  | 170000 | 169240 |
| Churchill Downs Inc 5.5% 4/1/2027 (b) |  | 340000 | 340625 |
| Churchill Downs Inc 6.75% 5/1/2031 (b) |  | 155000 | 159868 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc 4.625% 1/15/2029 (b) |  | 725000 | 698287 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc 6.75% 1/15/2030 (b) |  | 505000 | 470986 |
| Hilton Domestic Operating Co Inc 3.625% 2/15/2032 (b) |  | 462000 | 429329 |
| Hilton Domestic Operating Co Inc 3.75% 5/1/2029 (b) |  | 355000 | 344425 |
| Hilton Domestic Operating Co Inc 4% 5/1/2031 (b) |  | 911000 | 870077 |
| Hilton Domestic Operating Co Inc 4.875% 1/15/2030  |  | 73000 | 73160 |
| Hilton Domestic Operating Co Inc 5.75% 5/1/2028 (b) |  | 25000 | 25071 |
| Hilton Domestic Operating Co Inc 5.75% 9/15/2033 (b) |  | 270000 | 276747 |
| Hilton Domestic Operating Co Inc 5.875% 3/15/2033 (b) |  | 1205000 | 1242530 |
| Hilton Domestic Operating Co Inc 5.875% 4/1/2029 (b) |  | 345000 | 353336 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 5% 6/1/2029 (b) |  | 130000 | 124908 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 6.625% 1/15/2032 (b) |  | 275000 | 280087 |
| Hyatt Hotels Corp 5.05% 3/30/2028  |  | 5900000 | 6002815 |
| Hyatt Hotels Corp 5.25% 6/30/2029  |  | 1900000 | 1955325 |
| Hyatt Hotels Corp 5.75% 1/30/2027  |  | 1245000 | 1264170 |
| Hyatt Hotels Corp 5.75% 4/23/2030  |  | 3300000 | 3451589 |
| Jacobs Entertainment Inc 6.75% 2/15/2029 (b) |  | 775000 | 745318 |
| Las Vegas Sands Corp 5.625% 6/15/2028  |  | 1760000 | 1800215 |
| Las Vegas Sands Corp 5.9% 6/1/2027  |  | 1000000 | 1018418 |
| Las Vegas Sands Corp 6% 8/15/2029  |  | 2860000 | 2991341 |
| Life Time Inc 6% 11/15/2031 (b) |  | 285000 | 290638 |
| Light & Wonder International Inc 7.5% 9/1/2031 (b) |  | 100000 | 104781 |
| Marriott International Inc/MD 3.125% 6/15/2026  |  | 1390000 | 1383397 |
| Marriott International Inc/MD 4.8% 3/15/2030  |  | 3400000 | 3475629 |
| Marriott International Inc/MD 4.9% 4/15/2029  |  | 925000 | 946754 |
| Marriott International Inc/MD 5.5% 4/15/2037  |  | 3410000 | 3522108 |
| McDonald's Corp 3.5% 5/21/2032 (e) | EUR | 210000 | 246674 |
| McDonald's Corp 3.625% 9/1/2049  |  | 500000 | 374931 |
| McDonald's Corp 4.7% 12/9/2035  |  | 2880000 | 2890358 |
| McDonald's Corp 4.95% 3/3/2035  |  | 1575000 | 1609694 |
| McDonald's Corp 5.15% 9/9/2052  |  | 489000 | 462909 |
| MGM Resorts International 4.625% 9/1/2026  |  | 630000 | 629136 |
| MGM Resorts International 5.5% 4/15/2027  |  | 2225000 | 2240558 |
| MGM Resorts International 6.125% 9/15/2029  |  | 420000 | 429350 |
| MGM Resorts International 6.5% 4/15/2032  |  | 1860000 | 1909154 |
| Mohegan Tribal Gaming Authority / MS Digital Entertainment Holdings LLC 11.875% 4/15/2031 (b) |  | 100000 | 104578 |
| NCL Corp Ltd 5.875% 1/15/2031 (b) |  | 130000 | 128290 |
| NCL Corp Ltd 6.75% 2/1/2032 (b) |  | 605000 | 614015 |
| Papa John's International Inc 3.875% 9/15/2029 (b) |  | 340000 | 326417 |
| Premier Entertainment Sub LLC / Premier Entertainment Finance Corp 5.875% 9/1/2031 (b) |  | 875000 | 437500 |
| Royal Caribbean Cruises Ltd 3.7% 3/15/2028  |  | 189000 | 186487 |
| Royal Caribbean Cruises Ltd 5.375% 1/15/2036  |  | 370000 | 374031 |
| Royal Caribbean Cruises Ltd 5.5% 4/1/2028 (b) |  | 3845000 | 3913127 |
| Royal Caribbean Cruises Ltd 5.625% 9/30/2031 (b) |  | 1230000 | 1257135 |
| Royal Caribbean Cruises Ltd 6% 2/1/2033 (b) |  | 770000 | 792805 |
| Royal Caribbean Cruises Ltd 6.25% 3/15/2032 (b) |  | 9929000 | 10274024 |
| Six Flags Entertainment Corp / Canada's Wonderland Co / Magnum Management Corp 5.25% 7/15/2029  |  | 281000 | 260678 |
| Six Flags Entertainment Corp / Canada's Wonderland Co / Magnum Management Corp 6.5% 10/1/2028  |  | 160000 | 155223 |
| Six Flags Entertainment Corp /Six Flags Theme Parks Inc/ Canada's Wonderland Co 6.625% 5/1/2032 (b) |  | 165000 | 164597 |
| Six Flags Entertainment Corp 5.5% 4/15/2027 (b) |  | 192000 | 189541 |
| Six Flags Entertainment Corp 7.25% 5/15/2031 (b) |  | 275000 | 262222 |
| Station Casinos LLC 4.5% 2/15/2028 (b) |  | 442000 | 437197 |
| Vail Resorts Inc 6.5% 5/15/2032 (b) |  | 500000 | 519752 |
| Viking Cruises Ltd 5.875% 10/15/2033 (b) |  | 1150000 | 1168644 |
| VOC Escrow Ltd 5% 2/15/2028 (b) |  | 1400000 | 1399751 |
| Voyager Parent LLC 9.25% 7/1/2032 (b) |  | 1633000 | 1730417 |
| Wyndham Hotels & Resorts Inc 4.375% 8/15/2028 (b) |  | 255000 | 250961 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 5.125% 10/1/2029 (b) |  | 920000 | 924617 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 6.25% 3/15/2033 (b) |  | 265000 | 270975 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 7.125% 2/15/2031 (b) |  | 1170000 | 1263998 |
| Yum! Brands Inc 3.625% 3/15/2031  |  | 490000 | 464520 |
| Yum! Brands Inc 4.625% 1/31/2032  |  | 520000 | 512013 |
| Yum! Brands Inc 5.375% 4/1/2032  |  | 100000 | 101483 |
|  |  |  | 90216162 |
| Household Durables - 0.0% |  |  |  |
| Century Communities Inc 3.875% 8/15/2029 (b) |  | 235000 | 223255 |
| Century Communities Inc 6.625% 9/15/2033 (b) |  | 130000 | 131826 |
| LGI Homes Inc 7% 11/15/2032 (b) |  | 420000 | 411463 |
| LGI Homes Inc 8.75% 12/15/2028 (b) |  | 95000 | 98974 |
| Newell Brands Inc 6.375% 5/15/2030  |  | 710000 | 682291 |
| Newell Brands Inc 6.625% 5/15/2032  |  | 360000 | 338991 |
| Newell Brands Inc 6.625% 9/15/2029  |  | 331000 | 325762 |
| Newell Brands Inc 6.875% 4/1/2036 (g) |  | 271000 | 251573 |
| Newell Brands Inc 8.5% 6/1/2028 (b) |  | 465000 | 484054 |
| Somnigroup International Inc 3.875% 10/15/2031 (b) |  | 135000 | 126308 |
| Somnigroup International Inc 4% 4/15/2029 (b) |  | 1006000 | 979544 |
| SWF Holdings I Corp 6.5% 10/1/2029 (b) |  | 850000 | 297500 |
| Toll Brothers Finance Corp 4.875% 3/15/2027  |  | 6350000 | 6391063 |
| TopBuild Corp 4.125% 2/15/2032 (b) |  | 530000 | 505340 |
| TopBuild Corp 5.625% 1/31/2034 (b) |  | 1600000 | 1621843 |
| Whirlpool Corp 6.125% 6/15/2030  |  | 315000 | 318167 |
| Whirlpool Corp 6.5% 6/15/2033  |  | 315000 | 313027 |
|  |  |  | 13500981 |
| Specialty Retail - 0.1% |  |  |  |
| Asbury Automotive Group Inc 4.5% 3/1/2028  |  | 118000 | 117410 |
| Asbury Automotive Group Inc 4.625% 11/15/2029 (b) |  | 410000 | 402168 |
| Asbury Automotive Group Inc 4.75% 3/1/2030  |  | 36000 | 35342 |
| Asbury Automotive Group Inc 5% 2/15/2032 (b) |  | 215000 | 209256 |
| AutoNation Inc 4.75% 6/1/2030  |  | 953000 | 962640 |
| AutoZone Inc 1.65% 1/15/2031  |  | 505000 | 442586 |
| AutoZone Inc 3.75% 4/18/2029  |  | 1400000 | 1381035 |
| AutoZone Inc 4% 4/15/2030  |  | 7024000 | 6968069 |
| AutoZone Inc 6.25% 11/1/2028  |  | 440000 | 466343 |
| Bath & Body Works Inc 6.625% 10/1/2030 (b) |  | 330000 | 335332 |
| Bath & Body Works Inc 6.75% 7/1/2036  |  | 200000 | 197856 |
| Bath & Body Works Inc 6.875% 11/1/2035  |  | 297000 | 297293 |
| Bath & Body Works Inc 7.5% 6/15/2029  |  | 617000 | 627680 |
| Carvana Co 9% 6/1/2030 pay-in-kind (b)(d) |  | 2875000 | 3014616 |
| Carvana Co 9% 6/1/2031 pay-in-kind (b)(d) |  | 1391000 | 1564416 |
| Gap Inc/The 3.625% 10/1/2029 (b) |  | 378000 | 358562 |
| Gap Inc/The 3.875% 10/1/2031 (b) |  | 1225000 | 1136199 |
| Group 1 Automotive Inc 4% 8/15/2028 (b) |  | 150000 | 146938 |
| Group 1 Automotive Inc 6.375% 1/15/2030 (b) |  | 370000 | 380097 |
| Home Depot Inc/The 1.875% 9/15/2031  |  | 178000 | 157051 |
| Home Depot Inc/The 3.5% 9/15/2056  |  | 152000 | 108494 |
| Home Depot Inc/The 3.625% 4/15/2052  |  | 400000 | 298683 |
| Home Depot Inc/The 4.25% 4/1/2046  |  | 140000 | 120786 |
| Home Depot Inc/The 4.95% 6/25/2034  |  | 750000 | 771870 |
| LBM Acquisition LLC 9.5% 6/15/2031 (b) |  | 130000 | 133994 |
| LCM Investments Holdings II LLC 8.25% 8/1/2031 (b) |  | 100000 | 105504 |
| Lithia Motors Inc 3.875% 6/1/2029 (b) |  | 1795000 | 1729329 |
| Lithia Motors Inc 4.375% 1/15/2031 (b) |  | 53000 | 50867 |
| Lithia Motors Inc 4.625% 12/15/2027 (b) |  | 11000 | 10987 |
| Lowe's Cos Inc 3.75% 4/1/2032  |  | 1904000 | 1829768 |
| Michaels Cos Inc/The 5.25% 5/1/2028 (b) |  | 643000 | 605878 |
| Michaels Cos Inc/The 7.875% 5/1/2029 (b) |  | 115000 | 104392 |
| O'Reilly Automotive Inc 1.75% 3/15/2031  |  | 938000 | 822399 |
| Penske Automotive Group Inc 3.75% 6/15/2029  |  | 312000 | 301658 |
| Sally Holdings LLC / Sally Capital Inc 6.75% 3/1/2032  |  | 645000 | 674705 |
| Sonic Automotive Inc 4.625% 11/15/2029 (b) |  | 298000 | 291366 |
| Sonic Automotive Inc 4.875% 11/15/2031 (b) |  | 100000 | 96245 |
| Upbound Group Inc 6.375% 2/15/2029 (b) |  | 300000 | 292942 |
| Wand NewCo 3 Inc 7.625% 1/30/2032 (b) |  | 515000 | 542670 |
| White Cap Supply Holdings LLC 7.375% 11/15/2030 (b) |  | 110000 | 112190 |
|  |  |  | 28205616 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |  |
| Crocs Inc 4.125% 8/15/2031 (b) |  | 250000 | 230473 |
| Levi Strauss & Co 3.5% 3/1/2031 (b) |  | 170000 | 158444 |
| Tapestry Inc 3.05% 3/15/2032  |  | 14311000 | 13016384 |
| VF Corp 4.25% 3/7/2029  | EUR | 200000 | 231225 |
|  |  |  | 13636526 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 242559480 |
| Consumer Staples - 0.3% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Constellation Brands Inc 2.25% 8/1/2031  |  | 3460000 | 3068332 |
| Constellation Brands Inc 3.7% 12/6/2026  |  | 1200000 | 1196598 |
| Constellation Brands Inc 4.65% 11/15/2028  |  | 292000 | 296254 |
| Molson Coors Beverage Co 4.2% 7/15/2046  |  | 92000 | 75337 |
| PepsiCo Inc 2.75% 10/21/2051  |  | 360000 | 231805 |
| PepsiCo Inc 3.6% 8/13/2042  |  | 580000 | 478975 |
|  |  |  | 5347301 |
| Consumer Staples Distribution & Retail - 0.1% |  |  |  |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 3.5% 3/15/2029 (b) |  | 609000 | 583862 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 4.625% 1/15/2027 (b) |  | 990000 | 989263 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 4.875% 2/15/2030 (b) |  | 579000 | 574639 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 5.5% 3/31/2031 (b) |  | 280000 | 283826 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 5.75% 3/31/2034 (b) |  | 430000 | 433468 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 5.875% 2/15/2028 (b) |  | 217000 | 217337 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 6.25% 3/15/2033 (b) |  | 125000 | 129439 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 6.5% 2/15/2028 (b) |  | 1110000 | 1129892 |
| Aramark International Finance Sarl 4.375% 4/15/2033 (e) | EUR | 100000 | 115777 |
| C&S Group Enterprises LLC 5% 12/15/2028 (b) |  | 100000 | 92882 |
| KeHE Distributors LLC / KeHE Finance Corp / NextWave Distribution Inc 9% 2/15/2029 (b) |  | 370000 | 386549 |
| Kroger Co/The 2.65% 10/15/2026  |  | 430000 | 424887 |
| Mars Inc 4.8% 3/1/2030 (b) |  | 5860000 | 6002874 |
| Mars Inc 5% 3/1/2032 (b) |  | 18060000 | 18664410 |
| Mars Inc 5.2% 3/1/2035 (b) |  | 9843000 | 10183737 |
| Mars Inc 5.65% 5/1/2045 (b) |  | 305000 | 312085 |
| Performance Food Group Inc 4.25% 8/1/2029 (b) |  | 485000 | 476191 |
| Performance Food Group Inc 5.5% 10/15/2027 (b) |  | 157000 | 156990 |
| Performance Food Group Inc 6.125% 9/15/2032 (b) |  | 370000 | 380653 |
| US Foods Inc 4.625% 6/1/2030 (b) |  | 55000 | 54277 |
| US Foods Inc 4.75% 2/15/2029 (b) |  | 100000 | 99534 |
| US Foods Inc 5.75% 4/15/2033 (b) |  | 595000 | 605710 |
| US Foods Inc 7.25% 1/15/2032 (b) |  | 110000 | 115896 |
|  |  |  | 42414178 |
| Food Products - 0.1% |  |  |  |
| B&G Foods Inc 5.25% 9/15/2027  |  | 2225000 | 2173039 |
| Bunge Ltd Finance Corp 2.75% 5/14/2031  |  | 310000 | 285930 |
| Bunge Ltd Finance Corp 3.2% 4/21/2031  |  | 200000 | 188466 |
| Campbell's Company/The 5.3% 3/20/2026  |  | 200000 | 200646 |
| Chobani LLC / Chobani Finance Corp Inc 7.625% 7/1/2029 (b) |  | 100000 | 104338 |
| Darling Ingredients Inc 5.25% 4/15/2027 (b) |  | 282000 | 282064 |
| Darling Ingredients Inc 6% 6/15/2030 (b) |  | 465000 | 472201 |
| Fiesta Purchaser Inc 7.875% 3/1/2031 (b) |  | 105000 | 110451 |
| Fiesta Purchaser Inc 9.625% 9/15/2032 (b) |  | 245000 | 262391 |
| JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co 5.5% 1/15/2036 (b) |  | 2040000 | 2088149 |
| JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co 6.25% 3/1/2056 (b) |  | 994000 | 1007239 |
| JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co 6.375% 4/15/2066 (b) |  | 210000 | 213689 |
| JBS USA LUX Sarl / JBS USA Food Co / JBS USA Foods Group 5.95% 4/20/2035 (b) |  | 1275000 | 1347726 |
| Lamb Weston Holdings Inc 4.125% 1/31/2030 (b) |  | 570000 | 552973 |
| Lamb Weston Holdings Inc 4.375% 1/31/2032 (b) |  | 1308000 | 1251932 |
| Lamb Weston Holdings Inc 4.875% 5/15/2028 (b) |  | 125000 | 125065 |
| Mondelez International Inc 4.625% 7/3/2031  | CAD | 4100000 | 3067692 |
| Pilgrim's Pride Corp 3.5% 3/1/2032  |  | 3345000 | 3093742 |
| Pilgrim's Pride Corp 4.25% 4/15/2031  |  | 3070000 | 2990421 |
| Post Holdings Inc 4.625% 4/15/2030 (b) |  | 456000 | 444151 |
| Post Holdings Inc 5.5% 12/15/2029 (b) |  | 1365000 | 1365236 |
| Post Holdings Inc 6.25% 2/15/2032 (b) |  | 115000 | 118745 |
| Tyson Foods Inc 3.55% 6/2/2027  |  | 635000 | 629548 |
| Tyson Foods Inc 4.35% 3/1/2029  |  | 1290000 | 1293588 |
|  |  |  | 23669422 |
| Household Products - 0.0% |  |  |  |
| Central Garden & Pet Co 4.125% 10/15/2030  |  | 231000 | 221400 |
| Central Garden & Pet Co 4.125% 4/30/2031 (b) |  | 296000 | 279435 |
| Central Garden & Pet Co 5.125% 2/1/2028  |  | 15000 | 14985 |
| Energizer Holdings Inc 4.375% 3/31/2029 (b) |  | 233000 | 221666 |
| Energizer Holdings Inc 4.75% 6/15/2028 (b) |  | 165000 | 162947 |
| Resideo Funding Inc 6.5% 7/15/2032 (b) |  | 355000 | 363433 |
| Spectrum Brands Inc 3.875% 3/15/2031 (b) |  | 254000 | 207007 |
|  |  |  | 1470873 |
| Personal Care Products - 0.0% |  |  |  |
| BellRing Brands Inc 7% 3/15/2030 (b) |  | 240000 | 247557 |
| Edgewell Personal Care Co 5.5% 6/1/2028 (b) |  | 348000 | 347270 |
| Kenvue Inc 5.1% 3/22/2043  |  | 140000 | 135944 |
|  |  |  | 730771 |
| Tobacco - 0.1% |  |  |  |
| Altria Group Inc 2.45% 2/4/2032  |  | 157000 | 139161 |
| Altria Group Inc 3.4% 2/4/2041  |  | 2030000 | 1582208 |
| Altria Group Inc 3.875% 9/16/2046  |  | 551000 | 420801 |
| Altria Group Inc 4.25% 8/9/2042  |  | 490000 | 416182 |
| Altria Group Inc 4.5% 8/6/2030  |  | 390000 | 392948 |
| Altria Group Inc 5.25% 8/6/2035  |  | 410000 | 417581 |
| Altria Group Inc 5.625% 2/6/2035  |  | 1732000 | 1806603 |
| Altria Group Inc 6.2% 2/14/2059  |  | 86000 | 87917 |
| Philip Morris International Inc 2.1% 5/1/2030  |  | 2500000 | 2291005 |
| Philip Morris International Inc 2.75% 2/25/2026  |  | 3925000 | 3912560 |
| Philip Morris International Inc 2.75% 6/6/2029  | EUR | 2600000 | 3002381 |
| Philip Morris International Inc 3.25% 6/6/2032  | EUR | 860000 | 991217 |
| Philip Morris International Inc 3.75% 1/15/2031  | EUR | 2400000 | 2866461 |
| Philip Morris International Inc 3.875% 8/21/2042  |  | 830000 | 692590 |
| Philip Morris International Inc 4% 10/29/2030  |  | 1675000 | 1659942 |
| Philip Morris International Inc 4.375% 11/15/2041  |  | 442000 | 396632 |
| Philip Morris International Inc 4.75% 11/1/2031  |  | 3000000 | 3067231 |
| Philip Morris International Inc 4.875% 2/15/2028  |  | 145000 | 147768 |
| Philip Morris International Inc 5.125% 2/13/2031  |  | 1240000 | 1289016 |
| Philip Morris International Inc 5.125% 2/15/2030  |  | 7455000 | 7725626 |
| Philip Morris International Inc 5.25% 2/13/2034  |  | 962000 | 998936 |
| Philip Morris International Inc 5.25% 9/7/2028  |  | 485000 | 500502 |
| Philip Morris International Inc 5.375% 2/15/2033  |  | 1352000 | 1417132 |
| Philip Morris International Inc 5.625% 11/17/2029  |  | 6284000 | 6621416 |
|  |  |  | 42843816 |
| TOTAL CONSUMER STAPLES |  |  | 116476361 |
| Energy - 1.1% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Archrock Partners LP / Archrock Partners Finance Corp 6.25% 4/1/2028 (b) |  | 265000 | 266627 |
| Archrock Partners LP / Archrock Partners Finance Corp 6.625% 9/1/2032 (b) |  | 975000 | 1003981 |
| Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc 4.08% 12/15/2047  |  | 56000 | 45275 |
| Baker Hughes Holdings LLC 5.125% 9/15/2040  |  | 26000 | 25746 |
| Diamond Foreign Asset Co / Diamond Finance LLC 8.5% 10/1/2030 (b) |  | 250000 | 265929 |
| Halliburton Co 4.75% 8/1/2043  |  | 7000 | 6258 |
| Kodiak Gas Services LLC 6.5% 10/1/2033 (b) |  | 190000 | 193810 |
| Kodiak Gas Services LLC 6.75% 10/1/2035 (b) |  | 155000 | 159260 |
| Kodiak Gas Services LLC 7.25% 2/15/2029 (b) |  | 450000 | 469176 |
| Nabors Industries Ltd 7.5% 1/15/2028 (b) |  | 140000 | 140181 |
| Noble Finance II LLC 8% 4/15/2030 (b) |  | 280000 | 290886 |
| Nustar Logistics LP 5.625% 4/28/2027  |  | 68000 | 68695 |
| Nustar Logistics LP 6.375% 10/1/2030  |  | 194000 | 203231 |
| Schlumberger Holdings Corp 3.9% 5/17/2028 (b) |  | 172000 | 171785 |
| Transocean International Ltd 7.875% 10/15/2032 (b) |  | 35000 | 36484 |
| Transocean International Ltd 8.25% 5/15/2029 (b) |  | 705000 | 717138 |
| Transocean International Ltd 8.75% 2/15/2030 (b) |  | 131250 | 136842 |
| USA Compression Partners LP / USA Compression Finance Corp 6.25% 10/1/2033 (b) |  | 156000 | 157399 |
| USA Compression Partners LP / USA Compression Finance Corp 7.125% 3/15/2029 (b) |  | 100000 | 103946 |
| Valaris Ltd 8.375% 4/30/2030 (b) |  | 455000 | 474685 |
| WBI Operating LLC 6.25% 10/15/2030 (b) |  | 170000 | 170068 |
| WBI Operating LLC 6.5% 10/15/2033 (b) |  | 170000 | 169918 |
|  |  |  | 5277320 |
| Oil, Gas & Consumable Fuels - 1.1% |  |  |  |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.375% 6/15/2029 (b) |  | 210000 | 210692 |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.75% 1/15/2028 (b) |  | 465000 | 465552 |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.75% 10/15/2033 (b) |  | 170000 | 170840 |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 6.625% 2/1/2032 (b) |  | 615000 | 637476 |
| Antero Resources Corp 5.375% 3/1/2030 (b) |  | 3238000 | 3267786 |
| Antero Resources Corp 7.625% 2/1/2029 (b) |  | 3251000 | 3303016 |
| APA Corp 4.25% 1/15/2030  |  | 205000 | 201250 |
| APA Corp 5.25% 2/1/2042  |  | 73000 | 61244 |
| Ascent Resources Utica Holdings LLC / ARU Finance Corp 6.625% 10/15/2032 (b) |  | 790000 | 808059 |
| Blue Racer Midstream LLC / Blue Racer Finance Corp 6.625% 7/15/2026 (b) |  | 215000 | 215659 |
| Blue Racer Midstream LLC / Blue Racer Finance Corp 7% 7/15/2029 (b) |  | 240000 | 250308 |
| Buckeye Partners LP 4.125% 12/1/2027  |  | 379000 | 374856 |
| Buckeye Partners LP 4.5% 3/1/2028 (b) |  | 150000 | 149203 |
| Buckeye Partners LP 6.875% 7/1/2029 (b) |  | 220000 | 229165 |
| California Resources Corp 8.25% 6/15/2029 (b) |  | 185000 | 193561 |
| Cheniere Corpus Christi Holdings LLC 2.742% 12/31/2039  |  | 1499000 | 1274617 |
| Cheniere Corpus Christi Holdings LLC 3.7% 11/15/2029  |  | 1664000 | 1626831 |
| Cheniere Energy Inc 4.625% 10/15/2028  |  | 895000 | 895002 |
| Cheniere Energy Inc 5.65% 4/15/2034  |  | 3864000 | 4029882 |
| Cheniere Energy Partners LP 3.25% 1/31/2032  |  | 4129000 | 3796096 |
| Cheniere Energy Partners LP 4.5% 10/1/2029  |  | 8713000 | 8710522 |
| Cheniere Energy Partners LP 5.55% 10/30/2035 (b) |  | 169000 | 173868 |
| Cheniere Energy Partners LP 5.75% 8/15/2034  |  | 4056000 | 4247153 |
| Cheniere Energy Partners LP 5.95% 6/30/2033  |  | 298000 | 316690 |
| Chord Energy Corp 6% 10/1/2030 (b) |  | 130000 | 131077 |
| Chord Energy Corp 6.75% 3/15/2033 (b) |  | 185000 | 190967 |
| Civitas Resources Inc 5% 10/15/2026 (b) |  | 650000 | 648750 |
| Civitas Resources Inc 8.375% 7/1/2028 (b) |  | 834000 | 860140 |
| Civitas Resources Inc 8.625% 11/1/2030 (b) |  | 770000 | 806620 |
| Civitas Resources Inc 8.75% 7/1/2031 (b) |  | 1173000 | 1221496 |
| CNX Midstream Partners LP 4.75% 4/15/2030 (b) |  | 230000 | 220600 |
| CNX Resources Corp 7.25% 3/1/2032 (b) |  | 836000 | 871821 |
| Columbia Pipelines Holding Co LLC 5.097% 10/1/2031 (b) |  | 236000 | 240637 |
| Columbia Pipelines Operating Co LLC 5.927% 8/15/2030 (b) |  | 957000 | 1016004 |
| Columbia Pipelines Operating Co LLC 5.962% 2/15/2055 (b) |  | 160000 | 159419 |
| Columbia Pipelines Operating Co LLC 6.036% 11/15/2033 (b) |  | 6190000 | 6647160 |
| Columbia Pipelines Operating Co LLC 6.497% 8/15/2043 (b) |  | 971000 | 1041369 |
| Columbia Pipelines Operating Co LLC 6.544% 11/15/2053 (b) |  | 1389000 | 1498673 |
| Columbia Pipelines Operating Co LLC 6.714% 8/15/2063 (b) |  | 831000 | 916555 |
| Comstock Resources Inc 6.75% 3/1/2029 (b) |  | 496000 | 497504 |
| ConocoPhillips Co 3.8% 3/15/2052  |  | 390000 | 293032 |
| ConocoPhillips Co 4.7% 1/15/2030  |  | 760000 | 776519 |
| ConocoPhillips Co 5.05% 9/15/2033  |  | 940000 | 974572 |
| ConocoPhillips Co 5.55% 3/15/2054  |  | 1170000 | 1148753 |
| Coterra Energy Inc 3.9% 5/15/2027  |  | 100000 | 99586 |
| Coterra Energy Inc 5.4% 2/15/2035  |  | 7700000 | 7854823 |
| Coterra Energy Inc 5.9% 2/15/2055  |  | 1098000 | 1069460 |
| CQP Holdco LP / BIP-V Chinook Holdco LLC 5.5% 6/15/2031 (b) |  | 165000 | 163654 |
| CQP Holdco LP / BIP-V Chinook Holdco LLC 7.5% 12/15/2033 (b) |  | 365000 | 395394 |
| Crescent Energy Finance LLC 7.625% 4/1/2032 (b) |  | 715000 | 696168 |
| Crescent Energy Finance LLC 8.375% 1/15/2034 (b) |  | 265000 | 261343 |
| Crescent Energy Finance LLC 9.25% 2/15/2028 (b) |  | 1279000 | 1322564 |
| CVR Energy Inc 8.5% 1/15/2029 (b) |  | 330000 | 339395 |
| DBR Land Holdings LLC 6.25% 12/1/2030 (b) |  | 155000 | 156986 |
| DCP Midstream Operating LP 5.6% 4/1/2044  |  | 3773000 | 3661754 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 7.375% 6/30/2033 (b) |  | 265000 | 271484 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 8.625% 3/15/2029 (b) |  | 310000 | 324929 |
| Devon Energy Corp 5.25% 10/15/2027  |  | 10000 | 10000 |
| Devon Energy Corp 5.875% 6/15/2028  |  | 98000 | 98030 |
| Diamondback Energy Inc 3.125% 3/24/2031  |  | 4744000 | 4434291 |
| Diamondback Energy Inc 3.25% 12/1/2026  |  | 4003000 | 3969579 |
| Diamondback Energy Inc 3.5% 12/1/2029  |  | 4296000 | 4167148 |
| Diamondback Energy Inc 5.15% 1/30/2030  |  | 334000 | 343722 |
| Diamondback Energy Inc 5.4% 4/18/2034  |  | 1825000 | 1875852 |
| Diamondback Energy Inc 5.55% 4/1/2035  |  | 5275000 | 5453836 |
| Diamondback Energy Inc 5.9% 4/18/2064  |  | 410000 | 395738 |
| Diamondback Energy Inc 6.25% 3/15/2033  |  | 3900000 | 4221731 |
| DT Midstream Inc 4.125% 6/15/2029 (b) |  | 292000 | 286673 |
| DT Midstream Inc 4.375% 6/15/2031 (b) |  | 148000 | 144757 |
| DT Midstream Inc 5.8% 12/15/2034 (b) |  | 7125000 | 7426912 |
| Energy Transfer LP 3.9% 7/15/2026  |  | 955000 | 953612 |
| Energy Transfer LP 4% 10/1/2027  |  | 835000 | 832585 |
| Energy Transfer LP 4.75% 1/15/2026  |  | 850000 | 850093 |
| Energy Transfer LP 4.95% 5/15/2028  |  | 1239000 | 1258909 |
| Energy Transfer LP 4.95% 6/15/2028  |  | 2250000 | 2289064 |
| Energy Transfer LP 5% 5/15/2050  |  | 1498000 | 1273795 |
| Energy Transfer LP 5.2% 4/1/2030  |  | 5700000 | 5897248 |
| Energy Transfer LP 5.25% 4/15/2029  |  | 170000 | 174947 |
| Energy Transfer LP 5.25% 7/1/2029  |  | 4850000 | 5005456 |
| Energy Transfer LP 5.3% 4/15/2047  |  | 225000 | 203077 |
| Energy Transfer LP 5.35% 5/15/2045  |  | 3295000 | 3027485 |
| Energy Transfer LP 5.4% 10/1/2047  |  | 5190000 | 4726364 |
| Energy Transfer LP 5.55% 2/15/2028  |  | 1350000 | 1389375 |
| Energy Transfer LP 5.8% 6/15/2038  |  | 2762000 | 2839650 |
| Energy Transfer LP 5.95% 5/15/2054  |  | 1170000 | 1128327 |
| Energy Transfer LP 6% 6/15/2048  |  | 570000 | 559605 |
| Energy Transfer LP 6.125% 12/15/2045  |  | 2635000 | 2628056 |
| Energy Transfer LP 6.4% 12/1/2030  |  | 785000 | 852171 |
| Energy Transfer LP 6.5% 2/15/2056 (d) |  | 1550000 | 1528080 |
| Energy Transfer LP 6.55% 12/1/2033  |  | 965000 | 1064458 |
| Energy Transfer LP 6.625% 10/15/2036  |  | 900000 | 983907 |
| Energy Transfer LP 6.75% 2/15/2056 (d) |  | 65000 | 64678 |
| Energy Transfer LP 7.375% 2/1/2031 (b) |  | 637000 | 662899 |
| Enterprise Products Operating LLC 5.2% 1/15/2036  |  | 360000 | 369382 |
| Enterprise Products Operating LLC 5.55% 2/16/2055  |  | 1385000 | 1371336 |
| EOG Resources Inc 4.4% 7/15/2028  |  | 5200000 | 5260501 |
| EQT Corp 3.125% 5/15/2026 (b) |  | 444000 | 441024 |
| EQT Corp 3.625% 5/15/2031 (b) |  | 2534000 | 2389578 |
| EQT Corp 3.9% 10/1/2027  |  | 3174000 | 3155056 |
| EQT Corp 4.5% 1/15/2029  |  | 3499000 | 3501850 |
| EQT Corp 4.75% 1/15/2031  |  | 11007000 | 11081791 |
| EQT Corp 5% 1/15/2029  |  | 1746000 | 1770056 |
| EQT Corp 5.5% 7/15/2028  |  | 101000 | 103191 |
| EQT Corp 5.7% 4/1/2028  |  | 1687000 | 1741975 |
| EQT Corp 5.75% 2/1/2034  |  | 2135000 | 2249005 |
| EQT Corp 6.375% 4/1/2029  |  | 1358000 | 1406066 |
| EQT Corp 6.5% 7/1/2027  |  | 785000 | 801904 |
| EQT Corp 7% 2/1/2030 (g) |  | 2388000 | 2596391 |
| EQT Corp 7.5% 6/1/2027  |  | 75000 | 76181 |
| EQT Corp 7.5% 6/1/2030  |  | 4587000 | 5063634 |
| Expand Energy Corp 4.75% 2/1/2032  |  | 5484000 | 5423530 |
| Expand Energy Corp 5.375% 2/1/2029  |  | 3191000 | 3198238 |
| Expand Energy Corp 5.375% 3/15/2030  |  | 1139000 | 1154931 |
| Expand Energy Corp 5.7% 1/15/2035  |  | 8511000 | 8839054 |
| Expand Energy Corp 5.875% 2/1/2029 (b) |  | 1575000 | 1576501 |
| Expand Energy Corp 6.75% 4/15/2029 (b) |  | 1690000 | 1702293 |
| Exxon Mobil Corp 4.227% 3/19/2040  |  | 490000 | 455040 |
| Flex Intermediate Holdco LLC 3.363% 6/30/2031 (b) |  | 4800000 | 4449675 |
| Genesis Energy LP / Genesis Energy Finance Corp 7.75% 2/1/2028  |  | 293000 | 294968 |
| Genesis Energy LP / Genesis Energy Finance Corp 8% 5/15/2033  |  | 100000 | 103165 |
| Global Partners LP / GLP Finance Corp 7.125% 7/1/2033 (b) |  | 45000 | 45704 |
| Global Partners LP / GLP Finance Corp 8.25% 1/15/2032 (b) |  | 85000 | 89124 |
| Gulfport Energy Operating Corp 6.75% 9/1/2029 (b) |  | 345000 | 356142 |
| Harvest Midstream I LP 7.5% 5/15/2032 (b) |  | 630000 | 654651 |
| Hess Corp 4.3% 4/1/2027  |  | 840000 | 843033 |
| Hess Corp 5.6% 2/15/2041  |  | 460000 | 481679 |
| Hess Corp 5.8% 4/1/2047  |  | 4517000 | 4712308 |
| Hess Corp 7.125% 3/15/2033  |  | 1335000 | 1560008 |
| Hess Corp 7.3% 8/15/2031  |  | 2018000 | 2335517 |
| Hess Corp 7.875% 10/1/2029  |  | 5583000 | 6348315 |
| Hess Midstream Operations LP 5.125% 6/15/2028 (b) |  | 290000 | 290057 |
| Hess Midstream Operations LP 5.5% 10/15/2030 (b) |  | 455000 | 459743 |
| Hess Midstream Operations LP 5.875% 3/1/2028 (b) |  | 285000 | 289796 |
| Hess Midstream Operations LP 6.5% 6/1/2029 (b) |  | 235000 | 243173 |
| Hilcorp Energy I LP / Hilcorp Finance Co 5.75% 2/1/2029 (b) |  | 620000 | 608955 |
| Hilcorp Energy I LP / Hilcorp Finance Co 6% 2/1/2031 (b) |  | 150000 | 141122 |
| Hilcorp Energy I LP / Hilcorp Finance Co 6% 4/15/2030 (b) |  | 965000 | 933319 |
| Hilcorp Energy I LP / Hilcorp Finance Co 6.25% 4/15/2032 (b) |  | 2075000 | 1952736 |
| Hilcorp Energy I LP / Hilcorp Finance Co 7.25% 2/15/2035 (b) |  | 100000 | 95126 |
| Hilcorp Energy I LP / Hilcorp Finance Co 8.375% 11/1/2033 (b) |  | 125000 | 128156 |
| Howard Midstream Energy Partners LLC 6.625% 1/15/2034 (b) |  | 145000 | 148647 |
| Howard Midstream Energy Partners LLC 7.375% 7/15/2032 (b) |  | 405000 | 427472 |
| ITT Holdings LLC 6.5% 8/1/2029 (b) |  | 100000 | 96927 |
| Kinder Morgan Inc 3.25% 8/1/2050  |  | 351000 | 234200 |
| Kinder Morgan Inc 5.05% 2/15/2046  |  | 200000 | 182705 |
| Kinder Morgan Inc 5.15% 6/1/2030  |  | 390000 | 404114 |
| Kinetik Holdings LP 5.875% 6/15/2030 (b) |  | 1280000 | 1290203 |
| Kinetik Holdings LP 6.625% 12/15/2028 (b) |  | 800000 | 822987 |
| Marathon Petroleum Corp 3.8% 4/1/2028  |  | 5590000 | 5551381 |
| Matador Resources Co 6.25% 4/15/2033 (b) |  | 340000 | 339542 |
| Matador Resources Co 6.5% 4/15/2032 (b) |  | 900000 | 914015 |
| MPLX LP 2.65% 8/15/2030  |  | 2470000 | 2286781 |
| MPLX LP 4.125% 3/1/2027  |  | 2371000 | 2368707 |
| MPLX LP 4.25% 12/1/2027  |  | 4150000 | 4159609 |
| MPLX LP 4.5% 4/15/2038  |  | 1125000 | 1032152 |
| MPLX LP 4.7% 4/15/2048  |  | 2335000 | 1960921 |
| MPLX LP 4.8% 2/15/2029  |  | 1505000 | 1529146 |
| MPLX LP 4.8% 2/15/2031  |  | 3800000 | 3848610 |
| MPLX LP 4.95% 3/14/2052  |  | 606000 | 516725 |
| MPLX LP 5% 1/15/2033  |  | 4020000 | 4056965 |
| MPLX LP 5.2% 12/1/2047  |  | 1795000 | 1619292 |
| MPLX LP 5.2% 3/1/2047  |  | 1489000 | 1341447 |
| MPLX LP 5.5% 6/1/2034  |  | 6600000 | 6774255 |
| Murphy Oil USA Inc 3.75% 2/15/2031 (b) |  | 340000 | 318762 |
| NGL Energy Operating LLC / NGL Energy Finance Corp 8.125% 2/15/2029 (b) |  | 295000 | 303473 |
| NGPL PipeCo LLC 3.25% 7/15/2031 (b) |  | 1473000 | 1353641 |
| Northern Oil & Gas Inc 7.875% 10/15/2033 (b) |  | 248000 | 241354 |
| Northern Oil & Gas Inc 8.75% 6/15/2031 (b) |  | 285000 | 291411 |
| Northwest Pipeline LLC 4% 4/1/2027  |  | 3175000 | 3170133 |
| Occidental Petroleum Corp 3.5% 8/15/2029  |  | 195000 | 188268 |
| Occidental Petroleum Corp 5.2% 8/1/2029  |  | 6150000 | 6303209 |
| Occidental Petroleum Corp 6.375% 9/1/2028  |  | 340000 | 356703 |
| Occidental Petroleum Corp 6.45% 9/15/2036  |  | 4200000 | 4484655 |
| Occidental Petroleum Corp 6.6% 3/15/2046  |  | 6475000 | 6740235 |
| Occidental Petroleum Corp 6.625% 9/1/2030  |  | 420000 | 452641 |
| Occidental Petroleum Corp 7.5% 5/1/2031  |  | 9261000 | 10445408 |
| ONEOK Inc 3.1% 3/15/2030  |  | 3705000 | 3523957 |
| ONEOK Inc 3.4% 9/1/2029  |  | 2600000 | 2509293 |
| ONEOK Inc 4.2% 10/3/2047  |  | 795000 | 625142 |
| ONEOK Inc 4.25% 9/15/2046  |  | 190000 | 151512 |
| ONEOK Inc 4.25% 9/24/2027  |  | 1667000 | 1670921 |
| ONEOK Inc 4.4% 10/15/2029  |  | 1743000 | 1748428 |
| ONEOK Inc 4.75% 10/15/2031  |  | 3880000 | 3897995 |
| ONEOK Inc 4.95% 10/15/2032  |  | 1075000 | 1082475 |
| ONEOK Inc 5.375% 6/1/2029  |  | 4115000 | 4241014 |
| ONEOK Inc 5.6% 4/1/2044  |  | 630000 | 600745 |
| ONEOK Inc 5.7% 11/1/2054  |  | 2330000 | 2197034 |
| ONEOK Inc 6.05% 9/1/2033  |  | 4345000 | 4640992 |
| ONEOK Inc 6.25% 10/15/2055  |  | 3645000 | 3699146 |
| ONEOK Inc 6.5% 9/1/2030 (b) |  | 5598000 | 6004324 |
| ONEOK Partners LP 6.65% 10/1/2036  |  | 542000 | 594396 |
| Ovintiv Inc 5.15% 11/15/2041  |  | 3000000 | 2631522 |
| Ovintiv Inc 6.25% 7/15/2033  |  | 617000 | 654545 |
| PBF Holding Co LLC / PBF Finance Corp 7.875% 9/15/2030 (b) |  | 330000 | 325022 |
| PBF Holding Co LLC / PBF Finance Corp 9.875% 3/15/2030 (b) |  | 405000 | 425733 |
| Permian Resources Operating LLC 5.875% 7/1/2029 (b) |  | 540000 | 541350 |
| Permian Resources Operating LLC 6.25% 2/1/2033 (b) |  | 355000 | 363848 |
| Permian Resources Operating LLC 7% 1/15/2032 (b) |  | 520000 | 541450 |
| Permian Resources Operating LLC 8% 4/15/2027 (b) |  | 1275000 | 1291306 |
| Permian Resources Operating LLC 9.875% 7/15/2031 (b) |  | 68000 | 73269 |
| Phillips 66 2.15% 12/15/2030  |  | 385000 | 345752 |
| Phillips 66 Co 3.75% 3/1/2028  |  | 695000 | 690108 |
| Pioneer Natural Resources Co 1.9% 8/15/2030  |  | 2470000 | 2235250 |
| Pioneer Natural Resources Co 2.15% 1/15/2031  |  | 285000 | 259078 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  |  | 2689000 | 2611110 |
| Range Resources Corp 4.75% 2/15/2030 (b) |  | 24000 | 23680 |
| Range Resources Corp 8.25% 1/15/2029  |  | 419000 | 427369 |
| Rockies Express Pipeline LLC 4.8% 5/15/2030 (b) |  | 115000 | 112708 |
| Rockies Express Pipeline LLC 4.95% 7/15/2029 (b) |  | 270000 | 270089 |
| Rockies Express Pipeline LLC 6.75% 3/15/2033 (b) |  | 650000 | 681971 |
| Rockies Express Pipeline LLC 7.5% 7/15/2038 (b) |  | 145000 | 157053 |
| Sabine Pass Liquefaction LLC 4.2% 3/15/2028  |  | 300000 | 300499 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/2030  |  | 13346000 | 13425103 |
| Sabine Pass Liquefaction LLC 5% 3/15/2027  |  | 3030000 | 3047753 |
| Sabine Pass Liquefaction LLC 5.875% 6/30/2026  |  | 60000 | 60071 |
| Sabine Pass Liquefaction LLC 5.9% 9/15/2037  |  | 1188261 | 1258417 |
| Shell Finance US Inc 3.75% 9/12/2046  |  | 65000 | 51602 |
| Shell Finance US Inc 4% 5/10/2046  |  | 87000 | 71929 |
| Shell International Finance BV 2.875% 11/26/2041  |  | 165000 | 122947 |
| Shell International Finance BV 3.625% 8/21/2042  |  | 343000 | 280295 |
| SM Energy Co 6.625% 1/15/2027  |  | 107000 | 107124 |
| SM Energy Co 6.75% 8/1/2029 (b) |  | 390000 | 389507 |
| Sunoco LP / Sunoco Finance Corp 4.5% 4/30/2030  |  | 125000 | 121709 |
| Sunoco LP / Sunoco Finance Corp 4.5% 5/15/2029  |  | 445000 | 436137 |
| Sunoco LP / Sunoco Finance Corp 5.875% 3/15/2028  |  | 230000 | 230731 |
| Sunoco LP / Sunoco Finance Corp 6% 4/15/2027  |  | 464000 | 464730 |
| Sunoco LP 5.625% 3/15/2031 (b) |  | 195000 | 196109 |
| Sunoco LP 5.875% 3/15/2034 (b) |  | 130000 | 130837 |
| Sunoco LP 6.25% 7/1/2033 (b) |  | 125000 | 128390 |
| Sunoco LP 6.625% 8/15/2032 (b) |  | 905000 | 932994 |
| Sunoco LP 7.25% 5/1/2032 (b) |  | 425000 | 448526 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 5.5% 1/15/2028 (b) |  | 275000 | 274844 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 12/31/2030 (b) |  | 2782000 | 2772726 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 9/1/2031 (b) |  | 170000 | 168019 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6.75% 3/15/2034 (b) |  | 105000 | 105124 |
| Targa Resources Corp 4.2% 2/1/2033  |  | 4922000 | 4725209 |
| Targa Resources Corp 4.35% 1/15/2029  |  | 3386000 | 3397392 |
| Targa Resources Corp 4.9% 9/15/2030  |  | 2863000 | 2920107 |
| Targa Resources Corp 4.95% 4/15/2052  |  | 610000 | 523119 |
| Targa Resources Corp 5.5% 2/15/2035  |  | 580000 | 594648 |
| Targa Resources Corp 5.65% 2/15/2036  |  | 4258000 | 4400072 |
| Targa Resources Corp 6.125% 3/15/2033  |  | 1175000 | 1259680 |
| Targa Resources Corp 6.15% 3/1/2029  |  | 3203000 | 3377432 |
| Targa Resources Corp 6.5% 3/30/2034  |  | 3350000 | 3681041 |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp 4.875% 2/1/2031  |  | 1703000 | 1711097 |
| Transcontinental Gas Pipe Line Co LLC 3.25% 5/15/2030  |  | 3285000 | 3143887 |
| Transcontinental Gas Pipe Line Co LLC 4.6% 3/15/2048  |  | 350000 | 306684 |
| Venture Global Calcasieu Pass LLC 3.875% 11/1/2033 (b) |  | 826000 | 723180 |
| Venture Global Calcasieu Pass LLC 3.875% 8/15/2029 (b) |  | 4500000 | 4231092 |
| Venture Global Calcasieu Pass LLC 4.125% 8/15/2031 (b) |  | 150000 | 137424 |
| Venture Global Calcasieu Pass LLC 6.25% 1/15/2030 (b) |  | 2175000 | 2196219 |
| Venture Global LNG Inc 7% 1/15/2030 (b) |  | 2262000 | 2219011 |
| Venture Global LNG Inc 8.125% 6/1/2028 (b) |  | 960000 | 983303 |
| Venture Global LNG Inc 8.375% 6/1/2031 (b) |  | 416000 | 417028 |
| Venture Global LNG Inc 9.5% 2/1/2029 (b) |  | 30000 | 31639 |
| Venture Global LNG Inc 9.875% 2/1/2032 (b) |  | 1143000 | 1190014 |
| Venture Global Plaquemines LNG LLC 6.5% 1/15/2034 (b) |  | 1244000 | 1286673 |
| Venture Global Plaquemines LNG LLC 6.75% 1/15/2036 (b) |  | 1106000 | 1159246 |
| Venture Global Plaquemines LNG LLC 7.5% 5/1/2033 (b) |  | 789000 | 859754 |
| Venture Global Plaquemines LNG LLC 7.75% 5/1/2035 (b) |  | 948000 | 1056156 |
| Viper Energy Partners LLC 4.9% 8/1/2030  |  | 1070000 | 1083386 |
| Viper Energy Partners LLC 5.7% 8/1/2035  |  | 981000 | 1005387 |
| Vital Energy Inc 7.875% 4/15/2032 (b) |  | 435000 | 421564 |
| Vital Energy Inc 9.75% 10/15/2030  |  | 925000 | 960842 |
| Western Gas Partners LP 4.65% 7/1/2026  |  | 1931000 | 1933087 |
| Western Gas Partners LP 4.75% 8/15/2028  |  | 1465000 | 1478599 |
| Williams Cos Inc/The 3.5% 11/15/2030  |  | 11542000 | 11071689 |
| Williams Cos Inc/The 3.75% 6/15/2027  |  | 2835000 | 2815817 |
| Williams Cos Inc/The 4.65% 8/15/2032  |  | 7545000 | 7591646 |
| Williams Cos Inc/The 4.8% 11/15/2029  |  | 7785000 | 7939139 |
| Williams Cos Inc/The 4.9% 1/15/2045  |  | 1460000 | 1330214 |
| Williams Cos Inc/The 5.1% 9/15/2045  |  | 105000 | 97648 |
| Williams Cos Inc/The 5.3% 8/15/2052  |  | 1511000 | 1422151 |
| Williams Cos Inc/The 5.4% 3/2/2026  |  | 4500000 | 4515676 |
| Williams Cos Inc/The 5.8% 11/15/2043  |  | 400000 | 404645 |
| Williams Cos Inc/The 5.8% 11/15/2054  |  | 700000 | 705353 |
| Williams Cos Inc/The 6.3% 4/15/2040  |  | 3550000 | 3875101 |
|  |  |  | 487671083 |
| TOTAL ENERGY |  |  | 492948403 |
| Financials - 4.0% |  |  |  |
| Banks - 1.8% |  |  |  |
| Bank of America Corp 1.658% 3/11/2027 (d) |  | 2305000 | 2288430 |
| Bank of America Corp 1.734% 7/22/2027 (d) |  | 155000 | 152588 |
| Bank of America Corp 1.898% 7/23/2031 (d) |  | 718000 | 647295 |
| Bank of America Corp 1.922% 10/24/2031 (d) |  | 3363000 | 3016444 |
| Bank of America Corp 2.087% 6/14/2029 (d) |  | 9265000 | 8834424 |
| Bank of America Corp 2.299% 7/21/2032 (d) |  | 4206000 | 3772946 |
| Bank of America Corp 2.496% 2/13/2031 (d) |  | 16862000 | 15757048 |
| Bank of America Corp 2.572% 10/20/2032 (d) |  | 520000 | 471832 |
| Bank of America Corp 2.592% 4/29/2031 (d) |  | 175000 | 163620 |
| Bank of America Corp 2.651% 3/11/2032 (d) |  | 22866000 | 21076659 |
| Bank of America Corp 2.676% 6/19/2041 (d) |  | 7608000 | 5723952 |
| Bank of America Corp 2.687% 4/22/2032 (d) |  | 6976000 | 6422527 |
| Bank of America Corp 2.972% 2/4/2033 (d) |  | 8047000 | 7396984 |
| Bank of America Corp 3.194% 7/23/2030 (d) |  | 301000 | 291446 |
| Bank of America Corp 3.419% 12/20/2028 (d) |  | 8079000 | 7978977 |
| Bank of America Corp 3.559% 4/23/2027 (d) |  | 1736000 | 1732003 |
| Bank of America Corp 3.593% 7/21/2028 (d) |  | 1567000 | 1554840 |
| Bank of America Corp 3.824% 1/20/2028 (d) |  | 525000 | 523291 |
| Bank of America Corp 3.846% 3/8/2037 (d) |  | 1140000 | 1077936 |
| Bank of America Corp 4.078% 4/23/2040 (d) |  | 1590000 | 1438846 |
| Bank of America Corp 4.25% 10/22/2026  |  | 10727000 | 10749874 |
| Bank of America Corp 4.376% 4/27/2028 (d) |  | 1000000 | 1003597 |
| Bank of America Corp 4.571% 4/27/2033 (d) |  | 1864000 | 1871710 |
| Bank of America Corp 4.623% 5/9/2029 (d) |  | 9788000 | 9921558 |
| Bank of America Corp 5.162% 1/24/2031 (d) |  | 3270000 | 3391870 |
| Bank of America Corp 5.202% 4/25/2029 (d) |  | 136000 | 139472 |
| Bank of America Corp 5.425% 8/15/2035 (d) |  | 700000 | 721449 |
| Bank of America Corp 5.468% 1/23/2035 (d) |  | 1347000 | 1416696 |
| Bank of America Corp 5.518% 10/25/2035 (d) |  | 1490000 | 1539412 |
| Bank of America Corp 5.819% 9/15/2029 (d) |  | 48499000 | 50698274 |
| Bank of America Corp 5.933% 9/15/2027 (d) |  | 2579000 | 2614976 |
| Bank of America Corp 6.204% 11/10/2028 (d) |  | 8241000 | 8570202 |
| Citibank NA 5.803% 9/29/2028  |  | 500000 | 524813 |
| Citibank NA U.S. SOFR Averages Index + 0.59%, 4.6057% 4/30/2026 (c)(d) |  | 300000 | 300283 |
| Citigroup Inc 1.462% 6/9/2027 (d) |  | 360000 | 354871 |
| Citigroup Inc 2.52% 11/3/2032 (d) |  | 195000 | 175066 |
| Citigroup Inc 2.561% 5/1/2032 (d) |  | 2516000 | 2289341 |
| Citigroup Inc 2.572% 6/3/2031 (d) |  | 5801000 | 5381632 |
| Citigroup Inc 2.666% 1/29/2031 (d) |  | 13635000 | 12779177 |
| Citigroup Inc 2.904% 11/3/2042 (d) |  | 495000 | 369096 |
| Citigroup Inc 2.976% 11/5/2030 (d) |  | 2132000 | 2034329 |
| Citigroup Inc 3.057% 1/25/2033 (d) |  | 2818000 | 2593486 |
| Citigroup Inc 3.07% 2/24/2028 (d) |  | 400000 | 394934 |
| Citigroup Inc 3.52% 10/27/2028 (d) |  | 2493000 | 2467212 |
| Citigroup Inc 3.668% 7/24/2028 (d) |  | 163000 | 161855 |
| Citigroup Inc 3.887% 1/10/2028 (d) |  | 2750000 | 2742737 |
| Citigroup Inc 3.98% 3/20/2030 (d) |  | 23285000 | 23110684 |
| Citigroup Inc 4.075% 4/23/2029 (d) |  | 30785000 | 30767563 |
| Citigroup Inc 4.296% 7/23/2036 (d) | EUR | 235000 | 277757 |
| Citigroup Inc 4.412% 3/31/2031 (d) |  | 15729000 | 15779786 |
| Citigroup Inc 4.45% 9/29/2027  |  | 4630000 | 4652709 |
| Citigroup Inc 4.503% 9/11/2031 (d) |  | 5157000 | 5193167 |
| Citigroup Inc 4.542% 9/19/2030 (d) |  | 14852000 | 14987526 |
| Citigroup Inc 4.6% 3/9/2026  |  | 3500000 | 3503845 |
| Citigroup Inc 4.643% 5/7/2028 (d) |  | 562000 | 565997 |
| Citigroup Inc 4.786% 3/4/2029 (d) |  | 1415000 | 1435003 |
| Citigroup Inc 4.952% 5/7/2031 (d) |  | 4000000 | 4099622 |
| Citigroup Inc 5.174% 2/13/2030 (d) |  | 6425000 | 6609501 |
| Citigroup Inc 5.174% 9/11/2036 (d) |  | 2180000 | 2224712 |
| Citigroup Inc 5.316% 3/26/2041 (d) |  | 244000 | 247138 |
| Citigroup Inc 5.333% 3/27/2036 (d) |  | 260000 | 268306 |
| Citigroup Inc 5.827% 2/13/2035 (d) |  | 1000000 | 1045793 |
| Citigroup Inc 6.02% 1/24/2036 (d) |  | 1200000 | 1264559 |
| Citigroup Inc 6.27% 11/17/2033 (d) |  | 935000 | 1024441 |
| Citizens Financial Group Inc 2.638% 9/30/2032  |  | 9574000 | 8255418 |
| Comerica Inc 5.982% 1/30/2030 (d) |  | 5095000 | 5307234 |
| Fifth Third Bancorp 4.337% 4/25/2033 (d) |  | 2272000 | 2226476 |
| Fifth Third Bancorp 6.339% 7/27/2029 (d) |  | 2815000 | 2966023 |
| First Horizon Corp 5.514% 3/7/2031 (d) |  | 1365000 | 1415479 |
| Huntington Bancshares Inc/OH 5.709% 2/2/2035 (d) |  | 5049000 | 5310155 |
| Huntington Bancshares Inc/OH 6.208% 8/21/2029 (d) |  | 1030000 | 1081725 |
| Huntington National Bank/The 5.65% 1/10/2030  |  | 1305000 | 1369582 |
| JPMorgan Chase & Co 1.04% 2/4/2027 (d) |  | 5245000 | 5217534 |
| JPMorgan Chase & Co 1.764% 11/19/2031 (d) |  | 1110000 | 988338 |
| JPMorgan Chase & Co 1.953% 2/4/2032 (d) |  | 3520000 | 3137372 |
| JPMorgan Chase & Co 2.069% 6/1/2029 (d) |  | 4885000 | 4661276 |
| JPMorgan Chase & Co 2.522% 4/22/2031 (d) |  | 3080000 | 2876415 |
| JPMorgan Chase & Co 2.525% 11/19/2041 (d) |  | 10730000 | 7841114 |
| JPMorgan Chase & Co 2.545% 11/8/2032 (d) |  | 340000 | 307813 |
| JPMorgan Chase & Co 2.58% 4/22/2032 (d) |  | 6675000 | 6129934 |
| JPMorgan Chase & Co 2.739% 10/15/2030 (d) |  | 8065000 | 7663022 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (d) |  | 5386000 | 5085069 |
| JPMorgan Chase & Co 3.509% 1/23/2029 (d) |  | 9550000 | 9451172 |
| JPMorgan Chase & Co 3.882% 7/24/2038 (d) |  | 4300000 | 3915542 |
| JPMorgan Chase & Co 4.505% 10/22/2028 (d) |  | 2979000 | 3006042 |
| JPMorgan Chase & Co 4.603% 10/22/2030 (d) |  | 39347000 | 39990082 |
| JPMorgan Chase & Co 4.851% 7/25/2028 (d) |  | 1000000 | 1013280 |
| JPMorgan Chase & Co 4.915% 1/24/2029 (d) |  | 10317000 | 10514337 |
| JPMorgan Chase & Co 4.946% 10/22/2035 (d) |  | 1525000 | 1553728 |
| JPMorgan Chase & Co 4.979% 7/22/2028 (d) |  | 1161000 | 1178390 |
| JPMorgan Chase & Co 4.995% 7/22/2030 (d) |  | 6192000 | 6371364 |
| JPMorgan Chase & Co 5.012% 1/23/2030 (d) |  | 1350000 | 1386099 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (d) |  | 3632000 | 3766706 |
| JPMorgan Chase & Co 5.14% 1/24/2031 (d) |  | 3430000 | 3558188 |
| JPMorgan Chase & Co 5.294% 7/22/2035 (d) |  | 291000 | 303401 |
| JPMorgan Chase & Co 5.35% 6/1/2034 (d) |  | 71000 | 74535 |
| JPMorgan Chase & Co 5.502% 1/24/2036 (d) |  | 1716000 | 1812793 |
| JPMorgan Chase & Co 5.571% 4/22/2028 (d) |  | 2310000 | 2356075 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (d) |  | 4314000 | 4582641 |
| JPMorgan Chase & Co 5.576% 7/23/2036 (d) |  | 1890000 | 1977390 |
| JPMorgan Chase & Co 5.581% 4/22/2030 (d) |  | 300000 | 313964 |
| JPMorgan Chase & Co 5.766% 4/22/2035 (d) |  | 4735000 | 5097598 |
| JPMorgan Chase & Co 6.087% 10/23/2029 (d) |  | 29400000 | 31030622 |
| JPMorgan Chase & Co U.S. SOFR Index + 0.92%, 4.9851% 4/22/2028 (c)(d) |  | 500000 | 503257 |
| JPMorgan Chase & Co U.S. SOFR Index + 0.93%, 4.9951% 7/22/2028 (c)(d) |  | 4000000 | 4021523 |
| KeyBank NA/Cleveland OH 5% 1/26/2033  |  | 919000 | 930928 |
| KeyCorp 4.789% 6/1/2033 (d) |  | 500000 | 500877 |
| KeyCorp 5.121% 4/4/2031 (d) |  | 1025000 | 1054052 |
| KeyCorp 6.401% 3/6/2035 (d) |  | 3225000 | 3518906 |
| M&T Bank Corp 5.385% 1/16/2036 (d) |  | 876000 | 893350 |
| M&T Bank Corp 6.082% 3/13/2032 (d) |  | 712000 | 757589 |
| Morgan Stanley Bank NA 5.016% 1/12/2029 (d) |  | 1000000 | 1018898 |
| Morgan Stanley Bank NA U.S. SOFR Index + 0.9%, 4.9973% 1/12/2029 (c)(d) |  | 6000000 | 6015984 |
| Morgan Stanley Private Bank NA 4.204% 11/17/2028 (d) |  | 9675000 | 9691390 |
| Morgan Stanley Private Bank NA 4.465% 11/19/2031 (d) |  | 3075000 | 3091818 |
| Morgan Stanley Private Bank NA 4.734% 7/18/2031 (d) |  | 1430000 | 1454525 |
| PNC Bank NA 4.429% 7/21/2028 (d) |  | 740000 | 744753 |
| PNC Financial Services Group Inc/The 2.55% 1/22/2030  |  | 427000 | 402509 |
| PNC Financial Services Group Inc/The 4.812% 10/21/2032 (d) |  | 385000 | 392821 |
| PNC Financial Services Group Inc/The 5.373% 7/21/2036 (d) |  | 340000 | 352216 |
| PNC Financial Services Group Inc/The 5.676% 1/22/2035 (d) |  | 215000 | 227698 |
| PNC Financial Services Group Inc/The 5.939% 8/18/2034 (d) |  | 300000 | 323980 |
| PNC Financial Services Group Inc/The 6.037% 10/28/2033 (d) |  | 815000 | 883315 |
| PNC Financial Services Group Inc/The 6.615% 10/20/2027 (d) |  | 2340000 | 2389178 |
| PNC Financial Services Group Inc/The 6.875% 10/20/2034 (d) |  | 865000 | 983552 |
| Santander Holdings USA Inc 5.353% 9/6/2030 (d) |  | 1282000 | 1312306 |
| Santander Holdings USA Inc 5.473% 3/20/2029 (d) |  | 7900000 | 8067477 |
| Truist Financial Corp 4.964% 10/23/2036 (d) |  | 270000 | 268629 |
| Truist Financial Corp 5.122% 1/26/2034 (d) |  | 1035000 | 1057000 |
| Truist Financial Corp 5.435% 1/24/2030 (d) |  | 2380000 | 2470491 |
| Truist Financial Corp 5.711% 1/24/2035 (d) |  | 585000 | 618633 |
| Truist Financial Corp 5.867% 6/8/2034 (d) |  | 978000 | 1043008 |
| Truist Financial Corp 6.047% 6/8/2027 (d) |  | 194000 | 195762 |
| Truist Financial Corp 7.161% 10/30/2029 (d) |  | 2395000 | 2593279 |
| US Bancorp 5.083% 5/15/2031 (d) |  | 520000 | 537064 |
| US Bancorp 5.1% 7/23/2030 (d) |  | 425000 | 438410 |
| US Bancorp 5.384% 1/23/2030 (d) |  | 905000 | 938835 |
| US Bancorp 5.678% 1/23/2035 (d) |  | 145000 | 154157 |
| US Bancorp 5.836% 6/12/2034 (d) |  | 915000 | 981975 |
| US Bancorp 5.85% 10/21/2033 (d) |  | 1750000 | 1878664 |
| Wells Fargo & Co 2.572% 2/11/2031 (d) |  | 3439000 | 3220095 |
| Wells Fargo & Co 2.879% 10/30/2030 (d) |  | 21665000 | 20653649 |
| Wells Fargo & Co 3.068% 4/30/2041 (d) |  | 410000 | 323772 |
| Wells Fargo & Co 3.35% 3/2/2033 (d) |  | 7050000 | 6624064 |
| Wells Fargo & Co 3.584% 5/22/2028 (d) |  | 905000 | 898380 |
| Wells Fargo & Co 4.3% 7/22/2027  |  | 21880000 | 21972835 |
| Wells Fargo & Co 4.478% 4/4/2031 (d) |  | 15500000 | 15668921 |
| Wells Fargo & Co 4.611% 4/25/2053 (d) |  | 157000 | 138381 |
| Wells Fargo & Co 4.65% 11/4/2044  |  | 1335000 | 1190190 |
| Wells Fargo & Co 4.892% 9/15/2036 (d) |  | 2030000 | 2047444 |
| Wells Fargo & Co 5.15% 4/23/2031 (d) |  | 8090000 | 8378363 |
| Wells Fargo & Co 5.198% 1/23/2030 (d) |  | 900000 | 928562 |
| Wells Fargo & Co 5.211% 12/3/2035 (d) |  | 8647000 | 8930325 |
| Wells Fargo & Co 5.244% 1/24/2031 (d) |  | 2318000 | 2408616 |
| Wells Fargo & Co 5.389% 4/24/2034 (d) |  | 2061000 | 2160563 |
| Wells Fargo & Co 5.499% 1/23/2035 (d) |  | 2187000 | 2299682 |
| Wells Fargo & Co 5.557% 7/25/2034 (d) |  | 3672000 | 3889339 |
| Wells Fargo & Co 5.574% 7/25/2029 (d) |  | 10556000 | 10940321 |
| Wells Fargo & Co 5.605% 4/23/2036 (d) |  | 6233000 | 6610763 |
| Wells Fargo & Co 5.707% 4/22/2028 (d) |  | 6482000 | 6619989 |
| Wells Fargo & Co 6.303% 10/23/2029 (d) |  | 45125000 | 47782314 |
| Wells Fargo & Co 6.491% 10/23/2034 (d) |  | 555000 | 620628 |
| Wells Fargo & Co U.S. SOFR Index + 1.07%, 5.1351% 4/22/2028 (c)(d) |  | 800000 | 804680 |
|  |  |  | 775502732 |
| Capital Markets - 1.1% |  |  |  |
| Aretec Group Inc 7.5% 4/1/2029 (b) |  | 50000 | 50265 |
| Athene Global Funding 2.717% 1/7/2029 (b) |  | 4805000 | 4549473 |
| Athene Global Funding 5.339% 1/15/2027 (b) |  | 7937000 | 8039708 |
| Athene Global Funding 5.583% 1/9/2029 (b) |  | 4996000 | 5137580 |
| Bank of New York Mellon Corp/The 4.975% 3/14/2030 (d) |  | 200000 | 206225 |
| Bank of New York Mellon Corp/The 6.317% 10/25/2029 (d) |  | 175000 | 186035 |
| Bank of New York Mellon Corp/The 6.474% 10/25/2034 (d) |  | 610000 | 684519 |
| BGC Group Inc 6.15% 4/2/2030  |  | 10600000 | 10924635 |
| BGC Group Inc 6.6% 6/10/2029  |  | 3000000 | 3129260 |
| Blackstone Private Credit Fund 4.875% 4/14/2026 (e) | GBP | 335000 | 443166 |
| Cantor Fitzgerald LP 7.2% 12/12/2028 (b) |  | 5689000 | 6052662 |
| Charles Schwab Corp/The 4.914% 11/14/2036 (d) |  | 1260000 | 1262283 |
| Citadel Finance LLC 5.9% 2/10/2030 (b) |  | 1750000 | 1779277 |
| DTE Electric Securitization Funding II LLC 6.09% 9/1/2038  |  | 300000 | 326878 |
| Goldman Sachs Group Inc/The 1.093% 12/9/2026 (d) |  | 91000 | 90932 |
| Goldman Sachs Group Inc/The 1.431% 3/9/2027 (d) |  | 9480000 | 9408354 |
| Goldman Sachs Group Inc/The 1.948% 10/21/2027 (d) |  | 3034000 | 2974371 |
| Goldman Sachs Group Inc/The 1.992% 1/27/2032 (d) |  | 9990000 | 8898636 |
| Goldman Sachs Group Inc/The 2.383% 7/21/2032 (d) |  | 10590000 | 9522717 |
| Goldman Sachs Group Inc/The 2.6% 2/7/2030  |  | 622000 | 584354 |
| Goldman Sachs Group Inc/The 2.615% 4/22/2032 (d) |  | 1832000 | 1675535 |
| Goldman Sachs Group Inc/The 2.64% 2/24/2028 (d) |  | 1334000 | 1310031 |
| Goldman Sachs Group Inc/The 3.102% 2/24/2033 (d) |  | 3863000 | 3575357 |
| Goldman Sachs Group Inc/The 3.21% 4/22/2042 (d) |  | 141000 | 110004 |
| Goldman Sachs Group Inc/The 3.436% 2/24/2043 (d) |  | 42000 | 33252 |
| Goldman Sachs Group Inc/The 3.5% 11/16/2026  |  | 752000 | 748795 |
| Goldman Sachs Group Inc/The 3.615% 3/15/2028 (d) |  | 269000 | 267222 |
| Goldman Sachs Group Inc/The 3.691% 6/5/2028 (d) |  | 667000 | 662473 |
| Goldman Sachs Group Inc/The 3.814% 4/23/2029 (d) |  | 7810000 | 7756691 |
| Goldman Sachs Group Inc/The 4.017% 10/31/2038 (d) |  | 3978000 | 3614768 |
| Goldman Sachs Group Inc/The 4.223% 5/1/2029 (d) |  | 1962000 | 1966044 |
| Goldman Sachs Group Inc/The 4.369% 10/21/2031 (d) |  | 2145000 | 2147528 |
| Goldman Sachs Group Inc/The 4.411% 4/23/2039 (d) |  | 1080000 | 1012735 |
| Goldman Sachs Group Inc/The 4.482% 8/23/2028 (d) |  | 1476000 | 1485624 |
| Goldman Sachs Group Inc/The 4.692% 10/23/2030 (d) |  | 7135000 | 7252008 |
| Goldman Sachs Group Inc/The 4.937% 4/23/2028 (d) |  | 1558000 | 1575087 |
| Goldman Sachs Group Inc/The 4.939% 10/21/2036 (d) |  | 1540000 | 1545735 |
| Goldman Sachs Group Inc/The 5.016% 10/23/2035 (d) |  | 4065000 | 4128226 |
| Goldman Sachs Group Inc/The 5.049% 7/23/2030 (d) |  | 421000 | 432491 |
| Goldman Sachs Group Inc/The 5.207% 1/28/2031 (d) |  | 1321000 | 1368638 |
| Goldman Sachs Group Inc/The 5.218% 4/23/2031 (d) |  | 1060000 | 1098192 |
| Goldman Sachs Group Inc/The 5.33% 7/23/2035 (d) |  | 2380000 | 2469945 |
| Goldman Sachs Group Inc/The 5.536% 1/28/2036 (d) |  | 760000 | 796391 |
| Goldman Sachs Group Inc/The 5.727% 4/25/2030 (d) |  | 1645000 | 1722820 |
| Goldman Sachs Group Inc/The 6.484% 10/24/2029 (d) |  | 39194000 | 41669908 |
| Goldman Sachs Group Inc/The 6.75% 10/1/2037  |  | 50954000 | 57392802 |
| Hightower Holding LLC 6.75% 4/15/2029 (b) |  | 350000 | 350357 |
| Intercontinental Exchange Inc 3.95% 12/1/2028  |  | 4100000 | 4102521 |
| Intercontinental Exchange Inc 4.2% 3/15/2031  |  | 3000000 | 2999816 |
| Jane Street Group / JSG Finance Inc 4.5% 11/15/2029 (b) |  | 65000 | 63967 |
| Jane Street Group / JSG Finance Inc 6.125% 11/1/2032 (b) |  | 1210000 | 1230916 |
| Jane Street Group / JSG Finance Inc 6.75% 5/1/2033 (b) |  | 175000 | 183029 |
| Jane Street Group / JSG Finance Inc 7.125% 4/30/2031 (b) |  | 100000 | 105343 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 5% 8/15/2028 (b) |  | 85000 | 80739 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 6.625% 10/15/2031 (b) |  | 60000 | 58557 |
| Jefferies Financial Group Inc 2.625% 10/15/2031  |  | 5530000 | 4879467 |
| Jefferies Financial Group Inc 2.75% 10/15/2032  |  | 1355000 | 1185404 |
| Jefferies Financial Group Inc 5.875% 7/21/2028  |  | 2330000 | 2415993 |
| LPL Holdings Inc 5.2% 3/15/2030  |  | 10200000 | 10449896 |
| Morgan Stanley 1.593% 5/4/2027 (d) |  | 1317000 | 1302614 |
| Morgan Stanley 1.794% 2/13/2032 (d) |  | 8025000 | 7072818 |
| Morgan Stanley 1.928% 4/28/2032 (d) |  | 5373000 | 4733100 |
| Morgan Stanley 2.239% 7/21/2032 (d) |  | 930000 | 829440 |
| Morgan Stanley 2.475% 1/21/2028 (d) |  | 400000 | 392585 |
| Morgan Stanley 2.484% 9/16/2036 (d) |  | 230000 | 202490 |
| Morgan Stanley 2.511% 10/20/2032 (d) |  | 3820000 | 3439859 |
| Morgan Stanley 2.699% 1/22/2031 (d) |  | 30822000 | 28957378 |
| Morgan Stanley 2.802% 1/25/2052 (d) |  | 105000 | 68200 |
| Morgan Stanley 2.943% 1/21/2033 (d) |  | 6859000 | 6295838 |
| Morgan Stanley 3.217% 4/22/2042 (d) |  | 350000 | 276635 |
| Morgan Stanley 3.622% 4/1/2031 (d) |  | 13084000 | 12757472 |
| Morgan Stanley 3.772% 1/24/2029 (d) |  | 2700000 | 2682137 |
| Morgan Stanley 3.79% 3/21/2030 (d) | EUR | 100000 | 119273 |
| Morgan Stanley 3.955% 3/21/2035 (d) | EUR | 300000 | 357260 |
| Morgan Stanley 4.133% 10/18/2029 (d) |  | 1465000 | 1464843 |
| Morgan Stanley 4.35% 9/8/2026  |  | 2070000 | 2075087 |
| Morgan Stanley 4.431% 1/23/2030 (d) |  | 4461000 | 4494413 |
| Morgan Stanley 4.457% 4/22/2039 (d) |  | 158000 | 149904 |
| Morgan Stanley 4.654% 10/18/2030 (d) |  | 40360000 | 40955587 |
| Morgan Stanley 4.892% 10/22/2036 (d) |  | 1738000 | 1743632 |
| Morgan Stanley 5.042% 7/19/2030 (d) |  | 7761000 | 7978271 |
| Morgan Stanley 5.123% 2/1/2029 (d) |  | 5851000 | 5975878 |
| Morgan Stanley 5.173% 1/16/2030 (d) |  | 3536000 | 3639545 |
| Morgan Stanley 5.192% 4/17/2031 (d) |  | 6644000 | 6876540 |
| Morgan Stanley 5.23% 1/15/2031 (d) |  | 4395000 | 4545846 |
| Morgan Stanley 5.25% 4/21/2034 (d) |  | 259000 | 268886 |
| Morgan Stanley 5.32% 7/19/2035 (d) |  | 550000 | 571198 |
| Morgan Stanley 5.424% 7/21/2034 (d) |  | 265000 | 277785 |
| Morgan Stanley 5.449% 7/20/2029 (d) |  | 2058000 | 2126892 |
| Morgan Stanley 5.587% 1/18/2036 (d) |  | 855000 | 902516 |
| Morgan Stanley 5.652% 4/13/2028 (d) |  | 400000 | 408172 |
| Morgan Stanley 5.656% 4/18/2030 (d) |  | 444000 | 464058 |
| Morgan Stanley 5.664% 4/17/2036 (d) |  | 2611000 | 2771805 |
| Morgan Stanley 5.831% 4/19/2035 (d) |  | 1383000 | 1483385 |
| Morgan Stanley 5.948% 1/19/2038 (d) |  | 1147000 | 1212247 |
| Morgan Stanley 6.407% 11/1/2029 (d) |  | 23462000 | 24911828 |
| MSCI Inc 4% 11/15/2029 (b) |  | 200000 | 196259 |
| MSCI Inc 5.15% 3/15/2036  |  | 1006000 | 1004774 |
| MSCI Inc 5.25% 9/1/2035  |  | 3677000 | 3718110 |
| Nuveen LLC 5.55% 1/15/2030 (b) |  | 200000 | 209053 |
| S&P Global Inc 2.9% 3/1/2032  |  | 415000 | 384290 |
| S&P Global Inc 3.25% 12/1/2049  |  | 315000 | 226718 |
| Sammons Financial Group Global Funding 5.05% 1/10/2028 (b) |  | 4200000 | 4266291 |
| Sammons Financial Group Global Funding 5.1% 12/10/2029 (b) |  | 12900000 | 13286609 |
| State Street Bank & Trust Co 4.782% 11/23/2029  |  | 4550000 | 4691297 |
| VFH Parent LLC / Valor Co-Issuer Inc 7.5% 6/15/2031 (b) |  | 275000 | 288617 |
|  |  |  | 463233072 |
| Consumer Finance - 0.3% |  |  |  |
| Ally Financial Inc 5.543% 1/17/2031 (d) |  | 8200000 | 8366040 |
| Ally Financial Inc 5.548% 7/31/2033 (d) |  | 5500000 | 5538485 |
| Ally Financial Inc 6.646% 1/17/2040 (d) |  | 100000 | 100471 |
| Ally Financial Inc 6.7% 2/14/2033  |  | 285000 | 298368 |
| American Express Co 4.918% 7/20/2033 (d) |  | 425000 | 435377 |
| American Express Co 5.016% 4/25/2031 (d) |  | 1148000 | 1186384 |
| American Express Co 5.085% 1/30/2031 (d) |  | 11600000 | 11996004 |
| American Express Co 5.667% 4/25/2036 (d) |  | 2085000 | 2213554 |
| American Express Co U.S. SOFR Index + 0.93%, 4.9817% 7/26/2028 (c)(d) |  | 3700000 | 3718796 |
| Capital One Financial Corp 4.5% 1/30/2026  |  | 6463000 | 6463000 |
| Capital One Financial Corp 5.247% 7/26/2030 (d) |  | 6880000 | 7090090 |
| Capital One Financial Corp 7.624% 10/30/2031 (d) |  | 3995000 | 4520571 |
| Credit Acceptance Corp 6.625% 3/15/2030 (b) |  | 100000 | 99272 |
| Encore Capital Group Inc 6.625% 4/15/2031 (b) |  | 135000 | 134959 |
| FirstCash Inc 5.625% 1/1/2030 (b) |  | 100000 | 100626 |
| Ford Motor Credit Co LLC 2.7% 8/10/2026  |  | 1100000 | 1085539 |
| Ford Motor Credit Co LLC 2.9% 2/10/2029  |  | 3137000 | 2933988 |
| Ford Motor Credit Co LLC 2.9% 2/16/2028  |  | 275000 | 263766 |
| Ford Motor Credit Co LLC 3.625% 6/17/2031  |  | 8245000 | 7540894 |
| Ford Motor Credit Co LLC 4% 11/13/2030  |  | 265000 | 249668 |
| Ford Motor Credit Co LLC 4.125% 8/17/2027  |  | 895000 | 885896 |
| Ford Motor Credit Co LLC 4.271% 1/9/2027  |  | 85000 | 84602 |
| Ford Motor Credit Co LLC 4.445% 2/14/2030  | EUR | 400000 | 475900 |
| Ford Motor Credit Co LLC 4.542% 8/1/2026  |  | 200000 | 199709 |
| Ford Motor Credit Co LLC 5.113% 5/3/2029  |  | 200000 | 199428 |
| Ford Motor Credit Co LLC 5.125% 11/5/2026  |  | 7500000 | 7536697 |
| Ford Motor Credit Co LLC 5.303% 9/6/2029  |  | 4800000 | 4822551 |
| Ford Motor Credit Co LLC 5.8% 3/8/2029  |  | 1285000 | 1309920 |
| Ford Motor Credit Co LLC 5.85% 5/17/2027  |  | 1700000 | 1723562 |
| Ford Motor Credit Co LLC 5.875% 11/7/2029  |  | 12775000 | 13068891 |
| Ford Motor Credit Co LLC 5.918% 3/20/2028  |  | 1374000 | 1404752 |
| Ford Motor Credit Co LLC 6.184% 8/29/2031  | GBP | 100000 | 134685 |
| Ford Motor Credit Co LLC 6.798% 11/7/2028  |  | 3839000 | 4019317 |
| Ford Motor Credit Co LLC U.S. SOFR Index + 1.45%, 5.4111% 11/5/2026 (c)(d) |  | 4800000 | 4811055 |
| Navient Corp 6.75% 6/15/2026  |  | 120000 | 121272 |
| OneMain Finance Corp 3.875% 9/15/2028  |  | 850000 | 824901 |
| OneMain Finance Corp 4% 9/15/2030  |  | 425000 | 398881 |
| OneMain Finance Corp 5.375% 11/15/2029  |  | 104000 | 103660 |
| OneMain Finance Corp 6.125% 5/15/2030  |  | 110000 | 111769 |
| OneMain Finance Corp 6.625% 5/15/2029  |  | 1430000 | 1479721 |
| OneMain Finance Corp 6.75% 3/15/2032  |  | 60000 | 61322 |
| OneMain Finance Corp 7.125% 11/15/2031  |  | 60000 | 62514 |
| OneMain Finance Corp 7.5% 5/15/2031  |  | 465000 | 488497 |
| OneMain Finance Corp 7.875% 3/15/2030  |  | 215000 | 227558 |
| PRA Group Inc 5% 10/1/2029 (b) |  | 135000 | 124832 |
| Stellantis Financial Services US Corp 4.95% 9/15/2028 (b) |  | 5900000 | 5942705 |
| Stellantis Financial Services US Corp 5.4% 9/15/2030 (b) |  | 6498000 | 6558301 |
| Synchrony Financial 2.875% 10/28/2031  |  | 1684000 | 1507072 |
| Synchrony Financial 3.95% 12/1/2027  |  | 1420000 | 1408276 |
| Synchrony Financial 5.019% 7/29/2029 (d) |  | 1283000 | 1295670 |
| Synchrony Financial 5.15% 3/19/2029  |  | 685000 | 695990 |
| Synchrony Financial 5.45% 3/6/2031 (d) |  | 1783000 | 1824012 |
| Synchrony Financial 5.935% 8/2/2030 (d) |  | 2546000 | 2643722 |
| Synchrony Financial 7.25% 2/2/2033  |  | 1412000 | 1512729 |
| Toyota Motor Credit Corp 4.5% 5/14/2027  |  | 10800000 | 10905369 |
|  |  |  | 143311590 |
| Financial Services - 0.3% |  |  |  |
| Aircastle Ltd / Aircastle Ireland DAC 5.75% 10/1/2031 (b) |  | 1700000 | 1777145 |
| Aon Corp / Aon Global Holdings PLC 5.35% 2/28/2033  |  | 101000 | 105583 |
| AT&T Reign II Multi-Property Lease-Backed Pass-Through Trust 6.088% 12/15/2044 (b) |  | 1390000 | 1425592 |
| Aviation Capital Group LLC 5.125% 4/10/2030 (b) |  | 10600000 | 10781221 |
| Aviation Capital Group LLC 5.375% 7/15/2029 (b) |  | 3800000 | 3901123 |
| Block Inc 2.75% 6/1/2026  |  | 210000 | 208235 |
| Block Inc 3.5% 6/1/2031  |  | 435000 | 408056 |
| Block Inc 5.625% 8/15/2030 (b) |  | 120000 | 122272 |
| Block Inc 6% 8/15/2033 (b) |  | 95000 | 97637 |
| Block Inc 6.5% 5/15/2032  |  | 1345000 | 1405623 |
| Boost Newco Borrower LLC 7.5% 1/15/2031 (b) |  | 830000 | 881419 |
| BP Capital Markets America Inc 2.721% 1/12/2032  |  | 1002000 | 915855 |
| BP Capital Markets America Inc 2.772% 11/10/2050  |  | 119000 | 75384 |
| BP Capital Markets America Inc 2.939% 6/4/2051  |  | 186000 | 121331 |
| BP Capital Markets America Inc 3% 2/24/2050  |  | 278000 | 185653 |
| BP Capital Markets America Inc 3.001% 3/17/2052  |  | 373000 | 244889 |
| BP Capital Markets America Inc 4.812% 2/13/2033  |  | 2409000 | 2451315 |
| BP Capital Markets America Inc 4.893% 9/11/2033  |  | 829000 | 848833 |
| BP Capital Markets America Inc 5.227% 11/17/2034  |  | 445000 | 463389 |
| Clue Opco LLC 9.5% 10/15/2031 (b) |  | 6522000 | 6752938 |
| Consumers 2023 Securitization Funding LLC 5.21% 9/1/2031  |  | 473000 | 489018 |
| Corebridge Financial Inc 3.9% 4/5/2032  |  | 6908000 | 6566651 |
| Corebridge Financial Inc 4.35% 4/5/2042  |  | 701000 | 603697 |
| Corebridge Financial Inc 6.05% 9/15/2033  |  | 2074000 | 2207926 |
| Corebridge Global Funding 4.65% 8/20/2027 (b) |  | 1100000 | 1110741 |
| Corebridge Global Funding 4.9% 8/21/2032 (b) |  | 380000 | 383779 |
| CRH SMW Finance DAC 5.125% 1/9/2030  |  | 2175000 | 2242758 |
| CRH SMW Finance DAC 5.2% 5/21/2029  |  | 1165000 | 1203297 |
| CrossCountry Intermediate HoldCo LLC 6.5% 10/1/2030 (b) |  | 130000 | 131650 |
| CrossCountry Intermediate HoldCo LLC 6.75% 12/1/2032 (b) |  | 130000 | 131450 |
| DH Europe Finance II Sarl 3.25% 11/15/2039  |  | 305000 | 253301 |
| Essent Group Ltd 6.25% 7/1/2029  |  | 3000000 | 3135773 |
| Fidelity National Information Services Inc 4.5% 8/15/2046  |  | 58000 | 49266 |
| Fiserv Inc 3.5% 7/1/2029  |  | 7395000 | 7154961 |
| Fiserv Inc 4.55% 2/15/2031  |  | 1865000 | 1851093 |
| Fiserv Inc 5.25% 8/11/2035  |  | 2600000 | 2608618 |
| Fiserv Inc 5.45% 3/15/2034  |  | 1230000 | 1251415 |
| Fiserv Inc 5.45% 3/2/2028  |  | 1260000 | 1288916 |
| Fiserv Inc 5.625% 8/21/2033  |  | 970000 | 1002851 |
| Freedom Mortgage Holdings LLC 8.375% 4/1/2032 (b) |  | 580000 | 609249 |
| Global Payments Inc 2.9% 5/15/2030  |  | 246000 | 227919 |
| Global Payments Inc 4.5% 11/15/2028  |  | 3335000 | 3346138 |
| Global Payments Inc 4.875% 11/15/2030  |  | 1835000 | 1839303 |
| Global Payments Inc 5.55% 11/15/2035  |  | 445000 | 444635 |
| Greystone Commercial Capital Trust Series 2021-2 1 month U.S. LIBOR + 2.27%, 7.2302% 5/31/2026 (b)(c)(d)(i) |  | 7691819 | 6845719 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 10% 11/15/2029 (b) |  | 285000 | 285713 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 5.25% 5/15/2027  |  | 278000 | 274427 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 6.25% 5/15/2026  |  | 68000 | 67935 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 9% 6/15/2030  |  | 1270000 | 1227652 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 9.75% 1/15/2029  |  | 450000 | 453357 |
| ILFC E-Capital Trust I CME Term SOFR 3 month Index + 1.8116%, 6.27% 12/21/2065 (b)(c)(d) |  | 156000 | 130958 |
| Jackson Financial Inc 3.125% 11/23/2031  |  | 750000 | 683596 |
| Jackson Financial Inc 5.17% 6/8/2027  |  | 2958000 | 2991122 |
| Jackson Financial Inc 5.67% 6/8/2032  |  | 3183000 | 3300035 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3% 5/15/2032  |  | 7125000 | 6443810 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3.625% 1/15/2032  |  | 2224000 | 2083918 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 4.375% 2/2/2052  |  | 1620000 | 1276812 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 6.5% 12/1/2052  |  | 1976000 | 2064763 |
| Jefferson Capital Holdin 8.25% 5/15/2030 (b) |  | 100000 | 104615 |
| National Rural Utilities Cooperative Finance Corp 5.15% 6/15/2029  |  | 4000000 | 4147855 |
| NCR Atleos Corp 9.5% 4/1/2029 (b) |  | 1482000 | 1601772 |
| NFE Financing LLC 12% 11/15/2029 (b)(s) |  | 88505 | 22427 |
| PennyMac Financial Services Inc 4.25% 2/15/2029 (b) |  | 2325000 | 2272334 |
| PennyMac Financial Services Inc 5.75% 9/15/2031 (b) |  | 575000 | 579530 |
| PennyMac Financial Services Inc 6.75% 2/15/2034 (b) |  | 255000 | 262759 |
| PennyMac Financial Services Inc 6.875% 2/15/2033 (b) |  | 100000 | 104086 |
| PennyMac Financial Services Inc 6.875% 5/15/2032 (b) |  | 185000 | 193129 |
| Penske Truck Leasing Co Lp / PTL Finance Corp 5.25% 7/1/2029 (b) |  | 350000 | 360829 |
| Penske Truck Leasing Co Lp / PTL Finance Corp 5.35% 3/30/2029 (b) |  | 300000 | 309669 |
| Penske Truck Leasing Co Lp / PTL Finance Corp 5.55% 5/1/2028 (b) |  | 3375000 | 3475825 |
| Penske Truck Leasing Co Lp / PTL Finance Corp 6.05% 8/1/2028 (b) |  | 2105000 | 2198056 |
| Pine Street Trust II 5.568% 2/15/2049 (b) |  | 7800000 | 7417791 |
| Private Export Funding Corp 1.4% 7/15/2028  |  | 2010000 | 1893076 |
| Radian Group Inc 6.2% 5/15/2029  |  | 250000 | 261828 |
| Rocket Cos Inc 6.125% 8/1/2030 (b) |  | 375000 | 389273 |
| Rocket Cos Inc 6.375% 8/1/2033 (b) |  | 810000 | 848206 |
| Rocket Cos Inc 6.5% 8/1/2029 (b) |  | 275000 | 285256 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc 2.875% 10/15/2026 (b) |  | 428000 | 421066 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc 3.625% 3/1/2029 (b) |  | 285000 | 275276 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc 3.875% 3/1/2031 (b) |  | 81000 | 76607 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc 4% 10/15/2033 (b) |  | 17000 | 15750 |
| Sammons Financial Group Inc 6.875% 4/15/2034 (b) |  | 5700000 | 6313621 |
| Shift4 Payments LLC / Shift4 Payments Finance Sub Inc 5.5% 5/15/2033 (e) | EUR | 282000 | 338600 |
| Shift4 Payments LLC / Shift4 Payments Finance Sub Inc 6.75% 8/15/2032 (b) |  | 630000 | 654830 |
| United Wholesale Mortgage LLC 5.5% 4/15/2029 (b) |  | 100000 | 98966 |
| UWM Holdings LLC 6.25% 3/15/2031 (b) |  | 161000 | 161711 |
| UWM Holdings LLC 6.625% 2/1/2030 (b) |  | 305000 | 309942 |
| Visa Inc 2.7% 4/15/2040  |  | 183000 | 142351 |
| Walker & Dunlop Inc 6.625% 4/1/2033 (b) |  | 120000 | 123341 |
| WEX Inc 6.5% 3/15/2033 (b) |  | 250000 | 254979 |
| Windstream Services LLC / Windstream Escrow Finance Corp 8.25% 10/1/2031 (b) |  | 405000 | 420487 |
|  |  |  | 137773558 |
| Insurance - 0.5% |  |  |  |
| Acrisure LLC / Acrisure Finance Inc 4.25% 2/15/2029 (b) |  | 100000 | 97132 |
| Acrisure LLC / Acrisure Finance Inc 6.75% 7/1/2032 (b) |  | 60000 | 61457 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 4.25% 10/15/2027 (b) |  | 340000 | 335342 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.5% 10/1/2031 (b) |  | 125000 | 128589 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.75% 4/15/2028 (b) |  | 100000 | 101826 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 7.375% 10/1/2032 (b) |  | 100000 | 103382 |
| APH Somerset Investor 2 LLC / APH2 Somerset Investor 2 LLC / APH3 Somerset Inves 7.875% 11/1/2029 (b) |  | 375000 | 378150 |
| Arch Capital Finance LLC 4.011% 12/15/2026  |  | 8495000 | 8492136 |
| Arthur J Gallagher & Co 4.6% 12/15/2027  |  | 8800000 | 8885141 |
| Arthur J Gallagher & Co 4.85% 12/15/2029  |  | 4455000 | 4552629 |
| Athene Holding Ltd 6.875% 6/28/2055 (d) |  | 390000 | 383110 |
| Baylor Scott & White Holdings 1.777% 11/15/2030  |  | 870000 | 780668 |
| Baylor Scott & White Holdings 2.839% 11/15/2050  |  | 120000 | 78336 |
| Berkshire Hathaway Fin Corp 2.5% 1/15/2051  |  | 355000 | 218326 |
| Berkshire Hathaway Fin Corp 3.85% 3/15/2052  |  | 374000 | 294817 |
| Brown & Brown Inc 4.6% 12/23/2026  |  | 2100000 | 2109689 |
| Brown & Brown Inc 5.25% 6/23/2032  |  | 325000 | 332749 |
| Brown & Brown Inc 5.55% 6/23/2035  |  | 405000 | 416317 |
| Chubb Corp/The 6% 5/11/2037  |  | 130000 | 142696 |
| Chubb INA Holdings LLC 1.55% 3/15/2028  | EUR | 4600000 | 5223651 |
| CNA Financial Corp 3.9% 5/1/2029  |  | 1400000 | 1386572 |
| CNA Financial Corp 5.125% 2/15/2034  |  | 115000 | 116074 |
| CNO Global Funding 4.875% 12/10/2027 (b) |  | 3500000 | 3541517 |
| CNO Global Funding 4.95% 9/9/2029 (b) |  | 3915000 | 3990935 |
| CNO Global Funding 5.875% 6/4/2027 (b) |  | 450000 | 460886 |
| Equitable Financial Life Global Funding 4.875% 11/19/2027 (b) |  | 8400000 | 8536392 |
| Everest Reinsurance Holdings Inc 3.5% 10/15/2050  |  | 2100000 | 1478831 |
| F&G Global Funding 5.875% 6/10/2027 (b) |  | 3000000 | 3063427 |
| Farmers Exchange Capital II 6.151% 11/1/2053 (b)(d) |  | 1000000 | 994101 |
| Farmers Exchange Capital III 5.454% 10/15/2054 (b)(d) |  | 3335000 | 3144895 |
| Five Corners Funding Trust II 2.85% 5/15/2030 (b) |  | 12846000 | 12109898 |
| Guardian Life Global Funding 4.179% 9/26/2029 (b) |  | 190000 | 190157 |
| Guardian Life Global Funding 5.737% 10/2/2028 (b) |  | 200000 | 209146 |
| HUB International Ltd 7.25% 6/15/2030 (b) |  | 330000 | 345769 |
| Jackson National Life Global Funding 5.35% 1/13/2030 (b) |  | 6100000 | 6326229 |
| Liberty Mutual Group Inc 4.125% 12/15/2051 (b)(d) |  | 100000 | 98062 |
| Liberty Mutual Group Inc 4.569% 2/1/2029 (b) |  | 9380000 | 9446558 |
| Lincoln National Corp 3.05% 1/15/2030  |  | 398000 | 379675 |
| Lincoln National Corp 3.4% 1/15/2031  |  | 2550000 | 2418224 |
| Lincoln National Corp 6.3% 10/9/2037  |  | 110000 | 118923 |
| Markel Group Inc 4.3% 11/1/2047  |  | 900000 | 739862 |
| Marsh & McLennan Cos Inc 4.65% 3/15/2030  |  | 5500000 | 5608473 |
| MassMutual Global Funding II 4.3% 10/22/2027 (b) |  | 11000000 | 11070780 |
| MassMutual Global Funding II 4.45% 3/27/2028 (b) |  | 3500000 | 3541669 |
| MetLife Inc 5% 7/15/2052  |  | 270000 | 250353 |
| Metropolitan Life Global Funding I 2.4% 1/11/2032 (b) |  | 1960000 | 1748802 |
| Metropolitan Life Global Funding I 4.3% 8/25/2029 (b) |  | 2000000 | 2013199 |
| Metropolitan Life Global Funding I 5.15% 3/28/2033 (b) |  | 920000 | 955267 |
| Mutual of Omaha Cos Global Funding 4.75% 10/15/2029 (b) |  | 1600000 | 1627748 |
| Mutual of Omaha Cos Global Funding 5% 4/1/2030 (b) |  | 2100000 | 2150104 |
| Mutual of Omaha Cos Global Funding 5.35% 4/9/2027 (b) |  | 3250000 | 3300233 |
| New York Life Global Funding 3% 1/10/2028 (b) |  | 107000 | 105000 |
| New York Life Global Funding 5% 6/6/2029 (b) |  | 3500000 | 3603920 |
| New York Life Insurance Co 5.875% 5/15/2033 (b) |  | 1004000 | 1071553 |
| NLG Global Funding 4.35% 9/15/2030 (b) |  | 5400000 | 5352868 |
| Northwestern Mutual Global Funding 4.49% 3/21/2028 (b) |  | 4800000 | 4862353 |
| Northwestern Mutual Global Funding 5.16% 5/28/2031 (b) |  | 280000 | 291616 |
| Pacific Life Global Funding II 4.5% 8/28/2029 (b) |  | 5100000 | 5165709 |
| Panther Escrow Issuer LLC 7.125% 6/1/2031 (b) |  | 290000 | 299865 |
| Pricoa Global Funding I 4.4% 8/27/2027 (b) |  | 6200000 | 6248632 |
| Principal Financial Group Inc 4.111% 2/15/2028 (b) |  | 388000 | 386956 |
| Principal Life Global Funding II 4.8% 1/9/2028 (b) |  | 11500000 | 11654967 |
| Principal Life Global Funding II 4.95% 11/27/2029 (b) |  | 7500000 | 7684269 |
| Protective Life Global Funding 4.772% 12/9/2029 (b) |  | 12700000 | 12972959 |
| Protective Life Global Funding 5.215% 6/12/2029 (b) |  | 3000000 | 3103561 |
| Protective Life Global Funding 5.467% 12/8/2028 (b) |  | 333000 | 345389 |
| RGA Global Funding 5.448% 5/24/2029 (b) |  | 2000000 | 2073915 |
| Ryan Specialty LLC 4.375% 2/1/2030 (b) |  | 165000 | 161640 |
| Ryan Specialty LLC 5.875% 8/1/2032 (b) |  | 275000 | 281118 |
| Teachers Insurance & Annuity Association of America 3.3% 5/15/2050 (b) |  | 1220000 | 849040 |
| Teachers Insurance & Annuity Association of America 4.27% 5/15/2047 (b) |  | 43000 | 35978 |
| Unum Group 4% 6/15/2029  |  | 1000000 | 989452 |
| Unum Group 4.046% 8/15/2041 (b) |  | 165000 | 135644 |
| Unum Group 4.125% 6/15/2051  |  | 1500000 | 1147541 |
| Unum Group 5.75% 8/15/2042  |  | 2123000 | 2128932 |
| Western-Southern Global Funding 4.5% 7/16/2028 (b) |  | 9600000 | 9678285 |
| Western-Southern Global Funding 4.9% 5/1/2030 (b) |  | 1411000 | 1451621 |
|  |  |  | 206561687 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.0% |  |  |  |
| Arbor Realty SR Inc 9% 10/15/2027 (b) |  | 3000000 | 3062636 |
| Arbor Realty Trust Inc 4.5% 3/15/2027 (b) |  | 877000 | 846743 |
| Arbor Realty Trust Inc 4.5% 9/1/2026 (b) |  | 570000 | 559724 |
| Arbor Realty Trust Inc 5% 4/30/2026  |  | 146000 | 144477 |
| Great Ajax Operating Partnership LP 9.875% 9/1/2027 (b) |  | 672000 | 656846 |
| Starwood Property Trust Inc 5.25% 10/15/2028 (b) |  | 1855000 | 1867679 |
| Starwood Property Trust Inc 6.5% 7/1/2030 (b) |  | 245000 | 255762 |
| Starwood Property Trust Inc 7.25% 4/1/2029 (b) |  | 435000 | 461009 |
|  |  |  | 7854876 |
| TOTAL FINANCIALS |  |  | 1734237515 |
| Health Care - 0.8% |  |  |  |
| Biotechnology - 0.1% |  |  |  |
| AbbVie Inc 3.2% 11/21/2029  |  | 1675000 | 1624640 |
| AbbVie Inc 4.05% 11/21/2039  |  | 8538000 | 7725061 |
| AbbVie Inc 4.25% 11/21/2049  |  | 515000 | 434758 |
| AbbVie Inc 4.55% 3/15/2035  |  | 2200000 | 2191222 |
| AbbVie Inc 4.7% 5/14/2045  |  | 4915000 | 4527689 |
| AbbVie Inc 5.05% 3/15/2034  |  | 1760000 | 1825387 |
| Amgen Inc 2.45% 2/21/2030  |  | 2000000 | 1864729 |
| Amgen Inc 2.77% 9/1/2053  |  | 291000 | 177064 |
| Amgen Inc 3% 1/15/2052  |  | 316000 | 209595 |
| Amgen Inc 3.15% 2/21/2040  |  | 155000 | 124004 |
| Amgen Inc 3.2% 11/2/2027  |  | 1000000 | 986270 |
| Amgen Inc 4.663% 6/15/2051  |  | 475000 | 416319 |
| Amgen Inc 4.875% 3/1/2053  |  | 1237000 | 1112129 |
| Amgen Inc 5.15% 3/2/2028  |  | 3855000 | 3945795 |
| Amgen Inc 5.25% 3/2/2030  |  | 4630000 | 4811930 |
| Amgen Inc 5.6% 3/2/2043  |  | 3307000 | 3378867 |
| Biogen Inc 2.25% 5/1/2030  |  | 790000 | 727078 |
| CSL Finance PLC 5.106% 4/3/2034 (b) |  | 640000 | 660305 |
| Gilead Sciences Inc 1.65% 10/1/2030  |  | 172000 | 154036 |
| Gilead Sciences Inc 4.5% 2/1/2045  |  | 190000 | 171151 |
|  |  |  | 37068029 |
| Health Care Equipment & Supplies - 0.0% |  |  |  |
| AdaptHealth LLC 4.625% 8/1/2029 (b) |  | 143000 | 137988 |
| Avantor Funding Inc 3.875% 11/1/2029 (b) |  | 135000 | 128848 |
| Avantor Funding Inc 4.625% 7/15/2028 (b) |  | 913000 | 904377 |
| Bausch + Lomb Corp 8.375% 10/1/2028 (b) |  | 69000 | 71932 |
| Baxter International Inc 2.272% 12/1/2028  |  | 742000 | 698826 |
| Baxter International Inc 5.65% 12/15/2035 (f) |  | 895000 | 912078 |
| Becton Dickinson & Co 4.874% 2/8/2029  |  | 1250000 | 1275388 |
| Becton Dickinson & Co 5.081% 6/7/2029  |  | 307000 | 315906 |
| Hologic Inc 3.25% 2/15/2029 (b) |  | 601000 | 593767 |
| Hologic Inc 4.625% 2/1/2028 (b) |  | 33000 | 33028 |
| Insulet Corp 6.5% 4/1/2033 (b) |  | 120000 | 125334 |
| Medline Borrower LP 3.875% 4/1/2029 (b) |  | 5202000 | 5049896 |
| Medline Borrower LP 5.25% 10/1/2029 (b) |  | 203000 | 203474 |
| Medline Borrower LP/Medline Co-Issuer Inc 6.25% 4/1/2029 (b) |  | 350000 | 362012 |
| Stryker Corp 3.375% 9/11/2032  | EUR | 2300000 | 2685022 |
| Stryker Corp 4.25% 9/11/2029  |  | 2200000 | 2218219 |
| Stryker Corp 5.2% 2/10/2035  |  | 1750000 | 1815467 |
| Teleflex Inc 4.25% 6/1/2028 (b) |  | 260000 | 256478 |
| Zimmer Biomet Holdings Inc 5.5% 2/19/2035  |  | 855000 | 893662 |
|  |  |  | 18681702 |
| Health Care Providers & Services - 0.6% |  |  |  |
| Acadia Healthcare Co Inc 5% 4/15/2029 (b) |  | 468000 | 454685 |
| Acadia Healthcare Co Inc 5.5% 7/1/2028 (b) |  | 63000 | 62412 |
| Acadia Healthcare Co Inc 7.375% 3/15/2033 (b) |  | 220000 | 224195 |
| Aetna Inc 4.5% 5/15/2042  |  | 6000 | 5207 |
| Aetna Inc 4.75% 3/15/2044  |  | 95000 | 83835 |
| AHS Hospital Corp 2.78% 7/1/2051  |  | 315000 | 201123 |
| Ascension Health 2.532% 11/15/2029  |  | 295000 | 279342 |
| Ascension Health 3.106% 11/15/2039  |  | 610000 | 491107 |
| BayCare Health System Inc 3.831% 11/15/2050  |  | 2320000 | 1820653 |
| Cardinal Health Inc 4.5% 9/15/2030  |  | 2900000 | 2929980 |
| Cencora Inc 2.7% 3/15/2031  |  | 5980000 | 5532883 |
| Cencora Inc 5.125% 2/15/2034  |  | 250000 | 258327 |
| Centene Corp 2.45% 7/15/2028  |  | 9865000 | 9196656 |
| Centene Corp 2.5% 3/1/2031  |  | 3755000 | 3237345 |
| Centene Corp 2.625% 8/1/2031  |  | 11006000 | 9430617 |
| Centene Corp 3% 10/15/2030  |  | 1673000 | 1492659 |
| Centene Corp 3.375% 2/15/2030  |  | 6720000 | 6170854 |
| Centene Corp 4.25% 12/15/2027  |  | 5569000 | 5500589 |
| Centene Corp 4.625% 12/15/2029  |  | 10362000 | 10017104 |
| Children's Health System of Texas 2.511% 8/15/2050  |  | 360000 | 215918 |
| Children's Hospital Corp/The 4.115% 1/1/2047  |  | 265000 | 224532 |
| CHS/Community Health Systems Inc 10.875% 1/15/2032 (b) |  | 200000 | 216025 |
| Cigna Group/The 2.375% 3/15/2031  |  | 1938000 | 1756335 |
| Cigna Group/The 2.4% 3/15/2030  |  | 1499000 | 1393075 |
| Cigna Group/The 3.2% 3/15/2040  |  | 2430000 | 1941032 |
| Cigna Group/The 4.375% 10/15/2028  |  | 3850000 | 3888302 |
| Cigna Group/The 4.5% 2/25/2026  |  | 2521000 | 2520935 |
| Cigna Group/The 5.25% 1/15/2036  |  | 3050000 | 3127428 |
| CommonSpirit Health 5.205% 12/1/2031  |  | 9840000 | 10216758 |
| CVS Health Corp 1.3% 8/21/2027  |  | 400000 | 381411 |
| CVS Health Corp 1.75% 8/21/2030  |  | 1275000 | 1133786 |
| CVS Health Corp 1.875% 2/28/2031  |  | 2540000 | 2233919 |
| CVS Health Corp 4.78% 3/25/2038  |  | 1650000 | 1568371 |
| CVS Health Corp 5.05% 3/25/2048  |  | 3750000 | 3364555 |
| CVS Health Corp 5.125% 7/20/2045  |  | 1834000 | 1679819 |
| CVS Health Corp 6.75% 12/10/2054 (d) |  | 655000 | 678801 |
| CVS Health Corp 7% 3/10/2055 (d) |  | 1750000 | 1839889 |
| CVS Health Corp equipment trust certificate 5.773% 1/10/2033 (b) |  | 6581 | 6753 |
| DaVita Inc 3.75% 2/15/2031 (b) |  | 1961000 | 1818450 |
| DaVita Inc 4.625% 6/1/2030 (b) |  | 887000 | 860335 |
| DaVita Inc 6.75% 7/15/2033 (b) |  | 455000 | 472797 |
| DaVita Inc 6.875% 9/1/2032 (b) |  | 130000 | 135269 |
| Elevance Health Inc 3.65% 12/1/2027  |  | 1260000 | 1251287 |
| Elevance Health Inc 4.101% 3/1/2028  |  | 1570000 | 1570623 |
| Elevance Health Inc 4.625% 5/15/2042  |  | 1770000 | 1603763 |
| Elevance Health Inc 4.95% 11/1/2031  |  | 7265000 | 7441632 |
| Elevance Health Inc 5% 1/15/2036  |  | 840000 | 841398 |
| Elevance Health Inc 5.2% 2/15/2035  |  | 2590000 | 2656099 |
| Elevance Health Inc 6.1% 10/15/2052  |  | 135000 | 140734 |
| Encompass Health Corp 4.625% 4/1/2031  |  | 46000 | 45361 |
| Encompass Health Corp 4.75% 2/1/2030  |  | 406000 | 404507 |
| HAH Group Holding Co LLC 9.75% 10/1/2031 (b) |  | 160000 | 150919 |
| HCA Inc 2.375% 7/15/2031  |  | 775000 | 695091 |
| HCA Inc 3.5% 7/15/2051  |  | 2078000 | 1445304 |
| HCA Inc 3.5% 9/1/2030  |  | 2882000 | 2774112 |
| HCA Inc 3.625% 3/15/2032  |  | 336000 | 318717 |
| HCA Inc 4.125% 6/15/2029  |  | 8390000 | 8371381 |
| HCA Inc 4.5% 2/15/2027  |  | 709000 | 710501 |
| HCA Inc 4.6% 11/15/2032  |  | 2657000 | 2656067 |
| HCA Inc 4.625% 3/15/2052  |  | 295000 | 246535 |
| HCA Inc 4.9% 11/15/2035  |  | 283000 | 281923 |
| HCA Inc 5.2% 6/1/2028  |  | 3210000 | 3291686 |
| HCA Inc 5.25% 3/1/2030  |  | 145000 | 150145 |
| HCA Inc 5.25% 6/15/2049  |  | 510000 | 470021 |
| HCA Inc 5.45% 4/1/2031  |  | 2027000 | 2120290 |
| HCA Inc 5.45% 9/15/2034  |  | 223000 | 231474 |
| HCA Inc 5.6% 4/1/2034  |  | 699000 | 732829 |
| HCA Inc 5.625% 9/1/2028  |  | 5049000 | 5214187 |
| HCA Inc 5.75% 3/1/2035  |  | 1704000 | 1799341 |
| HCA Inc 5.875% 2/1/2029  |  | 120000 | 125025 |
| HCA Inc 5.95% 9/15/2054  |  | 350000 | 352345 |
| HCA Inc 6% 4/1/2054  |  | 110000 | 111666 |
| HCA Inc 7.75% 7/15/2036  |  | 2675000 | 3143006 |
| HealthEquity Inc 4.5% 10/1/2029 (b) |  | 260000 | 255486 |
| Humana Inc 5.375% 4/15/2031  |  | 200000 | 206921 |
| Humana Inc 5.55% 5/1/2035  |  | 2650000 | 2719737 |
| Icon Investments Six DAC 5.809% 5/8/2027  |  | 800000 | 815850 |
| Kaiser Foundation Hospitals 2.81% 6/1/2041  |  | 5570000 | 4186770 |
| Kaiser Foundation Hospitals 3.002% 6/1/2051  |  | 975000 | 653533 |
| LifePoint Health Inc 11% 10/15/2030 (b) |  | 100000 | 110085 |
| Memorial Sloan-Kettering Cancer Center 2.955% 1/1/2050  |  | 290000 | 197423 |
| Memorial Sloan-Kettering Cancer Center 5% 7/1/2042  |  | 350000 | 340941 |
| Methodist Hospital/The 2.705% 12/1/2050  |  | 820000 | 517654 |
| ModivCare Inc 10% 10/1/2029 pay-in-kind (b)(g)(s) |  | 1115100 | 11151 |
| Molina Healthcare Inc 3.875% 11/15/2030 (b) |  | 100000 | 92385 |
| Molina Healthcare Inc 3.875% 5/15/2032 (b) |  | 155000 | 139711 |
| Molina Healthcare Inc 6.25% 1/15/2033 (b) |  | 1430000 | 1433242 |
| Molina Healthcare Inc 6.5% 2/15/2031 (b) |  | 275000 | 280916 |
| New York and Presbyterian Hospital/The 4.024% 8/1/2045  |  | 600000 | 507229 |
| New York and Presbyterian Hospital/The 4.063% 8/1/2056  |  | 390000 | 311169 |
| NYU Langone Hospitals 4.368% 7/1/2047  |  | 810000 | 718710 |
| OhioHealth Corp 2.297% 11/15/2031  |  | 8505000 | 7679696 |
| Orlando Health Obligated Group 5.475% 10/1/2035  |  | 1745000 | 1830813 |
| Owens & Minor Inc 4.5% 3/31/2029 (b) |  | 255000 | 180335 |
| Owens & Minor Inc 6.625% 4/1/2030 (b) |  | 134000 | 85935 |
| PeaceHealth Obligated Group 4.335% 11/15/2028  |  | 815000 | 819691 |
| Piedmont Healthcare Inc 2.719% 1/1/2042  |  | 1780000 | 1277399 |
| Piedmont Healthcare Inc 2.864% 1/1/2052  |  | 1055000 | 679801 |
| Providence St Joseph Health Obligated Group 2.532% 10/1/2029  |  | 2405000 | 2268092 |
| Providence St Joseph Health Obligated Group 2.746% 10/1/2026  |  | 180000 | 177826 |
| Quest Diagnostics Inc 4.625% 12/15/2029  |  | 4830000 | 4915678 |
| Quest Diagnostics Inc 6.4% 11/30/2033  |  | 150000 | 167238 |
| Sabra Health Care LP 3.2% 12/1/2031  |  | 8620000 | 7885394 |
| Sentara Health 2.927% 11/1/2051  |  | 565000 | 365094 |
| Stanford Health Care 3.027% 8/15/2051  |  | 680000 | 455012 |
| Star Parent Inc 9% 10/1/2030 (b) |  | 100000 | 107170 |
| Sutter Health 4.091% 8/15/2048  |  | 780000 | 644548 |
| Tenet Healthcare Corp 4.25% 6/1/2029  |  | 1773000 | 1737866 |
| Tenet Healthcare Corp 4.375% 1/15/2030  |  | 440000 | 431162 |
| Tenet Healthcare Corp 4.625% 6/15/2028  |  | 3374000 | 3375427 |
| Tenet Healthcare Corp 5.125% 11/1/2027  |  | 3270000 | 3270317 |
| Tenet Healthcare Corp 5.5% 11/15/2032 (b) |  | 260000 | 264120 |
| Tenet Healthcare Corp 6.125% 6/15/2030  |  | 848000 | 866776 |
| Toledo Hospital/The Series 2018 B, 5.325% 11/15/2028  |  | 2792000 | 2840977 |
| UnitedHealth Group Inc 2.75% 5/15/2040  |  | 700000 | 531336 |
| UnitedHealth Group Inc 3.05% 5/15/2041  |  | 2030000 | 1561752 |
| UnitedHealth Group Inc 3.25% 5/15/2051  |  | 3742000 | 2582400 |
| UnitedHealth Group Inc 3.5% 8/15/2039  |  | 1025000 | 865508 |
| UnitedHealth Group Inc 3.75% 10/15/2047  |  | 32000 | 24876 |
| UnitedHealth Group Inc 3.875% 8/15/2059  |  | 23000 | 17002 |
| UnitedHealth Group Inc 3.95% 10/15/2042  |  | 17000 | 14340 |
| UnitedHealth Group Inc 4.25% 4/15/2047  |  | 770000 | 645348 |
| UnitedHealth Group Inc 4.25% 6/15/2048  |  | 575000 | 479611 |
| UnitedHealth Group Inc 4.4% 6/15/2028  |  | 5000000 | 5060114 |
| UnitedHealth Group Inc 4.5% 4/15/2033  |  | 4285000 | 4276877 |
| UnitedHealth Group Inc 4.625% 11/15/2041  |  | 110000 | 101963 |
| UnitedHealth Group Inc 4.8% 1/15/2030  |  | 6450000 | 6625219 |
| UnitedHealth Group Inc 5.05% 4/15/2053  |  | 195000 | 179876 |
| UnitedHealth Group Inc 5.2% 4/15/2063  |  | 8010000 | 7350040 |
| UnitedHealth Group Inc 5.3% 6/15/2035  |  | 280000 | 291791 |
| UnitedHealth Group Inc 5.35% 2/15/2033  |  | 1680000 | 1761361 |
| UnitedHealth Group Inc 5.5% 7/15/2044  |  | 4505000 | 4540385 |
| UnitedHealth Group Inc 5.625% 7/15/2054  |  | 880000 | 881589 |
| UnitedHealth Group Inc 5.75% 7/15/2064  |  | 250000 | 250612 |
| UnitedHealth Group Inc 5.8% 3/15/2036  |  | 820000 | 882320 |
| UnitedHealth Group Inc 5.875% 2/15/2053  |  | 43000 | 44341 |
| UPMC 5.035% 5/15/2033  |  | 800000 | 821341 |
| UPMC 5.377% 5/15/2043  |  | 655000 | 648558 |
| US Acute Care Solutions LLC 9.75% 5/15/2029 (b) |  | 140000 | 142223 |
|  |  |  | 246818100 |
| Health Care Technology - 0.0% |  |  |  |
| IQVIA Inc 5% 10/15/2026 (b) |  | 470000 | 469689 |
| IQVIA Inc 5.7% 5/15/2028  |  | 3150000 | 3248910 |
| IQVIA Inc 6.25% 6/1/2032 (b) |  | 1510000 | 1579407 |
| IQVIA Inc 6.5% 5/15/2030 (b) |  | 85000 | 88431 |
|  |  |  | 5386437 |
| Life Sciences Tools & Services - 0.0% |  |  |  |
| Agilent Technologies Inc 2.3% 3/12/2031  |  | 1245000 | 1128124 |
| Charles River Laboratories International Inc 3.75% 3/15/2029 (b) |  | 557000 | 537400 |
| Charles River Laboratories International Inc 4.25% 5/1/2028 (b) |  | 175000 | 173183 |
| Illumina Inc 4.65% 9/9/2026  |  | 4500000 | 4512952 |
| Thermo Fisher Scientific Inc 2.8% 10/15/2041  |  | 620000 | 463150 |
|  |  |  | 6814809 |
| Pharmaceuticals - 0.1% |  |  |  |
| 1261229 BC Ltd 10% 4/15/2032 (b) |  | 1240000 | 1281931 |
| Bausch Health Cos Inc 4.875% 6/1/2028 (b) |  | 580000 | 524897 |
| Bausch Health Cos Inc 5% 1/30/2028 (b) |  | 25000 | 22531 |
| Bausch Health Cos Inc 5% 2/15/2029 (b) |  | 400000 | 318037 |
| Bausch Health Cos Inc 5.25% 1/30/2030 (b) |  | 825000 | 606375 |
| Bausch Health Cos Inc 5.25% 2/15/2031 (b) |  | 4796000 | 3237300 |
| Bausch Health Cos Inc 6.25% 2/15/2029 (b) |  | 100000 | 81948 |
| Bausch Health Cos Inc 7% 1/15/2028 (b) |  | 375000 | 350625 |
| Bristol-Myers Squibb Co 2.35% 11/13/2040  |  | 407000 | 292404 |
| Bristol-Myers Squibb Co 3.7% 3/15/2052  |  | 1949000 | 1472751 |
| Bristol-Myers Squibb Co 3.9% 3/15/2062  |  | 260000 | 192792 |
| Bristol-Myers Squibb Co 4.125% 6/15/2039  |  | 300000 | 276476 |
| Bristol-Myers Squibb Co 5.55% 2/22/2054  |  | 1835000 | 1853929 |
| Elanco Animal Health Inc 6.65% 8/28/2028 (d) |  | 1693000 | 1774487 |
| Eli Lilly & Co 4% 10/15/2028  |  | 4400000 | 4429849 |
| Eli Lilly & Co 4.6% 8/14/2034  |  | 3066000 | 3104699 |
| Eli Lilly & Co 4.7% 2/9/2034  |  | 3179000 | 3240617 |
| Eli Lilly & Co 4.95% 2/27/2063  |  | 320000 | 297957 |
| Endo Finance Holdings Inc 8.5% 4/15/2031 (b) |  | 100000 | 104028 |
| Haleon US Capital LLC 3.375% 3/24/2027  |  | 250000 | 247736 |
| Haleon US Capital LLC 3.625% 3/24/2032  |  | 1305000 | 1244332 |
| Jazz Securities DAC 4.375% 1/15/2029 (b) |  | 95000 | 93783 |
| Merck & Co Inc 2.9% 12/10/2061  |  | 140000 | 84159 |
| Merck & Co Inc 4% 3/7/2049  |  | 200000 | 163688 |
| Mylan Inc 5.2% 4/15/2048  |  | 910000 | 743530 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/2028 (b) |  | 690000 | 672451 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 5.125% 4/30/2031 (b) |  | 810000 | 678338 |
| Perrigo Finance Unlimited Co 4.9% 6/15/2030 (g) |  | 200000 | 193235 |
| Perrigo Finance Unlimited Co 6.125% 9/30/2032  |  | 270000 | 263599 |
| Pfizer Inc 2.7% 5/28/2050  |  | 340000 | 217616 |
| Pfizer Inc 3.9% 3/15/2039  |  | 86000 | 77199 |
| Pfizer Inc 4.3% 6/15/2043  |  | 117000 | 103947 |
| Pfizer Inc 4.4% 5/15/2044  |  | 280000 | 253956 |
| Pfizer Investment Enterprises Pte Ltd 5.3% 5/19/2053  |  | 365000 | 353776 |
| Roche Holdings Inc 4.79% 3/8/2029 (b) |  | 250000 | 256366 |
| Royalty Pharma PLC 4.450% 3/25/2031  |  | 8100000 | 8083978 |
| Utah Acquisition Sub Inc 3.95% 6/15/2026  |  | 4915000 | 4897845 |
| Utah Acquisition Sub Inc 5.25% 6/15/2046  |  | 695000 | 575629 |
| Viatris Inc 2.3% 6/22/2027  |  | 120000 | 115884 |
| Viatris Inc 3.85% 6/22/2040  |  | 12410000 | 9490762 |
| Zoetis Inc 2% 5/15/2030  |  | 173000 | 158589 |
| Zoetis Inc 4.15% 8/17/2028  |  | 6100000 | 6137528 |
| Zoetis Inc 5% 8/17/2035  |  | 495000 | 503655 |
| Zoetis Inc 5.6% 11/16/2032  |  | 141000 | 150720 |
|  |  |  | 59225934 |
| TOTAL HEALTH CARE |  |  | 373995011 |
| Industrials - 0.6% |  |  |  |
| Aerospace & Defense - 0.4% |  |  |  |
| ATI Inc 4.875% 10/1/2029  |  | 70000 | 69852 |
| ATI Inc 5.875% 12/1/2027  |  | 348000 | 348549 |
| Axon Enterprise Inc 6.125% 3/15/2030 (b) |  | 345000 | 355616 |
| Axon Enterprise Inc 6.25% 3/15/2033 (b) |  | 145000 | 150543 |
| Boeing Co 2.196% 2/4/2026  |  | 38850000 | 38693765 |
| Boeing Co 2.25% 6/15/2026  |  | 810000 | 800231 |
| Boeing Co 2.75% 2/1/2026  |  | 5900000 | 5882901 |
| Boeing Co 3.25% 2/1/2035  |  | 3280000 | 2873579 |
| Boeing Co 3.375% 6/15/2046  |  | 1375000 | 983580 |
| Boeing Co 3.55% 3/1/2038  |  | 1335000 | 1132561 |
| Boeing Co 3.6% 5/1/2034  |  | 1235000 | 1126909 |
| Boeing Co 3.625% 2/1/2031  |  | 500000 | 480750 |
| Boeing Co 3.9% 5/1/2049  |  | 985000 | 745031 |
| Boeing Co 5.04% 5/1/2027  |  | 4200000 | 4241288 |
| Boeing Co 5.15% 5/1/2030  |  | 4430000 | 4565914 |
| Boeing Co 5.705% 5/1/2040  |  | 3235000 | 3323442 |
| Boeing Co 5.805% 5/1/2050  |  | 1395000 | 1389214 |
| Boeing Co 5.93% 5/1/2060  |  | 5583000 | 5542641 |
| Boeing Co 6.259% 5/1/2027  |  | 524000 | 538318 |
| Boeing Co 6.298% 5/1/2029  |  | 3871000 | 4117008 |
| Boeing Co 6.388% 5/1/2031  |  | 1417000 | 1541718 |
| Boeing Co 6.528% 5/1/2034  |  | 1517000 | 1686871 |
| Boeing Co 7.008% 5/1/2064  |  | 2743000 | 3141041 |
| BWX Technologies Inc 4.125% 4/15/2029 (b) |  | 442000 | 433759 |
| BWX Technologies Inc 4.125% 6/30/2028 (b) |  | 220000 | 215835 |
| Carpenter Technology Corp 5.625% 3/1/2034 (b) |  | 180000 | 182943 |
| HEICO Corp 5.25% 8/1/2028  |  | 1220000 | 1256936 |
| Howmet Aerospace Inc 4.85% 10/15/2031  |  | 4900000 | 5050451 |
| Huntington Ingalls Industries Inc 5.353% 1/15/2030  |  | 5600000 | 5804038 |
| L3Harris Technologies Inc 5.35% 6/1/2034  |  | 137000 | 142589 |
| L3Harris Technologies Inc 5.4% 1/15/2027  |  | 3030000 | 3075442 |
| L3Harris Technologies Inc 5.6% 7/31/2053  |  | 120000 | 120995 |
| Lockheed Martin Corp 4.15% 6/15/2053  |  | 290000 | 236754 |
| Lockheed Martin Corp 4.7% 5/15/2046  |  | 145000 | 133479 |
| Lockheed Martin Corp 4.8% 8/15/2034  |  | 130000 | 132556 |
| Moog Inc 4.25% 12/15/2027 (b) |  | 360000 | 357938 |
| Northrop Grumman Corp 4.03% 10/15/2047  |  | 728000 | 597011 |
| Northrop Grumman Corp 4.75% 6/1/2043  |  | 545000 | 508157 |
| Northrop Grumman Corp 4.95% 3/15/2053  |  | 623000 | 572793 |
| RTX Corp 1.9% 9/1/2031  |  | 210000 | 184860 |
| RTX Corp 2.375% 3/15/2032  |  | 1000000 | 893807 |
| RTX Corp 3.03% 3/15/2052  |  | 200000 | 132749 |
| RTX Corp 4.5% 6/1/2042  |  | 138000 | 125923 |
| RTX Corp 5.15% 2/27/2033  |  | 186000 | 194065 |
| RTX Corp 5.375% 2/27/2053  |  | 126000 | 123443 |
| RTX Corp 6.4% 3/15/2054  |  | 100000 | 111988 |
| Spirit AeroSystems Inc 4.6% 6/15/2028  |  | 100000 | 100523 |
| Textron Inc 2.45% 3/15/2031  |  | 3245000 | 2947552 |
| Textron Inc 3% 6/1/2030  |  | 550000 | 522068 |
| Textron Inc 4.95% 3/15/2036  |  | 2575000 | 2576381 |
| TransDigm Inc 6% 1/15/2033 (b) |  | 615000 | 628840 |
| TransDigm Inc 6.25% 1/31/2034 (b) |  | 40000 | 41474 |
| TransDigm Inc 6.375% 3/1/2029 (b) |  | 830000 | 854900 |
| TransDigm Inc 6.375% 5/31/2033 (b) |  | 630000 | 645747 |
| TransDigm Inc 6.625% 3/1/2032 (b) |  | 610000 | 634018 |
| TransDigm Inc 6.75% 1/31/2034 (b) |  | 220000 | 229865 |
| TransDigm Inc 6.75% 8/15/2028 (b) |  | 100000 | 102000 |
| TransDigm Inc 7.125% 12/1/2031 (b) |  | 100000 | 104839 |
|  |  |  | 113708040 |
| Air Freight & Logistics - 0.0% |  |  |  |
| GXO Logistics Inc 6.25% 5/6/2029  |  | 800000 | 840179 |
| Rand Parent LLC 8.5% 2/15/2030 (b) |  | 305000 | 314728 |
|  |  |  | 1154907 |
| Building Products - 0.0% |  |  |  |
| Advanced Drainage Systems Inc 5% 9/30/2027 (b) |  | 500000 | 499353 |
| Builders FirstSource Inc 4.25% 2/1/2032 (b) |  | 975000 | 926695 |
| Builders FirstSource Inc 5% 3/1/2030 (b) |  | 210000 | 209117 |
| Builders FirstSource Inc 6.375% 3/1/2034 (b) |  | 100000 | 104012 |
| Builders FirstSource Inc 6.75% 5/15/2035 (b) |  | 310000 | 326955 |
| Carlisle Cos Inc 2.2% 3/1/2032  |  | 1890000 | 1650156 |
| Carlisle Cos Inc 5.25% 9/15/2035  |  | 1200000 | 1227142 |
| Carrier Global Corp 5.9% 3/15/2034  |  | 2541000 | 2744992 |
| Carrier Global Corp 6.2% 3/15/2054  |  | 392000 | 430825 |
| Cornerstone Building Brands Inc 9.5% 8/15/2029 (b) |  | 18000 | 14453 |
| EMRLD Borrower LP / Emerald Co-Issuer Inc 6.375% 12/15/2030 (e) | EUR | 100000 | 120952 |
| EMRLD Borrower LP / Emerald Co-Issuer Inc 6.625% 12/15/2030 (b) |  | 1697000 | 1758691 |
| Griffon Corp 5.75% 3/1/2028  |  | 431000 | 431526 |
| JELD-WEN Inc 4.875% 12/15/2027 (b) |  | 1077000 | 924935 |
| JH North America Holdings Inc 6.125% 7/31/2032 (b) |  | 310000 | 317775 |
| Masterbrand Inc 7% 7/15/2032 (b) |  | 505000 | 520986 |
| Miter Brands Acquisition Holdco Inc / MIWD Borrower LLC 6.75% 4/1/2032 (b) |  | 515000 | 526100 |
| Owens Corning 3.95% 8/15/2029  |  | 1305000 | 1295238 |
| Standard Building Solutions Inc 6.25% 8/1/2033 (b) |  | 125000 | 128205 |
| Standard Building Solutions Inc 6.5% 8/15/2032 (b) |  | 235000 | 242437 |
| Standard Industries Inc/NY 3.375% 1/15/2031 (b) |  | 412000 | 377999 |
| Standard Industries Inc/NY 4.375% 7/15/2030 (b) |  | 896000 | 868791 |
| Standard Industries Inc/NY 4.75% 1/15/2028 (b) |  | 3618000 | 3608029 |
|  |  |  | 19255364 |
| Commercial Services & Supplies - 0.0% |  |  |  |
| ACCO Brands Corp 4.25% 3/15/2029 (b) |  | 462000 | 418825 |
| ADT Security Corp/The 4.125% 8/1/2029 (b) |  | 373000 | 362911 |
| ADT Security Corp/The 4.875% 7/15/2032 (b) |  | 263000 | 254934 |
| Advocate Health & Hospitals Corp 3.387% 10/15/2049  |  | 510000 | 376843 |
| Allied Universal Holdco LLC / Allied Universal Finance Corp 6% 6/1/2029 (b) |  | 1175000 | 1152107 |
| Allied Universal Holdco LLC / Allied Universal Finance Corp 6.875% 6/15/2030 (b) |  | 805000 | 832043 |
| Allied Universal Holdco LLC 7.875% 2/15/2031 (b) |  | 100000 | 105286 |
| Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl 4.625% 6/1/2028 (b) |  | 1030000 | 1011056 |
| Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl 4.625% 6/1/2028 (b) |  | 520000 | 510696 |
| Artera Services LLC 8.5% 2/15/2031 (b) |  | 645000 | 557568 |
| Brand Industrial Services Inc 10.375% 8/1/2030 (b) |  | 195000 | 191228 |
| Clean Harbors Inc 5.125% 7/15/2029 (b) |  | 85000 | 85105 |
| Clean Harbors Inc 5.75% 10/15/2033 (b) |  | 130000 | 132869 |
| Clean Harbors Inc 6.375% 2/1/2031 (b) |  | 220000 | 226118 |
| CoreCivic Inc 8.25% 4/15/2029  |  | 175000 | 184367 |
| GEO Group Inc/The 10.25% 4/15/2031  |  | 55000 | 60351 |
| GEO Group Inc/The 8.625% 4/15/2029  |  | 275000 | 289782 |
| GFL Environmental Inc 4% 8/1/2028 (b) |  | 345000 | 338246 |
| GFL Environmental Inc 4.75% 6/15/2029 (b) |  | 513000 | 512419 |
| GFL Environmental Inc 6.75% 1/15/2031 (b) |  | 1197000 | 1256638 |
| Neptune Bidco US Inc 10.375% 5/15/2031 (b) |  | 90000 | 90993 |
| Neptune Bidco US Inc 9.29% 4/15/2029 (b) |  | 340000 | 337450 |
| OT Midco Inc 10% 2/15/2030 (b) |  | 55000 | 21796 |
| Prime Security Services Borrower LLC / Prime Finance Inc 3.375% 8/31/2027 (b) |  | 525000 | 512517 |
| Rollins Inc 5.25% 2/24/2035  |  | 2660000 | 2726723 |
| VT Topco Inc 8.5% 8/15/2030 (b) |  | 285000 | 296796 |
| Waste Pro USA Inc 7% 2/1/2033 (b) |  | 180000 | 187219 |
| Williams Scotsman Inc 4.625% 8/15/2028 (b) |  | 120000 | 118538 |
| Williams Scotsman Inc 6.625% 4/15/2030 (b) |  | 240000 | 247822 |
| Williams Scotsman Inc 6.625% 6/15/2029 (b) |  | 800000 | 825413 |
| Williams Scotsman Inc 7.375% 10/1/2031 (b) |  | 260000 | 270858 |
|  |  |  | 14495517 |
| Construction & Engineering - 0.0% |  |  |  |
| AECOM 6% 8/1/2033 (b) |  | 695000 | 714418 |
| Dycom Industries Inc 4.5% 4/15/2029 (b) |  | 492000 | 485427 |
| MasTec Inc 5.9% 6/15/2029  |  | 610000 | 637860 |
| MasTec Inc 6.625% 8/15/2029 (b) |  | 43000 | 43243 |
| Maxim Crane Works Holdings Capital LLC 11.5% 9/1/2028 (b) |  | 900000 | 956195 |
| Quanta Services Inc 4.5% 1/15/2031  |  | 415000 | 416749 |
| Quanta Services Inc 4.75% 8/9/2027  |  | 1040000 | 1050678 |
| Quanta Services Inc 5.25% 8/9/2034  |  | 479000 | 495504 |
|  |  |  | 4800074 |
| Electrical Equipment - 0.0% |  |  |  |
| EnerSys 4.375% 12/15/2027 (b) |  | 31000 | 30788 |
| EnerSys 6.625% 1/15/2032 (b) |  | 230000 | 239021 |
| Regal Rexnord Corp 6.05% 4/15/2028  |  | 500000 | 517497 |
| Regal Rexnord Corp 6.4% 4/15/2033  |  | 49000 | 52839 |
| Sensata Technologies BV 4% 4/15/2029 (b) |  | 105000 | 102522 |
| Vertiv Group Corp 4.125% 11/15/2028 (b) |  | 195000 | 193311 |
| WESCO Distribution Inc 6.375% 3/15/2029 (b) |  | 840000 | 867869 |
| WESCO Distribution Inc 6.375% 3/15/2033 (b) |  | 285000 | 298072 |
| WESCO Distribution Inc 6.625% 3/15/2032 (b) |  | 1070000 | 1122312 |
| WESCO Distribution Inc 7.25% 6/15/2028 (b) |  | 1025000 | 1040383 |
|  |  |  | 4464614 |
| Ground Transportation - 0.0% |  |  |  |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 5.375% 3/1/2029 (b) |  | 68000 | 65913 |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 5.75% 7/15/2027 (b) |  | 328000 | 327456 |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 8% 2/15/2031 (b) |  | 235000 | 239986 |
| Burlington Northern Santa Fe LLC 3.55% 2/15/2050  |  | 166000 | 124177 |
| Burlington Northern Santa Fe LLC 4.375% 9/1/2042  |  | 73000 | 65901 |
| Burlington Northern Santa Fe LLC 5.2% 4/15/2054  |  | 1082000 | 1041896 |
| Burlington Northern Santa Fe LLC 5.4% 6/1/2041  |  | 150000 | 153560 |
| Burlington Northern Santa Fe LLC 5.5% 3/15/2055  |  | 885000 | 888798 |
| CSX Corp 6.15% 5/1/2037  |  | 1475000 | 1637770 |
| Genesee & Wyoming Inc 6.25% 4/15/2032 (b) |  | 560000 | 575833 |
| Norfolk Southern Corp 3.95% 10/1/2042  |  | 105000 | 88802 |
| Norfolk Southern Corp 4.05% 8/15/2052  |  | 29000 | 23089 |
| RXO Inc 7.5% 11/15/2027 (b) |  | 150000 | 152813 |
| Uber Technologies Inc 4.15% 1/15/2031  |  | 2356000 | 2345679 |
| Uber Technologies Inc 4.8% 9/15/2034  |  | 4265000 | 4288884 |
| Uber Technologies Inc 4.8% 9/15/2035  |  | 2938000 | 2936667 |
| Uber Technologies Inc 5.35% 9/15/2054  |  | 90000 | 87123 |
| Union Pacific Corp 3.6% 9/15/2037  |  | 1015000 | 911437 |
| XPO Inc 6.25% 6/1/2028 (b) |  | 213000 | 217354 |
| XPO Inc 7.125% 2/1/2032 (b) |  | 850000 | 898129 |
| XPO Inc 7.125% 6/1/2031 (b) |  | 940000 | 983341 |
|  |  |  | 18054608 |
| Industrial Conglomerates - 0.0% |  |  |  |
| Honeywell International Inc 5.25% 3/1/2054  |  | 330000 | 319604 |
| Machinery - 0.2% |  |  |  |
| Allison Transmission Inc 3.75% 1/30/2031 (b) |  | 366000 | 341327 |
| Allison Transmission Inc 4.75% 10/1/2027 (b) |  | 7000 | 6988 |
| Allison Transmission Inc 5.875% 12/1/2033 (b) |  | 130000 | 131184 |
| Allison Transmission Inc 5.875% 6/1/2029 (b) |  | 361000 | 366357 |
| Beach Acquisition Bidco LLC 5.3% 7/15/2032 (e) | EUR | 100000 | 118835 |
| Caterpillar Financial Services Corp 4.4% 10/15/2027  |  | 4000000 | 4046121 |
| Chart Industries Inc 7.5% 1/1/2030 (b) |  | 959000 | 999220 |
| Eaton Corp 4.15% 11/2/2042  |  | 73000 | 64553 |
| Enpro Inc 6.125% 6/1/2033 (b) |  | 185000 | 191105 |
| Esab Corp 6.25% 4/15/2029 (b) |  | 443000 | 456376 |
| Flowserve Corp 2.8% 1/15/2032  |  | 405000 | 363958 |
| Hillenbrand Inc 3.75% 3/1/2031  |  | 291000 | 291125 |
| IDEX Corp 4.95% 9/1/2029  |  | 2190000 | 2242798 |
| Oregon Tool Lux LP 7.875% 10/15/2029 (b)(i) |  | 298350 | 128291 |
| Parker-Hannifin Corp 4.25% 9/15/2027  |  | 160000 | 161084 |
| Pentair Finance Sarl 4.5% 7/1/2029  |  | 9495000 | 9558983 |
| Terex Corp 5% 5/15/2029 (b) |  | 200000 | 198696 |
| Terex Corp 6.25% 10/15/2032 (b) |  | 265000 | 270556 |
| Trinity Industries Inc 7.75% 7/15/2028 (b) |  | 325000 | 338427 |
| Wabash National Corp 4.5% 10/15/2028 (b) |  | 295000 | 270026 |
| Westinghouse Air Brake Technologies Corp 3.45% 11/15/2026  |  | 1490000 | 1481065 |
| Westinghouse Air Brake Technologies Corp 4.7% 9/15/2028 (g) |  | 10335000 | 10460872 |
|  |  |  | 32487947 |
| Passenger Airlines - 0.0% |  |  |  |
| American Airlines 2016-3 Class A Pass Through Trust 7.25% 2/15/2028 (b) |  | 80000 | 81897 |
| American Airlines 2016-3 Class A Pass Through Trust 8.5% 5/15/2029 (b) |  | 95000 | 99241 |
| American Airlines 2017-2 Class AA Pass Through Trust equipment trust certificate 3.35% 4/15/2031  |  | 297042 | 286856 |
| American Airlines Inc/AAdvantage Loyalty IP Ltd 5.5% 4/20/2026 (b) |  | 90337 | 90495 |
| American Airlines Inc/AAdvantage Loyalty IP Ltd 5.75% 4/20/2029 (b) |  | 2515520 | 2545128 |
| Delta Air Lines 1991 Series J Pass Through Trust equipment trust certificate 2% 12/10/2029  |  | 213814 | 205300 |
| JetBlue 2020-1 Class A Pass Through Trust 4% 5/15/2034  |  | 134563 | 127643 |
| JetBlue Airways Corp / JetBlue Loyalty LP 9.875% 9/20/2031 (b) |  | 355000 | 350651 |
| JetBlue Airways Corp equipment trust certificate 2.75% 11/15/2033  |  | 1295216 | 1158511 |
| Southwest Airlines Co 4.375% 11/15/2028  |  | 1035000 | 1035018 |
| Southwest Airlines Co 5.125% 6/15/2027  |  | 5340000 | 5399971 |
| Spirit Airlines Pass Through Trust 2015-1A equipment trust certificate 4.1% 10/1/2029  |  | 490805 | 469852 |
| United Airlines 2014-2 Class B Pass Through Trust equipment trust certificate 3.75% 3/3/2028  |  | 141165 | 140439 |
| United Airlines 2018-1 Class AA Pass Through Trust 3.5% 9/1/2031  |  | 743631 | 718814 |
| United Airlines 2019-2 Class AA Pass Through Trust 2.7% 11/1/2033  |  | 365681 | 336512 |
| United Airlines 2023-1 Class A Pass Through Trust equipment trust certificate 5.8% 7/15/2037  |  | 2201812 | 2323874 |
| United Airlines 2024-1 Class A Pass Through Trust equipment trust certificate 5.45% 8/15/2038  |  | 594761 | 616382 |
| United Airlines Inc 4.375% 4/15/2026 (b) |  | 1715000 | 1712838 |
| United Airlines Inc 4.625% 4/15/2029 (b) |  | 905000 | 900421 |
|  |  |  | 18599843 |
| Professional Services - 0.0% |  |  |  |
| Amentum Holdings Inc 7.25% 8/1/2032 (b) |  | 185000 | 194186 |
| Booz Allen Hamilton Inc 3.875% 9/1/2028 (b) |  | 466000 | 458525 |
| CACI International Inc 6.375% 6/15/2033 (b) |  | 240000 | 250201 |
| Equifax Inc 2.35% 9/15/2031  |  | 250000 | 222513 |
| Equifax Inc 4.8% 9/15/2029  |  | 4000000 | 4065195 |
| ION Platform Finance US Inc / ION Platform Finance SARL 5% 5/1/2028 (b) |  | 60000 | 55905 |
| ION Platform Finance US Inc / ION Platform Finance SARL 8.75% 5/1/2029 (b) |  | 283000 | 280207 |
| ION Platform Finance US Inc / ION Platform Finance SARL 9% 8/1/2029 (b) |  | 125000 | 124849 |
| Leidos Inc 5.4% 3/15/2032  |  | 987000 | 1030969 |
| Paychex Inc 5.1% 4/15/2030  |  | 440000 | 452178 |
| Paychex Inc 5.35% 4/15/2032  |  | 613000 | 637506 |
| Paychex Inc 5.6% 4/15/2035  |  | 480000 | 504239 |
| Science Applications International Corp 5.875% 11/1/2033 (b) |  | 385000 | 383511 |
| TriNet Group Inc 3.5% 3/1/2029 (b) |  | 165000 | 155693 |
| TriNet Group Inc 7.125% 8/15/2031 (b) |  | 265000 | 274244 |
| Verisk Analytics Inc 4.5% 8/15/2030  |  | 1182000 | 1191574 |
| Verisk Analytics Inc 5.125% 2/15/2036  |  | 2657000 | 2695062 |
|  |  |  | 12976557 |
| Trading Companies & Distributors - 0.0% |  |  |  |
| Air Lease Corp 5.3% 6/25/2026  |  | 3000000 | 3017887 |
| Air Lease Corp 5.85% 12/15/2027  |  | 970000 | 998230 |
| Alta Equipment Group Inc 9% 6/1/2029 (b) |  | 1020000 | 904348 |
| Dcli Bidco LLC 7.75% 11/15/2029 (b) |  | 1075000 | 1056981 |
| Ferguson Enterprises Inc 5% 10/3/2034  |  | 840000 | 852225 |
| FTAI Aviation Investors LLC 5.875% 4/15/2033 (b) |  | 180000 | 182251 |
| FTAI Aviation Investors LLC 7% 5/1/2031 (b) |  | 100000 | 104755 |
| FTAI Aviation Investors LLC 7% 6/15/2032 (b) |  | 230000 | 241224 |
| FTAI Aviation Investors LLC 7.875% 12/1/2030 (b) |  | 140000 | 149052 |
| Herc Holdings Inc 5.5% 7/15/2027 (b) |  | 397000 | 396948 |
| Herc Holdings Inc 6.625% 6/15/2029 (b) |  | 150000 | 155564 |
| Herc Holdings Inc 7% 6/15/2030 (b) |  | 1356000 | 1423437 |
| Herc Holdings Inc 7.25% 6/15/2033 (b) |  | 595000 | 629896 |
| QXO Building Products Inc 6.75% 4/30/2032 (b) |  | 180000 | 187977 |
| United Rentals North America Inc 3.75% 1/15/2032  |  | 1085000 | 1019388 |
| United Rentals North America Inc 3.875% 2/15/2031  |  | 300000 | 286790 |
| United Rentals North America Inc 4% 7/15/2030  |  | 195000 | 188366 |
| United Rentals North America Inc 4.875% 1/15/2028  |  | 1800000 | 1799751 |
| United Rentals North America Inc 5.375% 11/15/2033 (b) |  | 130000 | 130299 |
| United Rentals North America Inc 6.125% 3/15/2034 (b) |  | 1180000 | 1232392 |
|  |  |  | 14957761 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Star Leasing Co LLC 7.625% 2/15/2030 (b) |  | 3060000 | 2923355 |
| TOTAL INDUSTRIALS |  |  | 258198191 |
| Information Technology - 0.6% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| CommScope LLC 4.75% 9/1/2029 (b) |  | 64000 | 63889 |
| CommScope LLC 9.5% 12/15/2031 (b) |  | 170000 | 172458 |
| CommScope Technologies LLC 5% 3/15/2027 (b) |  | 43000 | 42945 |
| Motorola Solutions Inc 2.3% 11/15/2030  |  | 87000 | 78914 |
| Motorola Solutions Inc 4.6% 2/23/2028  |  | 1075000 | 1086135 |
| Motorola Solutions Inc 5.4% 4/15/2034  |  | 1875000 | 1939778 |
| Motorola Solutions Inc 5.55% 8/15/2035  |  | 181000 | 188778 |
| Motorola Solutions Inc 5.6% 6/1/2032  |  | 803000 | 846246 |
| Viasat Inc 5.625% 4/15/2027 (b) |  | 100000 | 100102 |
|  |  |  | 4519245 |
| Electronic Equipment, Instruments & Components - 0.1% |  |  |  |
| Amphenol Corp 2.8% 2/15/2030  |  | 1225000 | 1164352 |
| Amphenol Corp 5.3% 11/15/2055  |  | 468000 | 455900 |
| Arrow Electronics Inc 5.15% 8/21/2029  |  | 4000000 | 4098847 |
| Coherent Corp 5% 12/15/2029 (b) |  | 883000 | 875081 |
| Corning Inc 5.35% 11/15/2048  |  | 146000 | 143694 |
| Dell International LLC / EMC Corp 4.15% 2/15/2029  |  | 2377000 | 2373776 |
| Dell International LLC / EMC Corp 4.5% 2/15/2031  |  | 6241000 | 6241563 |
| Dell International LLC / EMC Corp 4.75% 10/6/2032  |  | 3136000 | 3144377 |
| Dell International LLC / EMC Corp 5% 4/1/2030  |  | 1750000 | 1793735 |
| Dell International LLC / EMC Corp 5.1% 2/15/2036  |  | 5100000 | 5093137 |
| Imola Merger Corp 4.75% 5/15/2029 (b) |  | 677000 | 668704 |
| Insight Enterprises Inc 6.625% 5/15/2032 (b) |  | 440000 | 450454 |
| Lightning Power LLC 7.25% 8/15/2032 (b) |  | 295000 | 313047 |
| Sensata Technologies Inc 3.75% 2/15/2031 (b) |  | 156000 | 145884 |
| Sensata Technologies Inc 4.375% 2/15/2030 (b) |  | 225000 | 219191 |
| Sensata Technologies Inc 6.625% 7/15/2032 (b) |  | 600000 | 627227 |
| TD SYNNEX Corp 1.75% 8/9/2026  |  | 6930000 | 6811586 |
| TD SYNNEX Corp 4.3% 1/17/2029  |  | 3305000 | 3303744 |
| TD SYNNEX Corp 6.1% 4/12/2034  |  | 300000 | 318670 |
| TTM Technologies Inc 4% 3/1/2029 (b) |  | 265000 | 256668 |
|  |  |  | 38499637 |
| IT Services - 0.1% |  |  |  |
| Accenture Capital Inc 4.25% 10/4/2031  |  | 3330000 | 3338057 |
| ASGN Inc 4.625% 5/15/2028 (b) |  | 265000 | 259623 |
| CDW LLC / CDW Finance Corp 3.276% 12/1/2028  |  | 740000 | 715514 |
| CDW LLC / CDW Finance Corp 5.1% 3/1/2030  |  | 5670000 | 5791629 |
| Cogent Communications Group LLC / Cogent Finance Inc 6.5% 7/1/2032 (b) |  | 100000 | 91134 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (b) |  | 320000 | 316917 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (b) |  | 75000 | 74283 |
| CoreWeave Inc 9% 2/1/2031 (b) |  | 885000 | 800831 |
| CoreWeave Inc 9.25% 6/1/2030 (b) |  | 1380000 | 1273196 |
| Gartner Inc 3.625% 6/15/2029 (b) |  | 5436000 | 5220692 |
| Gartner Inc 3.75% 10/1/2030 (b) |  | 432000 | 409750 |
| Gartner Inc 4.5% 7/1/2028 (b) |  | 2754000 | 2744209 |
| Gartner Inc 4.95% 3/20/2031  |  | 3300000 | 3325213 |
| Genpact Luxembourg SARL/Genpact USA Inc 1.75% 4/10/2026  |  | 960000 | 951300 |
| Genpact Luxembourg SARL/Genpact USA Inc 6% 6/4/2029  |  | 2875000 | 2999354 |
| Go Daddy Operating Co LLC / GD Finance Co Inc 3.5% 3/1/2029 (b) |  | 465000 | 445008 |
|  |  |  | 28756710 |
| Semiconductors & Semiconductor Equipment - 0.2% |  |  |  |
| Amkor Technology Inc 5.875% 10/1/2033 (b) |  | 145000 | 147612 |
| Broadcom Inc 1.95% 2/15/2028  |  | 1620000 | 1553404 |
| Broadcom Inc 2.45% 2/15/2031  |  | 15176000 | 13950360 |
| Broadcom Inc 2.6% 2/15/2033  |  | 6229000 | 5537577 |
| Broadcom Inc 3.137% 11/15/2035 (b) |  | 4483000 | 3926385 |
| Broadcom Inc 3.187% 11/15/2036 (b) |  | 4812000 | 4155615 |
| Broadcom Inc 3.419% 4/15/2033  |  | 983000 | 921176 |
| Broadcom Inc 3.469% 4/15/2034  |  | 4325000 | 3989882 |
| Broadcom Inc 3.5% 2/15/2041  |  | 11980000 | 9955738 |
| Broadcom Inc 4% 4/15/2029 (b) |  | 2785000 | 2781032 |
| Broadcom Inc 4.15% 2/15/2028  |  | 4046000 | 4065547 |
| Broadcom Inc 4.15% 4/15/2032 (b) |  | 806000 | 795627 |
| Broadcom Inc 4.3% 11/15/2032  |  | 4255000 | 4232406 |
| Broadcom Inc 4.35% 2/15/2030  |  | 8740000 | 8814489 |
| Broadcom Inc 4.55% 2/15/2032  |  | 194000 | 196294 |
| Broadcom Inc 4.6% 7/15/2030  |  | 1400000 | 1426712 |
| Broadcom Inc 4.8% 10/15/2034  |  | 655000 | 664141 |
| Broadcom Inc 4.9% 2/15/2038  |  | 640000 | 638799 |
| Broadcom Inc 4.9% 7/15/2032  |  | 4755000 | 4892641 |
| Broadcom Inc 4.926% 5/15/2037 (b) |  | 606000 | 609074 |
| Broadcom Inc 5.05% 4/15/2030  |  | 720000 | 745642 |
| Broadcom Inc 5.05% 7/12/2027  |  | 600000 | 610209 |
| Broadcom Inc 5.05% 7/12/2029  |  | 6747000 | 6971814 |
| Broadcom Inc 5.15% 11/15/2031  |  | 470000 | 490429 |
| Broadcom Inc 5.2% 4/15/2032  |  | 1837000 | 1920386 |
| Entegris Inc 3.625% 5/1/2029 (b) |  | 329000 | 313896 |
| Entegris Inc 4.375% 4/15/2028 (b) |  | 245000 | 242620 |
| Entegris Inc 4.75% 4/15/2029 (b) |  | 100000 | 99805 |
| Entegris Inc 5.95% 6/15/2030 (b) |  | 838000 | 857873 |
| Foundry JV Holdco LLC 5.5% 1/25/2031 (b) |  | 3535000 | 3676102 |
| Foundry JV Holdco LLC 5.9% 1/25/2033 (b) |  | 966000 | 1020225 |
| Foundry JV Holdco LLC 6.15% 1/25/2032 (b) |  | 1600000 | 1709809 |
| Foundry JV Holdco LLC 6.2% 1/25/2037 (b) |  | 634000 | 675908 |
| Foundry JV Holdco LLC 6.25% 1/25/2035 (b) |  | 595000 | 637076 |
| Intel Corp 1.6% 8/12/2028  |  | 2000000 | 1873138 |
| Intel Corp 2% 8/12/2031  |  | 1050000 | 924703 |
| Intel Corp 2.8% 8/12/2041  |  | 390000 | 276698 |
| Intel Corp 3.25% 11/15/2049  |  | 1355000 | 891744 |
| Intel Corp 4.1% 5/11/2047  |  | 400000 | 309658 |
| Intel Corp 4.9% 8/5/2052  |  | 215000 | 183344 |
| Intel Corp 5.7% 2/10/2053  |  | 375000 | 359475 |
| KLA Corp 3.3% 3/1/2050  |  | 252000 | 179412 |
| KLA Corp 4.65% 7/15/2032  |  | 130000 | 132820 |
| Marvell Technology Inc 4.75% 7/15/2030  |  | 145000 | 147155 |
| Marvell Technology Inc 5.45% 7/15/2035  |  | 613000 | 633486 |
| Marvell Technology Inc 5.75% 2/15/2029  |  | 1467000 | 1533134 |
| ON Semiconductor Corp 3.875% 9/1/2028 (b) |  | 321000 | 312922 |
| Qnity Electronics Inc 5.75% 8/15/2032 (b) |  | 850000 | 872373 |
| Qnity Electronics Inc 6.25% 8/15/2033 (b) |  | 205000 | 212448 |
| Synaptics Inc 4% 6/15/2029 (b) |  | 290000 | 278608 |
| Wolfspeed Inc 9.875% 6/23/2030 pay-in-kind (b)(d) |  | 58732 | 64311 |
|  |  |  | 102411734 |
| Software - 0.2% |  |  |  |
| AppLovin Corp 5.125% 12/1/2029  |  | 5323000 | 5444965 |
| AppLovin Corp 5.375% 12/1/2031  |  | 13755000 | 14310347 |
| AppLovin Corp 5.95% 12/1/2054  |  | 1480000 | 1487896 |
| Central Parent LLC / CDK Global II LLC / CDK Financing Co Inc 8% 6/15/2029 (b) |  | 100000 | 85240 |
| Clarivate Science Holdings Corp 3.875% 7/1/2028 (b) |  | 492000 | 476449 |
| Cloud Software Group Inc 9% 9/30/2029 (b) |  | 300000 | 309460 |
| Crowdstrike Holdings Inc 3% 2/15/2029  |  | 200000 | 191572 |
| Elastic NV 4.125% 7/15/2029 (b) |  | 780000 | 752238 |
| Ellucian Holdings Inc 6.5% 12/1/2029 (b) |  | 60000 | 60818 |
| Fair Isaac Corp 4% 6/15/2028 (b) |  | 500000 | 492858 |
| Fair Isaac Corp 6% 5/15/2033 (b) |  | 435000 | 447115 |
| Fiserv Funding ULC 3.5% 6/15/2032  | EUR | 410000 | 469901 |
| Gen Digital Inc 6.25% 4/1/2033 (b) |  | 590000 | 607128 |
| Gen Digital Inc 6.75% 9/30/2027 (b) |  | 100000 | 101969 |
| Intuit Inc 1.35% 7/15/2027  |  | 200000 | 192402 |
| Intuit Inc 5.2% 9/15/2033  |  | 490000 | 514621 |
| McAfee Corp 7.375% 2/15/2030 (b) |  | 100000 | 87256 |
| Microsoft Corp 2.921% 3/17/2052  |  | 1384000 | 940828 |
| NCR Voyix Corp 5% 10/1/2028 (b) |  | 422000 | 418899 |
| NCR Voyix Corp 5.125% 4/15/2029 (b) |  | 245000 | 242714 |
| Oracle Corp 2.3% 3/25/2028  |  | 1500000 | 1430930 |
| Oracle Corp 3.6% 4/1/2050  |  | 540000 | 357204 |
| Oracle Corp 3.65% 3/25/2041  |  | 255000 | 194010 |
| Oracle Corp 3.8% 11/15/2037  |  | 725000 | 602995 |
| Oracle Corp 3.95% 3/25/2051  |  | 47000 | 32706 |
| Oracle Corp 4.1% 3/25/2061  |  | 429000 | 289697 |
| Oracle Corp 4.125% 5/15/2045  |  | 1025000 | 773029 |
| Oracle Corp 4.2% 9/27/2029  |  | 8000000 | 7894048 |
| Oracle Corp 4.375% 5/15/2055  |  | 1356000 | 993222 |
| Oracle Corp 4.45% 9/26/2030  |  | 3888000 | 3831128 |
| Oracle Corp 4.8% 8/3/2028  |  | 13720000 | 13854494 |
| Oracle Corp 4.8% 9/26/2032  |  | 2982000 | 2931617 |
| Oracle Corp 5.2% 9/26/2035  |  | 10350000 | 10141864 |
| Oracle Corp 5.375% 9/27/2054  |  | 31000 | 26479 |
| Oracle Corp 5.875% 9/26/2045  |  | 2619000 | 2469498 |
| Oracle Corp 5.95% 9/26/2055  |  | 6875000 | 6442123 |
| Oracle Corp 6% 8/3/2055  |  | 3122000 | 2900623 |
| Oracle Corp 6.1% 9/26/2065  |  | 3028000 | 2819885 |
| Oracle Corp 6.125% 8/3/2065  |  | 1194000 | 1113846 |
| RingCentral Inc 8.5% 8/15/2030 (b) |  | 378000 | 402219 |
| Roper Technologies Inc 1.75% 2/15/2031  |  | 200000 | 175408 |
| Roper Technologies Inc 4.45% 9/15/2030  |  | 285000 | 286591 |
| Roper Technologies Inc 4.75% 2/15/2032  |  | 160000 | 162275 |
| Roper Technologies Inc 4.9% 10/15/2034  |  | 630000 | 632679 |
| Salesforce Inc 2.7% 7/15/2041  |  | 480000 | 352716 |
| Servicenow Inc 1.4% 9/1/2030  |  | 1005000 | 886648 |
| SS&C Technologies Inc 5.5% 9/30/2027 (b) |  | 976000 | 975843 |
| Synopsys Inc 4.85% 4/1/2030  |  | 7000000 | 7151019 |
| Synopsys Inc 5% 4/1/2032  |  | 3700000 | 3795960 |
| Synopsys Inc 5.7% 4/1/2055  |  | 750000 | 751824 |
| VMware LLC 1.8% 8/15/2028  |  | 2360000 | 2227167 |
| VMware LLC 3.9% 8/21/2027  |  | 500000 | 499153 |
| Workday Inc 3.5% 4/1/2027  |  | 405000 | 402116 |
| Workday Inc 3.7% 4/1/2029  |  | 1400000 | 1382066 |
| X.AI LLC / X.AI Co Issuer Corp 12.5% 6/30/2030  |  | 260000 | 273568 |
|  |  |  | 107091326 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |  |
| Apple Inc 2.65% 2/8/2051  |  | 1211000 | 773711 |
| Apple Inc 2.7% 8/5/2051  |  | 775000 | 497441 |
| Apple Inc 3.25% 2/23/2026  |  | 330000 | 329474 |
| Apple Inc 3.75% 11/13/2047  |  | 29000 | 23509 |
| Seagate Data Storage Technology Pte Ltd 3.125% 7/15/2029 (b) |  | 64000 | 55548 |
| Seagate Data Storage Technology Pte Ltd 4.091% 6/1/2029 (b) |  | 106000 | 103404 |
| Seagate Data Storage Technology Pte Ltd 4.125% 1/15/2031 (b) |  | 106000 | 100579 |
| Seagate Data Storage Technology Pte Ltd 5.875% 7/15/2030 (b) |  | 125000 | 128712 |
| Seagate Data Storage Technology Pte Ltd 8.25% 12/15/2029 (b) |  | 888000 | 943367 |
| Seagate Data Storage Technology Pte Ltd 8.5% 7/15/2031 (b) |  | 12000 | 12783 |
| Seagate Data Storage Technology Pte Ltd 9.625% 12/1/2032 (b) |  | 115000 | 130791 |
| Xerox Corp 13.5% 4/15/2031 (b) |  | 62000 | 57311 |
| Xerox Holdings Corp 8.875% 11/30/2029 (b) |  | 180000 | 66058 |
|  |  |  | 3222688 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 284501340 |
| Materials - 0.3% |  |  |  |
| Chemicals - 0.1% |  |  |  |
| Advancion Sciences Inc 9.25% 11/1/2026 pay-in-kind (b)(d) |  | 158015 | 137868 |
| Avient Corp 7.125% 8/1/2030 (b) |  | 342000 | 353103 |
| Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV 4.75% 6/15/2027 (b) |  | 240000 | 239988 |
| Axalta Coating Systems LLC 3.375% 2/15/2029 (b) |  | 385000 | 371850 |
| Celanese US Holdings LLC 6.5% 4/15/2030  |  | 215000 | 214660 |
| Celanese US Holdings LLC 6.75% 4/15/2033  |  | 495000 | 492619 |
| Celanese US Holdings LLC 6.85% 11/15/2028 (d) |  | 4508000 | 4659956 |
| Celanese US Holdings LLC 6.879% 7/15/2032 (d) |  | 400000 | 408085 |
| Celanese US Holdings LLC 7.05% 11/15/2030 (d) |  | 3406000 | 3530622 |
| Celanese US Holdings LLC 7.2% 11/15/2033 (d) |  | 1991000 | 2079305 |
| CF Industries Inc 4.95% 6/1/2043  |  | 422000 | 382768 |
| CF Industries Inc 5.3% 11/26/2035  |  | 1640000 | 1651821 |
| Chemours Co/The 4.625% 11/15/2029 (b) |  | 595000 | 531510 |
| Chemours Co/The 5.75% 11/15/2028 (b) |  | 603000 | 585241 |
| DuPont de Nemours Inc 4.725% 11/15/2028 (b) |  | 2423000 | 2454744 |
| DuPont de Nemours Inc 5.319% 11/15/2038  |  | 121000 | 123351 |
| DuPont de Nemours Inc 5.419% 11/15/2048  |  | 115000 | 109544 |
| EIDP Inc 4.8% 5/15/2033  |  | 255000 | 256258 |
| Element Solutions Inc 3.875% 9/1/2028 (b) |  | 186000 | 181875 |
| International Flavors & Fragrances Inc 2.3% 11/1/2030 (b) |  | 3430000 | 3093652 |
| Inversion Escrow Issuer LLC 6.75% 8/1/2032 (b) |  | 125000 | 122102 |
| LSB Industries Inc 6.25% 10/15/2028 (b) |  | 120000 | 119399 |
| LYB International Finance III LLC 3.375% 10/1/2040  |  | 315000 | 232454 |
| Methanex US Operations Inc 6.25% 3/15/2032 (b) |  | 215000 | 220753 |
| Olin Corp 5% 2/1/2030  |  | 65000 | 63881 |
| Olin Corp 6.625% 4/1/2033 (b) |  | 290000 | 288063 |
| Olympus Water US Holding Corp 6.125% 2/15/2033 (e) | EUR | 100000 | 114328 |
| Olympus Water US Holding Corp 6.25% 10/1/2029 (b) |  | 200000 | 193242 |
| Scih Salt Hldgs Inc 6.625% 5/1/2029 (b) |  | 190000 | 190817 |
| Scotts Miracle-Gro Co/The 4% 4/1/2031  |  | 2921000 | 2730601 |
| Scotts Miracle-Gro Co/The 4.375% 2/1/2032  |  | 625000 | 584371 |
| Scotts Miracle-Gro Co/The 4.5% 10/15/2029  |  | 585000 | 572817 |
| Scotts Miracle-Gro Co/The 5.25% 12/15/2026  |  | 59000 | 58912 |
| Solstice Advanced Materials Inc 5.625% 9/30/2033 (b) |  | 850000 | 854651 |
| Tronox Inc 4.625% 3/15/2029 (b) |  | 100000 | 64595 |
| WR Grace Holdings LLC 4.875% 6/15/2027 (b) |  | 281000 | 278428 |
| WR Grace Holdings LLC 5.625% 8/15/2029 (b) |  | 95000 | 89432 |
| WR Grace Holdings LLC 6.625% 8/15/2032 (b) |  | 285000 | 282903 |
| WR Grace Holdings LLC 7.375% 3/1/2031 (b) |  | 195000 | 198157 |
|  |  |  | 29118726 |
| Construction Materials - 0.0% |  |  |  |
| Amrize Finance US LLC 4.7% 4/7/2028 (b) |  | 3000000 | 3037102 |
| Amrize Finance US LLC 4.95% 4/7/2030 (b) |  | 8000000 | 8207466 |
| Global Infrastructure Solutions Inc 5.625% 6/1/2029 (b) |  | 598000 | 600010 |
| Knife River Corp 7.75% 5/1/2031 (b) |  | 357000 | 375469 |
| Martin Marietta Materials Inc 2.4% 7/15/2031  |  | 1100000 | 995451 |
| Martin Marietta Materials Inc 5.15% 12/1/2034  |  | 1445000 | 1484523 |
| Quikrete Holdings Inc 6.375% 3/1/2032 (b) |  | 2380000 | 2471380 |
| Quikrete Holdings Inc 6.75% 3/1/2033 (b) |  | 240000 | 249897 |
| Smyrna Ready Mix Concrete LLC 6% 11/1/2028 (b) |  | 565000 | 566275 |
| Smyrna Ready Mix Concrete LLC 8.875% 11/15/2031 (b) |  | 345000 | 366167 |
| VM Consolidated Inc 5.5% 4/15/2029 (b) |  | 180000 | 179871 |
|  |  |  | 18533611 |
| Containers & Packaging - 0.1% |  |  |  |
| Amcor Flexibles North America Inc 5.1% 3/17/2030  |  | 500000 | 513132 |
| Amcor Flexibles North America Inc 5.5% 3/17/2035  |  | 65000 | 67406 |
| Ardagh Group SA 12% 12/1/2030 pay-in-kind (b)(g) |  | 834000 | 754770 |
| Ardagh Group SA 12% 12/1/2030 pay-in-kind (d)(e) | EUR | 113000 | 121142 |
| Ardagh Group SA 9.5% 12/1/2030 (b) |  | 481000 | 518455 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 3.25% 9/1/2028 (b) |  | 280000 | 269568 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 4% 9/1/2029 (b) |  | 210000 | 195455 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 6.25% 1/30/2031 (b)(f) |  | 200000 | 203476 |
| Ball Corp 2.875% 8/15/2030  |  | 60000 | 55324 |
| Ball Corp 3.125% 9/15/2031  |  | 410000 | 376377 |
| Ball Corp 5.5% 9/15/2033  |  | 1405000 | 1431456 |
| Ball Corp 6% 6/15/2029  |  | 2234000 | 2299246 |
| Berry Global Inc 1.57% 1/15/2026  |  | 1675000 | 1669322 |
| Berry Global Inc 4.875% 7/15/2026 (b) |  | 1794000 | 1794460 |
| Berry Global Inc 5.5% 4/15/2028  |  | 4810000 | 4948277 |
| Berry Global Inc 5.65% 1/15/2034  |  | 2000000 | 2096737 |
| Berry Global Inc 5.8% 6/15/2031  |  | 6820000 | 7221368 |
| Clydesdale Acquisition Holdings Inc 6.75% 4/15/2032 (b) |  | 1005000 | 1014059 |
| Clydesdale Acquisition Holdings Inc 6.875% 1/15/2030 (b) |  | 300000 | 304593 |
| Clydesdale Acquisition Holdings Inc 8.75% 4/15/2030 (b) |  | 1935000 | 1938036 |
| Crown Americas LLC 5.875% 6/1/2033 (b) |  | 440000 | 450447 |
| Graphic Packaging International LLC 3.5% 3/1/2029 (b) |  | 175000 | 166887 |
| Graphic Packaging International LLC 3.75% 2/1/2030 (b) |  | 160000 | 151522 |
| Graphic Packaging International LLC 6.375% 7/15/2032 (b) |  | 455000 | 462691 |
| Mauser Packaging Solutions Holding Co 7.875% 4/15/2030 (b) |  | 442000 | 428740 |
| Mauser Packaging Solutions Holding Co 9.25% 4/15/2030 (b) |  | 400000 | 380000 |
| Owens-Brockway Glass Container Inc 6.625% 5/13/2027 (b) |  | 251000 | 251480 |
| Packaging Corp of America 3.05% 10/1/2051  |  | 108000 | 71304 |
| Sealed Air Corp 1.573% 10/15/2026 (b) |  | 2750000 | 2682216 |
| Sealed Air Corp 4% 12/1/2027 (b) |  | 244000 | 242934 |
| Sealed Air Corp 5% 4/15/2029 (b) |  | 40000 | 40279 |
| Sealed Air Corp 6.5% 7/15/2032 (b) |  | 260000 | 269122 |
| Sealed Air Corp 6.875% 7/15/2033 (b) |  | 60000 | 63168 |
| Sealed Air Corp/Sealed Air Corp US 6.125% 2/1/2028 (b) |  | 440000 | 447429 |
| Sealed Air Corp/Sealed Air Corp US 7.25% 2/15/2031 (b) |  | 145000 | 151000 |
| Sonoco Products Co 3.125% 5/1/2030  |  | 802000 | 760391 |
| TriMas Corp 4.125% 4/15/2029 (b) |  | 266000 | 261011 |
|  |  |  | 35073280 |
| Metals & Mining - 0.1% |  |  |  |
| Alcoa Nederland Holding BV 4.125% 3/31/2029 (b) |  | 110000 | 107716 |
| Alumina Pty Ltd 6.375% 9/15/2032 (b) |  | 575000 | 598601 |
| Arsenal AIC Parent LLC 11.5% 10/1/2031 (b) |  | 995000 | 1097697 |
| Big Riv Stl LLC / Brs Fin Corp 6.625% 1/31/2029 (b) |  | 162000 | 162352 |
| Cleveland-Cliffs Inc 4.625% 3/1/2029 (b) |  | 194000 | 189525 |
| Cleveland-Cliffs Inc 4.875% 3/1/2031 (b) |  | 110000 | 104373 |
| Cleveland-Cliffs Inc 6.75% 4/15/2030 (b) |  | 325000 | 332013 |
| Cleveland-Cliffs Inc 6.875% 11/1/2029 (b) |  | 1040000 | 1070007 |
| Cleveland-Cliffs Inc 7% 3/15/2032 (b) |  | 105000 | 107630 |
| Cleveland-Cliffs Inc 7.375% 5/1/2033 (b) |  | 510000 | 526009 |
| Cleveland-Cliffs Inc 7.5% 9/15/2031 (b) |  | 330000 | 345128 |
| Cleveland-Cliffs Inc 7.625% 1/15/2034 (b) |  | 130000 | 134891 |
| Commercial Metals Co 3.875% 2/15/2031  |  | 235000 | 222303 |
| Commercial Metals Co 4.375% 3/15/2032  |  | 110000 | 105414 |
| Commercial Metals Co 5.75% 11/15/2033 (b) |  | 475000 | 485749 |
| Commercial Metals Co 6% 12/15/2035 (b) |  | 385000 | 392189 |
| Freeport-McMoRan Inc 4.125% 3/1/2028  |  | 960000 | 957131 |
| Freeport-McMoRan Inc 4.375% 8/1/2028  |  | 6105000 | 6095089 |
| Freeport-McMoRan Inc 4.625% 8/1/2030  |  | 824000 | 828446 |
| Freeport-McMoRan Inc 5.25% 9/1/2029  |  | 305000 | 309995 |
| Hecla Mining Co 7.25% 2/15/2028  |  | 429000 | 431112 |
| Kaiser Aluminum Corp 5.875% 3/1/2034 (b) |  | 155000 | 154488 |
| Newmont Corp / Newcrest Finance Pty Ltd 5.35% 3/15/2034  |  | 11260000 | 11811941 |
| Newmont Corp 5.45% 6/9/2044  |  | 185000 | 186570 |
| Novelis Corp 3.875% 8/15/2031 (b) |  | 162000 | 147793 |
| Novelis Corp 4.75% 1/30/2030 (b) |  | 100000 | 96210 |
| Novelis Corp 6.375% 8/15/2033 (b) |  | 720000 | 726544 |
| Novelis Corp 6.875% 1/30/2030 (b) |  | 700000 | 725353 |
| Nucor Corp 2.7% 6/1/2030  |  | 1090000 | 1025225 |
| Reliance Inc 2.15% 8/15/2030  |  | 2150000 | 1948399 |
| Steel Dynamics Inc 3.45% 4/15/2030  |  | 8400000 | 8126642 |
| United States Steel Corp 6.875% 3/1/2029  |  | 167000 | 168393 |
|  |  |  | 39720928 |
| Paper & Forest Products - 0.0% |  |  |  |
| Magnera Corp 4.75% 11/15/2029 (b) |  | 100000 | 90450 |
| TOTAL MATERIALS |  |  | 122536995 |
| Real Estate - 0.7% |  |  |  |
| Diversified REITs - 0.2% |  |  |  |
| American Assets Trust LP 3.375% 2/1/2031  |  | 3370000 | 3087371 |
| Broadstone Net Lease LLC 5% 11/1/2032  |  | 1465000 | 1468437 |
| Equinix Europe 2 Financing Corp LLC 5.5% 6/15/2034  |  | 566000 | 589017 |
| GLP Capital LP / GLP Financing II Inc 3.25% 1/15/2032  |  | 3749000 | 3386302 |
| GLP Capital LP / GLP Financing II Inc 4% 1/15/2030  |  | 414000 | 401196 |
| GLP Capital LP / GLP Financing II Inc 4% 1/15/2031  |  | 1772000 | 1696851 |
| GLP Capital LP / GLP Financing II Inc 5.25% 2/15/2033  |  | 1345000 | 1350120 |
| GLP Capital LP / GLP Financing II Inc 5.3% 1/15/2029  |  | 822000 | 837012 |
| GLP Capital LP / GLP Financing II Inc 5.75% 6/1/2028  |  | 3695000 | 3793909 |
| Piedmont Operating Partnership LP 2.75% 4/1/2032  |  | 1374000 | 1178689 |
| Safehold GL Holdings LLC 2.8% 6/15/2031  |  | 146000 | 134512 |
| Store Capital LLC 2.75% 11/18/2030  |  | 1957000 | 1786077 |
| Store Capital LLC 4.625% 3/15/2029  |  | 2475000 | 2466899 |
| Store Capital LLC 5.4% 4/30/2030 (b) |  | 1091000 | 1113988 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 4.75% 4/15/2028 (b) |  | 200000 | 197148 |
| Vici Properties LP / Vici Note Co Inc 3.875% 2/15/2029 (b) |  | 4237000 | 4152769 |
| Vici Properties LP / Vici Note Co Inc 4.125% 8/15/2030 (b) |  | 305000 | 295899 |
| Vici Properties LP / Vici Note Co Inc 4.5% 1/15/2028 (b) |  | 162000 | 162349 |
| Vici Properties LP / Vici Note Co Inc 4.625% 12/1/2029 (b) |  | 1833000 | 1822858 |
| VICI Properties LP 4.75% 2/15/2028  |  | 7560000 | 7636954 |
| VICI Properties LP 4.75% 4/1/2028  |  | 1384000 | 1399189 |
| VICI Properties LP 4.95% 2/15/2030  |  | 7365000 | 7452887 |
| VICI Properties LP 5.125% 11/15/2031  |  | 1677000 | 1700538 |
| VICI Properties LP 5.125% 5/15/2032  |  | 6299000 | 6353266 |
| VICI Properties LP 5.75% 4/1/2034  |  | 855000 | 887319 |
| Vornado Realty LP 2.15% 6/1/2026  |  | 1762000 | 1738415 |
| Vornado Realty LP 3.4% 6/1/2031  |  | 6373000 | 5764795 |
| WP Carey Inc 2.25% 4/1/2033  |  | 3969000 | 3356009 |
| WP Carey Inc 2.4% 2/1/2031  |  | 2070000 | 1863413 |
|  |  |  | 68074188 |
| Health Care REITs - 0.2% |  |  |  |
| Alexandria Real Estate Equities Inc 1.875% 2/1/2033  |  | 1145000 | 941792 |
| Alexandria Real Estate Equities Inc 2.75% 12/15/2029  |  | 1990000 | 1871916 |
| Alexandria Real Estate Equities Inc 2.95% 3/15/2034  |  | 1105000 | 953286 |
| Alexandria Real Estate Equities Inc 3.375% 8/15/2031  |  | 190000 | 178313 |
| Alexandria Real Estate Equities Inc 4.7% 7/1/2030  |  | 1600000 | 1615847 |
| Alexandria Real Estate Equities Inc 5.15% 4/15/2053  |  | 31000 | 27405 |
| Alexandria Real Estate Equities Inc 5.5% 10/1/2035  |  | 4230000 | 4317166 |
| Diversified Healthcare Trust 4.375% 3/1/2031  |  | 350000 | 308046 |
| Diversified Healthcare Trust 4.75% 2/15/2028  |  | 2292000 | 2198337 |
| Healthcare Realty Holdings LP 3.1% 2/15/2030  |  | 1715000 | 1625059 |
| Healthcare Realty Holdings LP 3.5% 8/1/2026  |  | 2311000 | 2296634 |
| Healthcare Realty Holdings LP 3.625% 1/15/2028  |  | 1692000 | 1668621 |
| Healthpeak OP LLC 3% 1/15/2030  |  | 1625000 | 1541069 |
| MPT Operating Partnership LP / MPT Finance Corp 3.5% 3/15/2031  |  | 1075000 | 788133 |
| MPT Operating Partnership LP / MPT Finance Corp 5% 10/15/2027  |  | 1375000 | 1328867 |
| MPT Operating Partnership LP / MPT Finance Corp 7% 2/15/2032 (e) | EUR | 100000 | 120534 |
| MPT Operating Partnership LP / MPT Finance Corp 8.5% 2/15/2032 (b) |  | 75000 | 79259 |
| Omega Healthcare Investors Inc 3.25% 4/15/2033  |  | 5599000 | 4992130 |
| Omega Healthcare Investors Inc 3.375% 2/1/2031  |  | 2682000 | 2503897 |
| Omega Healthcare Investors Inc 3.625% 10/1/2029  |  | 7647000 | 7377949 |
| Omega Healthcare Investors Inc 4.75% 1/15/2028  |  | 7569000 | 7634062 |
| Ventas Realty LP 3.85% 4/1/2027  |  | 500000 | 498447 |
| Ventas Realty LP 4.75% 11/15/2030  |  | 13000000 | 13212933 |
| Ventas Realty LP 5.625% 7/1/2034  |  | 233000 | 244290 |
| Welltower OP LLC 2.7% 2/15/2027  |  | 2590000 | 2553954 |
| Welltower OP LLC 2.75% 1/15/2031  |  | 8865000 | 8267638 |
| Welltower OP LLC 4.5% 7/1/2030  |  | 2300000 | 2330698 |
|  |  |  | 71476282 |
| Hotel & Resort REITs - 0.0% |  |  |  |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 4.875% 5/15/2029 (b) |  | 275000 | 266938 |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 7% 2/1/2030 (b) |  | 210000 | 214397 |
| RHP Hotel Properties LP / RHP Finance Corp 4.5% 2/15/2029 (b) |  | 100000 | 98647 |
| RHP Hotel Properties LP / RHP Finance Corp 4.75% 10/15/2027  |  | 223000 | 222484 |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 4/1/2032 (b) |  | 1995000 | 2067632 |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 6/15/2033 (b) |  | 135000 | 140288 |
| RHP Hotel Properties LP / RHP Finance Corp 7.25% 7/15/2028 (b) |  | 374000 | 385837 |
| RLJ Lodging Trust LP 4% 9/15/2029 (b) |  | 100000 | 94500 |
| Service Properties Trust 4.375% 2/15/2030  |  | 200000 | 164536 |
|  |  |  | 3655259 |
| Industrial REITs - 0.0% |  |  |  |
| LXP Industrial Trust 2.7% 9/15/2030  |  | 894000 | 821445 |
| LXP Industrial Trust 6.75% 11/15/2028  |  | 113000 | 120177 |
| Prologis Euro Finance LLC 3.25% 9/22/2032  | EUR | 265000 | 304195 |
| Prologis LP 1.75% 7/1/2030  |  | 143000 | 128599 |
| Prologis LP 2.125% 10/15/2050  |  | 43000 | 23656 |
| Prologis LP 3% 4/15/2050  |  | 150000 | 100720 |
| Prologis LP 4.75% 6/15/2033  |  | 165000 | 167643 |
|  |  |  | 1666435 |
| Office REITs - 0.0% |  |  |  |
| COPT Defense Properties LP 2% 1/15/2029  |  | 600000 | 559242 |
| COPT Defense Properties LP 2.25% 3/15/2026  |  | 1775000 | 1763748 |
| COPT Defense Properties LP 2.75% 4/15/2031  |  | 6209000 | 5649721 |
| COPT Defense Properties LP 2.9% 12/1/2033  |  | 490000 | 420094 |
| COPT Defense Properties LP 4.5% 10/15/2030  |  | 916000 | 912283 |
| Hudson Pacific Properties LP 3.25% 1/15/2030  |  | 1772000 | 1492291 |
| Hudson Pacific Properties LP 3.95% 11/1/2027  |  | 815000 | 777232 |
| Hudson Pacific Properties LP 4.65% 4/1/2029  |  | 10503000 | 9668012 |
|  |  |  | 21242623 |
| Real Estate Management & Development - 0.1% |  |  |  |
| Brandywine Operating Partnership LP 3.95% 11/15/2027  |  | 5608000 | 5539238 |
| Brandywine Operating Partnership LP 4.55% 10/1/2029  |  | 1707000 | 1640874 |
| Brandywine Operating Partnership LP 8.3% 3/15/2028  |  | 6570000 | 6927836 |
| Brandywine Operating Partnership LP 8.875% 4/12/2029  |  | 4381000 | 4744973 |
| Cushman & Wakefield US Borrower LLC 8.875% 9/1/2031 (b) |  | 100000 | 107217 |
| Essex Portfolio LP 1.7% 3/1/2028  |  | 515000 | 488363 |
| Essex Portfolio LP 2.65% 3/15/2032  |  | 115000 | 103085 |
| Essex Portfolio LP 5.5% 4/1/2034  |  | 525000 | 547749 |
| Extra Space Storage LP 2.2% 10/15/2030  |  | 3399000 | 3071118 |
| Extra Space Storage LP 3.9% 4/1/2029  |  | 610000 | 602975 |
| Extra Space Storage LP 5.4% 6/15/2035  |  | 183000 | 188509 |
| Extra Space Storage LP 5.5% 7/1/2030  |  | 1458000 | 1524261 |
| Five Point Operating Co LP 8% 10/1/2030 (b) |  | 370000 | 386289 |
| Host Hotels & Resorts LP 2.9% 12/15/2031  |  | 840000 | 756033 |
| Host Hotels & Resorts LP 3.5% 9/15/2030  |  | 1750000 | 1662699 |
| Host Hotels & Resorts LP 5.7% 7/1/2034  |  | 750000 | 775995 |
| Howard Hughes Corp/The 4.125% 2/1/2029 (b) |  | 300000 | 291229 |
| Howard Hughes Corp/The 4.375% 2/1/2031 (b) |  | 455000 | 434692 |
| Howard Hughes Corp/The 5.375% 8/1/2028 (b) |  | 850000 | 851612 |
| Tanger Properties LP 2.75% 9/1/2031  |  | 4140000 | 3751484 |
| Tanger Properties LP 3.125% 9/1/2026  |  | 3497000 | 3466591 |
| Taylor Morrison Communities Inc 5.125% 8/1/2030 (b) |  | 1250000 | 1255673 |
| Taylor Morrison Communities Inc 5.75% 1/15/2028 (b) |  | 135000 | 137908 |
| Taylor Morrison Communities Inc 5.75% 11/15/2032 (b) |  | 335000 | 345292 |
|  |  |  | 39601695 |
| Residential REITs - 0.0% |  |  |  |
| American Homes 4 Rent LP 2.375% 7/15/2031  |  | 704000 | 629488 |
| American Homes 4 Rent LP 3.375% 7/15/2051  |  | 1089000 | 747770 |
| American Homes 4 Rent LP 3.625% 4/15/2032  |  | 2835000 | 2678134 |
| Camden Property Trust 3.15% 7/1/2029  |  | 146000 | 141130 |
| Invitation Homes Operating Partnership LP 2% 8/15/2031  |  | 1731000 | 1508609 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/2032  |  | 4260000 | 4137151 |
| Invitation Homes Operating Partnership LP 4.95% 1/15/2033  |  | 1870000 | 1892665 |
| Sun Communities Operating LP 2.3% 11/1/2028  |  | 1550000 | 1473450 |
| Sun Communities Operating LP 2.7% 7/15/2031  |  | 11527000 | 10512082 |
| UDR Inc 5.125% 9/1/2034  |  | 515000 | 525835 |
|  |  |  | 24246314 |
| Retail REITs - 0.2% |  |  |  |
| Brixmor Operating Partnership LP 2.25% 4/1/2028  |  | 3700000 | 3547293 |
| Brixmor Operating Partnership LP 2.5% 8/16/2031  |  | 4020000 | 3615348 |
| Brixmor Operating Partnership LP 4.05% 7/1/2030  |  | 12288000 | 12127457 |
| Brixmor Operating Partnership LP 4.125% 5/15/2029  |  | 6724000 | 6691020 |
| Brixmor Operating Partnership LP 4.125% 6/15/2026  |  | 2625000 | 2623190 |
| Brixmor Operating Partnership LP 5.75% 2/15/2035  |  | 145000 | 152790 |
| Kimco Realty OP LLC 1.9% 3/1/2028  |  | 3540000 | 3378194 |
| Kimco Realty OP LLC 3.2% 4/1/2032  |  | 1340000 | 1252212 |
| Kimco Realty OP LLC 4.6% 2/1/2033  |  | 3535000 | 3541391 |
| Kite Realty Group Trust 4.75% 9/15/2030  |  | 10799000 | 10906485 |
| NNN REIT Inc 3.5% 4/15/2051  |  | 310000 | 220659 |
| Phillips Edison Grocery Center Operating Partnership I LP 5.75% 7/15/2034  |  | 1063000 | 1118269 |
| Realty Income Corp 2.7% 2/15/2032  |  | 7532000 | 6816583 |
| Realty Income Corp 2.85% 12/15/2032  |  | 580000 | 522041 |
| Realty Income Corp 3.1% 12/15/2029  |  | 6235000 | 6003123 |
| Realty Income Corp 3.375% 6/20/2031  | EUR | 215000 | 249802 |
| Realty Income Corp 3.4% 1/15/2028  |  | 3460000 | 3423350 |
| Realty Income Corp 3.4% 1/15/2030  |  | 1460000 | 1421192 |
| Regency Centers LP 3.7% 6/15/2030  |  | 177000 | 173582 |
| Simon Property Group LP 2.45% 9/13/2029  |  | 1975000 | 1866600 |
| Simon Property Group LP 3.25% 9/13/2049  |  | 168000 | 117746 |
|  |  |  | 69768327 |
| Specialized REITs - 0.0% |  |  |  |
| American Tower Corp 2.7% 4/15/2031  |  | 2270000 | 2083113 |
| American Tower Corp 2.9% 1/15/2030  |  | 1255000 | 1187597 |
| American Tower Corp 3.625% 5/30/2032  | EUR | 420000 | 493240 |
| American Tower Corp 4.9% 3/15/2030  |  | 1235000 | 1263765 |
| American Tower Corp 5.35% 3/15/2035  |  | 1069000 | 1102011 |
| American Tower Corp 5.45% 2/15/2034  |  | 755000 | 787119 |
| American Tower Corp 5.65% 3/15/2033  |  | 454000 | 479570 |
| American Tower Corp 5.9% 11/15/2033  |  | 47000 | 50421 |
| Crown Castle Inc 2.1% 4/1/2031  |  | 1000000 | 881583 |
| Crown Castle Inc 2.9% 3/15/2027  |  | 125000 | 122855 |
| Crown Castle Inc 5.1% 5/1/2033  |  | 234000 | 237230 |
| Crown Castle Inc 5.6% 6/1/2029  |  | 350000 | 363702 |
| CubeSmart LP 2.25% 12/15/2028  |  | 865000 | 818898 |
| Equinix Inc 2.5% 5/15/2031  |  | 2505000 | 2269854 |
| Equinix Inc 3.4% 2/15/2052  |  | 245000 | 170937 |
| Equinix Inc 3.9% 4/15/2032  |  | 1580000 | 1523340 |
| Iron Mountain Inc 4.5% 2/15/2031 (b) |  | 44000 | 42083 |
| Iron Mountain Inc 4.75% 1/15/2034 (e) | EUR | 100000 | 113533 |
| Iron Mountain Inc 4.875% 9/15/2027 (b) |  | 601000 | 598882 |
| Iron Mountain Inc 4.875% 9/15/2029 (b) |  | 238000 | 235143 |
| Iron Mountain Inc 5% 7/15/2028 (b) |  | 395000 | 392986 |
| Iron Mountain Inc 5.25% 3/15/2028 (b) |  | 248000 | 247563 |
| Iron Mountain Inc 5.25% 7/15/2030 (b) |  | 185000 | 183388 |
| Iron Mountain Inc 6.25% 1/15/2033 (b) |  | 60000 | 61349 |
| Millrose Properties Inc 6.375% 8/1/2030 (b) |  | 315000 | 321340 |
| Public Storage Operating Co 5.1% 8/1/2033  |  | 171000 | 178350 |
| SBA Communications Corp 3.125% 2/1/2029  |  | 1006000 | 961564 |
| SBA Communications Corp 3.875% 2/15/2027  |  | 230000 | 228902 |
| Weyerhaeuser Co 4% 11/15/2029  |  | 1485000 | 1472392 |
|  |  |  | 18872710 |
| TOTAL REAL ESTATE |  |  | 318603833 |
| Utilities - 1.2% |  |  |  |
| Electric Utilities - 0.9% |  |  |  |
| AEP Texas Inc 2.1% 7/1/2030  |  | 1303000 | 1187786 |
| AEP Texas Inc 3.45% 5/15/2051  |  | 517000 | 357127 |
| AEP Texas Inc 5.4% 6/1/2033  |  | 1580000 | 1639448 |
| AEP Texas Inc 5.45% 5/15/2029  |  | 2500000 | 2599297 |
| AEP Texas Inc 5.7% 5/15/2034  |  | 1935000 | 2028642 |
| AEP Transmission Co LLC 2.75% 8/15/2051  |  | 388000 | 244257 |
| AEP Transmission Co LLC 3.15% 9/15/2049  |  | 359000 | 247922 |
| AEP Transmission Co LLC 3.65% 4/1/2050  |  | 58000 | 43889 |
| AEP Transmission Co LLC 5.15% 4/1/2034  |  | 2000000 | 2054299 |
| AEP Transmission Co LLC 5.375% 6/15/2035  |  | 791000 | 823027 |
| Alabama Power Co 3.85% 12/1/2042  |  | 700000 | 583742 |
| Alabama Power Co 4.1% 1/15/2042  |  | 225000 | 195083 |
| Alabama Power Co 4.3% 7/15/2048  |  | 10000 | 8469 |
| Alabama Power Co 5.5% 3/15/2041  |  | 36000 | 36359 |
| Alabama Power Co 5.85% 11/15/2033  |  | 125000 | 135043 |
| Alabama Power Co 6.125% 5/15/2038  |  | 835000 | 920892 |
| Alliant Energy Corp 5.75% 4/1/2056 (d) |  | 1650000 | 1643914 |
| Alliant Energy Finance LLC 1.4% 3/15/2026 (b) |  | 2300000 | 2277828 |
| Alliant Energy Finance LLC 5.4% 6/6/2027 (Alliant Energy Corp Insured) (b) |  | 2150000 | 2177719 |
| Ameren Missouri Securitization Funding I LLC 4.85% 10/1/2041  |  | 5106483 | 5217466 |
| American Electric Power Co Inc 5.8% 3/15/2056 (d) |  | 3145000 | 3123167 |
| American Electric Power Co Inc 6.05% 3/15/2056 (d) |  | 65000 | 64988 |
| Appalachian Power Co 5.65% 4/1/2034  |  | 1000000 | 1053349 |
| Arizona Public Service Co 2.2% 12/15/2031  |  | 2440000 | 2152356 |
| Arizona Public Service Co 3.5% 12/1/2049  |  | 1100000 | 794582 |
| Arizona Public Service Co 3.75% 5/15/2046  |  | 825000 | 639706 |
| Arizona Public Service Co 4.25% 3/1/2049  |  | 29000 | 23907 |
| Arizona Public Service Co 4.7% 1/15/2044  |  | 4000 | 3481 |
| Arizona Public Service Co 5.7% 8/15/2034  |  | 1275000 | 1346547 |
| Arizona Public Service Co 6.35% 12/15/2032  |  | 4385000 | 4812673 |
| Atlantic City Electric Co 2.3% 3/15/2031  |  | 425000 | 385574 |
| Baltimore Gas and Electric Co 2.9% 6/15/2050  |  | 214000 | 139923 |
| Baltimore Gas and Electric Co 3.2% 9/15/2049  |  | 183000 | 127028 |
| Baltimore Gas and Electric Co 3.75% 8/15/2047  |  | 96000 | 75422 |
| Baltimore Gas and Electric Co 4.25% 9/15/2048  |  | 40000 | 33449 |
| Baltimore Gas and Electric Co 5.4% 6/1/2053  |  | 145000 | 142106 |
| Baltimore Gas and Electric Co 5.45% 6/1/2035  |  | 590000 | 616948 |
| CenterPoint Energy Houston Electric LLC 2.9% 7/1/2050  |  | 58000 | 38361 |
| Clearway Energy Operating LLC 3.75% 1/15/2032 (b) |  | 165000 | 151060 |
| Clearway Energy Operating LLC 3.75% 2/15/2031 (b) |  | 225000 | 209646 |
| Clearway Energy Operating LLC 4.75% 3/15/2028 (b) |  | 60000 | 59985 |
| Cleco Corporate Holdings LLC 3.375% 9/15/2029  |  | 4448000 | 4194333 |
| Commonwealth Edison Co 3.7% 3/1/2045  |  | 1190000 | 946790 |
| Commonwealth Edison Co 3.7% 8/15/2028  |  | 250000 | 248934 |
| Commonwealth Edison Co 4% 3/1/2048  |  | 8000 | 6477 |
| Commonwealth Edison Co 4.35% 11/15/2045  |  | 415000 | 358208 |
| Commonwealth Edison Co 4.9% 2/1/2033  |  | 945000 | 970202 |
| Commonwealth Edison Co 5.3% 2/1/2053  |  | 95000 | 91932 |
| Commonwealth Edison Co 5.95% 6/1/2055  |  | 239000 | 253740 |
| Connecticut Light and Power Co/The 4% 4/1/2048  |  | 69000 | 55908 |
| Consolidated Edison Co of New York Inc 3.875% 6/15/2047  |  | 37000 | 29396 |
| Consolidated Edison Co of New York Inc 4.125% 5/15/2049  |  | 20000 | 16238 |
| Consolidated Edison Co of New York Inc 4.5% 5/15/2058  |  | 23000 | 19217 |
| Consolidated Edison Co of New York Inc 4.65% 12/1/2048  |  | 139000 | 123253 |
| Consolidated Edison Co of New York Inc 6.2% 6/15/2036  |  | 1325000 | 1471180 |
| Dominion Energy South Carolina Inc 2.3% 12/1/2031  |  | 251000 | 224958 |
| Dominion Energy South Carolina Inc 5.45% 2/1/2041  |  | 285000 | 289880 |
| DPL LLC/Ohio 4.35% 4/15/2029  |  | 1990000 | 1953284 |
| DTE Electric Co 3.65% 3/1/2052  |  | 45000 | 33933 |
| DTE Electric Co 3.95% 6/15/2042  |  | 11000 | 9261 |
| DTE Electric Co 4% 4/1/2043  |  | 142000 | 120826 |
| DTE Electric Co 4.25% 5/14/2027  |  | 400000 | 402776 |
| DTE Electric Co 5.2% 4/1/2033  |  | 700000 | 732688 |
| Duke Energy Carolinas LLC 2.95% 12/1/2026  |  | 370000 | 367046 |
| Duke Energy Carolinas LLC 3.2% 8/15/2049  |  | 351000 | 243748 |
| Duke Energy Carolinas LLC 3.45% 4/15/2051  |  | 410000 | 296388 |
| Duke Energy Carolinas LLC 3.7% 12/1/2047  |  | 1047000 | 809537 |
| Duke Energy Carolinas LLC 4.25% 12/15/2041  |  | 2545000 | 2273815 |
| Duke Energy Carolinas LLC 6.1% 6/1/2037  |  | 775000 | 846096 |
| Duke Energy Corp 3.75% 4/1/2031  | EUR | 300000 | 354551 |
| Duke Energy Corp 3.85% 6/15/2034  | EUR | 430000 | 497198 |
| Duke Energy Corp 3.95% 8/15/2047  |  | 445000 | 349806 |
| Duke Energy Corp 5.8% 6/15/2054  |  | 2312000 | 2340446 |
| Duke Energy Florida LLC 2.4% 12/15/2031  |  | 1010000 | 913322 |
| Duke Energy Florida LLC 3% 12/15/2051  |  | 233000 | 153148 |
| Duke Energy Florida LLC 4.2% 7/15/2048  |  | 91000 | 75617 |
| Duke Energy Florida LLC 5.875% 11/15/2033  |  | 1465000 | 1590114 |
| Duke Energy Florida LLC 6.2% 11/15/2053  |  | 120000 | 131250 |
| Duke Energy Florida LLC 6.35% 9/15/2037  |  | 2263000 | 2540787 |
| Duke Energy Indiana LLC 2.75% 4/1/2050  |  | 298000 | 189115 |
| Duke Energy Indiana LLC 3.25% 10/1/2049  |  | 125000 | 87290 |
| Duke Energy Indiana LLC 3.75% 5/15/2046  |  | 450000 | 355297 |
| Duke Energy Indiana LLC 5.4% 4/1/2053  |  | 436000 | 424165 |
| Duke Energy Ohio Inc 2.125% 6/1/2030  |  | 982000 | 902430 |
| Duke Energy Ohio Inc 4.3% 2/1/2049  |  | 43000 | 35850 |
| Duke Energy Ohio Inc 5.25% 4/1/2033  |  | 1543000 | 1612413 |
| Duke Energy Ohio Inc 5.55% 3/15/2054  |  | 172000 | 171982 |
| Duke Energy Progress LLC 2.5% 8/15/2050  |  | 543000 | 326572 |
| Duke Energy Progress LLC 2.9% 8/15/2051  |  | 550000 | 355445 |
| Duke Energy Progress LLC 3.7% 10/15/2046  |  | 5000 | 3889 |
| Duke Energy Progress LLC 4% 4/1/2052  |  | 83000 | 66020 |
| Duke Energy Progress LLC 4.1% 5/15/2042  |  | 8000 | 6927 |
| Duke Energy Progress LLC 5.05% 3/15/2035  |  | 2467000 | 2527542 |
| Duke Energy Progress LLC 5.55% 3/15/2055  |  | 66000 | 66228 |
| Duquesne Light Holdings Inc 2.532% 10/1/2030 (b) |  | 470000 | 426765 |
| Duquesne Light Holdings Inc 2.775% 1/7/2032 (b) |  | 4273000 | 3816497 |
| Edison International 4.125% 3/15/2028  |  | 4200000 | 4151154 |
| Edison International 5.25% 11/15/2028  |  | 94000 | 95358 |
| Edison International 5.25% 3/15/2032  |  | 7400000 | 7408084 |
| Edison International 5.45% 6/15/2029  |  | 1500000 | 1524535 |
| Edison International 6.25% 3/15/2030  |  | 9050000 | 9459598 |
| Edison International 6.95% 11/15/2029  |  | 173000 | 184252 |
| Edison International 7.875% 6/15/2054 (d) |  | 166000 | 172650 |
| Edison International 8.125% 6/15/2053 (d) |  | 1149000 | 1186491 |
| Entergy Arkansas LLC 2.65% 6/15/2051  |  | 130000 | 79203 |
| Entergy Arkansas LLC 5.75% 6/1/2054  |  | 70000 | 72235 |
| Entergy Corp 5.875% 6/15/2056 (d) |  | 29000 | 28964 |
| Entergy Corp 6.1% 6/15/2056 (d) |  | 2485000 | 2499783 |
| Entergy Corp 7.125% 12/1/2054 (d) |  | 1246000 | 1310424 |
| Entergy Louisiana LLC 1.6% 12/15/2030  |  | 218000 | 193836 |
| Entergy Louisiana LLC 2.4% 10/1/2026  |  | 1070000 | 1056708 |
| Entergy Louisiana LLC 2.9% 3/15/2051  |  | 118000 | 75792 |
| Entergy Louisiana LLC 4.2% 4/1/2050  |  | 40000 | 32631 |
| Entergy Louisiana LLC 5.15% 9/15/2034  |  | 180000 | 185220 |
| Entergy Louisiana LLC 5.7% 3/15/2054  |  | 250000 | 253069 |
| Entergy Mississippi LLC 3.5% 6/1/2051  |  | 96000 | 68997 |
| Entergy Mississippi LLC 3.85% 6/1/2049  |  | 14000 | 10898 |
| Entergy Mississippi LLC 5% 9/1/2033  |  | 323000 | 330354 |
| Entergy Mississippi LLC 5.8% 4/15/2055  |  | 222000 | 228377 |
| Entergy Tex Inc 1.75% 3/15/2031  |  | 3109000 | 2743532 |
| Entergy Tex Inc 3.55% 9/30/2049  |  | 22000 | 16030 |
| Entergy Tex Inc 5.55% 9/15/2054  |  | 293000 | 289395 |
| Entergy Texas Restoration Funding II LLC 3.697% 12/15/2036  |  | 85000 | 81406 |
| Evergy Metro Inc 4.2% 6/15/2047  |  | 21000 | 17411 |
| Evergy Metro Inc 5.125% 8/15/2035  |  | 4725000 | 4806275 |
| Evergy Missouri West Storm Funding I LLC 5.104% 12/1/2040  |  | 197618 | 204663 |
| Eversource Energy 3.375% 3/1/2032  |  | 170000 | 157548 |
| Eversource Energy 5.95% 2/1/2029  |  | 2000000 | 2092817 |
| Fells Point Funding Trust 3.046% 1/31/2027 (b) |  | 500000 | 493136 |
| FirstEnergy Corp 2.65% 3/1/2030  |  | 1296000 | 1204801 |
| FirstEnergy Corp 3.4% 3/1/2050  |  | 2269000 | 1591699 |
| FirstEnergy Corp 3.9% 7/15/2027 (g) |  | 8607000 | 8561977 |
| FirstEnergy Corp 4.85% 7/15/2047 (g) |  | 1197000 | 1062233 |
| FirstEnergy Pennsylvania Electric Co 4.3% 1/15/2029 (b) |  | 2755000 | 2763105 |
| FirstEnergy Transmission LLC 4.55% 4/1/2049 (b) |  | 1099000 | 953478 |
| FirstEnergy Transmission LLC 4.75% 1/15/2033 (b) |  | 1176000 | 1181803 |
| FirstEnergy Transmission LLC 5% 1/15/2035  |  | 1824000 | 1837350 |
| FirstEnergy Transmission LLC 5.45% 7/15/2044 (b) |  | 430000 | 420633 |
| Florida Power & Light Co 2.875% 12/4/2051  |  | 750000 | 488783 |
| Florida Power & Light Co 3.15% 10/1/2049  |  | 124000 | 86825 |
| Florida Power & Light Co 3.7% 12/1/2047  |  | 284000 | 222192 |
| Florida Power & Light Co 3.8% 12/15/2042  |  | 1280000 | 1067953 |
| Florida Power & Light Co 3.95% 3/1/2048  |  | 19000 | 15494 |
| Florida Power & Light Co 5.15% 6/15/2029  |  | 925000 | 961693 |
| Florida Power & Light Co 5.25% 2/1/2041  |  | 500000 | 502937 |
| Florida Power & Light Co 5.3% 4/1/2053  |  | 35000 | 34322 |
| Florida Power & Light Co 5.8% 3/15/2065  |  | 518000 | 543107 |
| Georgia Power Co 3.25% 3/15/2051  |  | 189000 | 131384 |
| Georgia Power Co 3.7% 1/30/2050  |  | 356000 | 272440 |
| Georgia Power Co 4.7% 5/15/2032  |  | 263000 | 267781 |
| Georgia Power Co 4.85% 3/15/2031  |  | 632000 | 651168 |
| Hawaiian Electric Co Inc 6% 10/1/2033 (b) |  | 95000 | 96191 |
| Interstate Power and Light Co 5.45% 9/30/2054  |  | 2165000 | 2088893 |
| ITC Holdings Corp 2.95% 5/14/2030 (b) |  | 262000 | 247544 |
| ITC Holdings Corp 4.95% 9/22/2027 (b) |  | 456000 | 461610 |
| ITC Holdings Corp 5.4% 6/1/2033 (b) |  | 637000 | 660844 |
| ITC Holdings Corp 5.65% 5/9/2034 (b) |  | 1235000 | 1294366 |
| Jersey Central Power & Light Co 2.75% 3/1/2032 (b) |  | 3750000 | 3382225 |
| Jersey Central Power & Light Co 4.15% 1/15/2029 (b) |  | 4900000 | 4902542 |
| Jersey Central Power & Light Co 5.1% 1/15/2035  |  | 1050000 | 1066601 |
| Kentucky Utilities Co 5.125% 11/1/2040  |  | 35000 | 34977 |
| Louisville Gas and Electric Co 5.125% 11/15/2040  |  | 345000 | 345255 |
| MidAmerican Energy Co 3.65% 8/1/2048  |  | 58000 | 43945 |
| MidAmerican Energy Co 5.85% 9/15/2054  |  | 293000 | 306908 |
| Nevada Power Co 5.375% 9/15/2040  |  | 18000 | 18293 |
| Nevada Power Co 6% 3/15/2054  |  | 110000 | 114517 |
| Nevada Power Co 6.65% 4/1/2036  |  | 1550000 | 1754292 |
| NextEra Energy Capital Holdings Inc 2.25% 6/1/2030  |  | 970000 | 892065 |
| NextEra Energy Capital Holdings Inc 2.75% 11/1/2029  |  | 1660000 | 1579386 |
| NextEra Energy Capital Holdings Inc 3.83% 6/12/2030  | CAD | 12100000 | 8797510 |
| NextEra Energy Capital Holdings Inc 4.685% 9/1/2027  |  | 545000 | 550768 |
| NextEra Energy Capital Holdings Inc 5.25% 2/28/2053  |  | 81000 | 76301 |
| NextEra Energy Capital Holdings Inc 6.375% 8/15/2055 (d) |  | 350000 | 363274 |
| NextEra Energy Capital Holdings Inc 6.5% 8/15/2055 (d) |  | 265000 | 280391 |
| NextEra Energy Capital Holdings Inc 6.75% 6/15/2054 (d) |  | 260000 | 279008 |
| Niagara Mohawk Power Corp 4.647% 10/3/2030 (b) |  | 4000000 | 4029498 |
| Northern States Power Co/MN 2.6% 6/1/2051  |  | 43000 | 26911 |
| Northern States Power Co/MN 4.5% 6/1/2052  |  | 78000 | 67795 |
| NRG Energy Inc 2% 12/2/2025 (b) |  | 3120000 | 3119791 |
| NRG Energy Inc 2.45% 12/2/2027 (b) |  | 106000 | 101978 |
| NRG Energy Inc 3.375% 2/15/2029 (b) |  | 188000 | 180115 |
| NRG Energy Inc 3.625% 2/15/2031 (b) |  | 748000 | 700015 |
| NRG Energy Inc 3.875% 2/15/2032 (b) |  | 964000 | 900949 |
| NRG Energy Inc 4.45% 6/15/2029 (b) |  | 1208000 | 1204855 |
| NRG Energy Inc 4.734% 10/15/2030 (b) |  | 210000 | 209613 |
| NRG Energy Inc 5.25% 6/15/2029 (b) |  | 497000 | 499095 |
| NRG Energy Inc 5.407% 10/15/2035 (b) |  | 803000 | 804021 |
| NRG Energy Inc 5.75% 1/15/2028  |  | 585000 | 586622 |
| NRG Energy Inc 5.75% 1/15/2034 (b) |  | 845000 | 851774 |
| NRG Energy Inc 6% 1/15/2036 (b) |  | 455000 | 462094 |
| NRG Energy Inc 6% 2/1/2033 (b) |  | 100000 | 102120 |
| NRG Energy Inc 6.25% 11/1/2034 (b) |  | 435000 | 448280 |
| NRG Energy Inc 7% 3/15/2033 (b) |  | 2599000 | 2883001 |
| Ohio Edison Co 6.875% 7/15/2036  |  | 1650000 | 1906187 |
| Ohio Power Co 1.625% 1/15/2031  |  | 1075000 | 940671 |
| Ohio Power Co 2.9% 10/1/2051  |  | 465000 | 291296 |
| Ohio Power Co 4.15% 4/1/2048  |  | 129000 | 102689 |
| Oncor Electric Delivery Co LLC 3.1% 9/15/2049  |  | 54000 | 36707 |
| Oncor Electric Delivery Co LLC 4.65% 11/1/2029  |  | 2305000 | 2351098 |
| Oncor Electric Delivery Co LLC 4.95% 9/15/2052  |  | 190000 | 173260 |
| Oncor Electric Delivery Co LLC 5.35% 10/1/2052  |  | 16000 | 15595 |
| Oncor Electric Delivery Co LLC 5.35% 4/1/2035 (b) |  | 1745000 | 1816325 |
| Pacific Gas and Electric Co 3.25% 6/1/2031  |  | 550000 | 511207 |
| Pacific Gas and Electric Co 3.3% 8/1/2040  |  | 2035000 | 1556693 |
| Pacific Gas and Electric Co 3.5% 8/1/2050  |  | 1029000 | 708230 |
| Pacific Gas and Electric Co 3.75% 8/15/2042  |  | 1862000 | 1427108 |
| Pacific Gas and Electric Co 3.95% 12/1/2047  |  | 1190000 | 899602 |
| Pacific Gas and Electric Co 4% 12/1/2046  |  | 1045000 | 797113 |
| Pacific Gas and Electric Co 4.2% 6/1/2041  |  | 263000 | 218815 |
| Pacific Gas and Electric Co 4.45% 4/15/2042  |  | 87000 | 73072 |
| Pacific Gas and Electric Co 4.5% 7/1/2040  |  | 5420000 | 4764235 |
| Pacific Gas and Electric Co 4.55% 7/1/2030  |  | 4952000 | 4934712 |
| Pacific Gas and Electric Co 4.6% 6/15/2043  |  | 57000 | 48427 |
| Pacific Gas and Electric Co 4.65% 8/1/2028  |  | 2319000 | 2331739 |
| Pacific Gas and Electric Co 4.75% 2/15/2044  |  | 305000 | 262034 |
| Pacific Gas and Electric Co 4.95% 7/1/2050  |  | 6344000 | 5475416 |
| Pacific Gas and Electric Co 5% 6/4/2028  |  | 11819000 | 12010937 |
| Pacific Gas and Electric Co 5.25% 3/1/2052  |  | 398000 | 353301 |
| Pacific Gas and Electric Co 5.9% 10/1/2054  |  | 459000 | 448832 |
| Pacific Gas and Electric Co 6% 8/15/2035  |  | 11600000 | 12255149 |
| Pacific Gas and Electric Co 6.1% 1/15/2029  |  | 483000 | 504869 |
| Pacific Gas and Electric Co 6.1% 10/15/2055  |  | 1685000 | 1694889 |
| Pacific Gas and Electric Co 6.15% 1/15/2033  |  | 600000 | 639732 |
| Pacific Gas and Electric Co 6.15% 3/1/2055  |  | 761000 | 770928 |
| Pacific Gas and Electric Co 6.4% 6/15/2033  |  | 812000 | 881207 |
| Pacific Gas and Electric Co 6.75% 1/15/2053  |  | 1600000 | 1736621 |
| PacifiCorp 2.9% 6/15/2052  |  | 1000000 | 596778 |
| PacifiCorp 4.125% 1/15/2049  |  | 836000 | 638124 |
| PacifiCorp 5.25% 6/15/2035  |  | 1320000 | 1329470 |
| PacifiCorp 5.75% 4/1/2037  |  | 900000 | 925014 |
| Palomino Funding Trust I 7.233% 5/17/2028 (b) |  | 300000 | 317444 |
| PECO Energy Co 2.8% 6/15/2050  |  | 21000 | 13504 |
| PECO Energy Co 3.7% 9/15/2047  |  | 185000 | 144117 |
| PG&E Corp 5% 7/1/2028  |  | 542000 | 538047 |
| PG&E Corp 5.25% 7/1/2030  |  | 4362000 | 4320495 |
| PG&E Corp 7.375% 3/15/2055 (d) |  | 5036000 | 5206489 |
| PG&E Recovery Funding LLC 4.838% 6/1/2035  |  | 3123471 | 3188574 |
| PG&E Recovery Funding LLC 5.231% 6/1/2042  |  | 345000 | 355607 |
| PG&E Recovery Funding LLC 5.529% 6/1/2051  |  | 415000 | 424161 |
| PG&E Recovery Funding LLC 5.536% 7/15/2049  |  | 119000 | 121099 |
| PG&E Wildfire Recovery Funding LLC 4.263% 6/1/2038  |  | 31000 | 30248 |
| PG&E Wildfire Recovery Funding LLC 5.099% 6/1/2054  |  | 85000 | 81000 |
| PG&E Wildfire Recovery Funding LLC 5.212% 12/1/2049  |  | 23000 | 22543 |
| Pinnacle West Capital Corp 5.15% 5/15/2030  |  | 1524000 | 1575486 |
| Pinnacle West Capital Corp U.S. SOFR Index + 0.82%, 4.9857% 6/10/2026 (c)(d) |  | 4100000 | 4108969 |
| PPL Capital Funding Inc 5.25% 9/1/2034  |  | 150000 | 154528 |
| PPL Electric Utilities Corp 4.125% 6/15/2044  |  | 1890000 | 1612934 |
| PPL Electric Utilities Corp 4.85% 2/15/2034  |  | 460000 | 470031 |
| PPL Electric Utilities Corp 5.25% 5/15/2053  |  | 76000 | 74452 |
| PPL Electric Utilities Corp 6.25% 5/15/2039  |  | 350000 | 391513 |
| Public Service Co of Colorado 2.7% 1/15/2051  |  | 198000 | 122355 |
| Public Service Co of Colorado 4.05% 9/15/2049  |  | 77000 | 60980 |
| Public Service Co of Colorado 5.25% 4/1/2053  |  | 750000 | 709362 |
| Public Service Co of Colorado 5.35% 5/15/2034  |  | 3825000 | 3967432 |
| Public Service Co of New Hampshire 5.35% 10/1/2033  |  | 2875000 | 3017627 |
| Public Service Co of Oklahoma 3.15% 8/15/2051  |  | 70000 | 46824 |
| Public Service Co of Oklahoma 5.2% 1/15/2035  |  | 1155000 | 1174030 |
| Public Service Co of Oklahoma 5.25% 1/15/2033  |  | 113000 | 116770 |
| Public Service Co of Oklahoma 5.45% 1/15/2036  |  | 3580000 | 3688953 |
| Public Service Electric and Gas Co 2.05% 8/1/2050  |  | 88000 | 48809 |
| Public Service Electric and Gas Co 3.6% 12/1/2047  |  | 410000 | 314738 |
| Public Service Electric and Gas Co 3.65% 9/1/2028  |  | 960000 | 953227 |
| Public Service Electric and Gas Co 3.65% 9/1/2042  |  | 625000 | 512051 |
| Public Service Electric and Gas Co 3.95% 5/1/2042  |  | 505000 | 431852 |
| Public Service Electric and Gas Co 4.65% 3/15/2033  |  | 2890000 | 2922944 |
| SCE Recovery Funding LLC 4.697% 6/15/2042  |  | 27937 | 28442 |
| SCE Recovery Funding LLC 5.112% 12/14/2049  |  | 9000 | 8798 |
| Sierra Pacific Power Co 6.2% 12/15/2055 (d) |  | 325000 | 322175 |
| Sigeco Securitization I LLC 5.026% 11/15/2038  |  | 18941 | 19607 |
| Sigeco Securitization I LLC 5.172% 5/15/2043  |  | 8000 | 8067 |
| Southern California Edison Co 1.2% 2/1/2026  |  | 1800000 | 1789554 |
| Southern California Edison Co 2.5% 6/1/2031  |  | 190000 | 170423 |
| Southern California Edison Co 2.95% 2/1/2051  |  | 257000 | 160264 |
| Southern California Edison Co 3.6% 2/1/2045  |  | 2937000 | 2152221 |
| Southern California Edison Co 3.65% 3/1/2028  |  | 3929000 | 3876448 |
| Southern California Edison Co 3.9% 12/1/2041  |  | 595000 | 467100 |
| Southern California Edison Co 4.125% 3/1/2048  |  | 1139000 | 884963 |
| Southern California Edison Co 4.4% 9/6/2026  |  | 900000 | 901240 |
| Southern California Edison Co 4.65% 10/1/2043  |  | 550000 | 475830 |
| Southern California Edison Co 4.9% 6/1/2026  |  | 2295000 | 2299176 |
| Southern California Edison Co 5.2% 6/1/2034  |  | 180000 | 181514 |
| Southern California Edison Co 5.25% 3/15/2030  |  | 3400000 | 3491605 |
| Southern California Edison Co 5.3% 3/1/2028  |  | 3420000 | 3487585 |
| Southern California Edison Co 5.45% 3/1/2035  |  | 365000 | 372801 |
| Southern California Edison Co 5.45% 6/1/2031  |  | 240000 | 248192 |
| Southern California Edison Co 5.55% 1/15/2037  |  | 430000 | 434362 |
| Southern California Edison Co 5.65% 10/1/2028  |  | 500000 | 517256 |
| Southern California Edison Co 5.85% 11/1/2027  |  | 2200000 | 2258914 |
| Southern California Edison Co 5.875% 12/1/2053  |  | 1079000 | 1054223 |
| Southern Co/The 1.875% 9/15/2081 (d) | EUR | 450000 | 505212 |
| Southern Co/The 3.75% 9/15/2051 (d) |  | 3000000 | 2960830 |
| Southern Co/The 4.25% 7/1/2036  |  | 171000 | 161091 |
| Southern Co/The 5.2% 6/15/2033  |  | 267000 | 275842 |
| Southern Co/The 5.5% 3/15/2029  |  | 320000 | 332625 |
| Southern Co/The 5.7% 10/15/2032  |  | 1203000 | 1281636 |
| Southwestern Electric Power Co 3.25% 11/1/2051  |  | 100000 | 66932 |
| Southwestern Electric Power Co 3.9% 4/1/2045  |  | 36000 | 28430 |
| Southwestern Electric Power Co 5.3% 4/1/2033  |  | 1926000 | 1982209 |
| Southwestern Public Service Co 4.5% 8/15/2041  |  | 35000 | 31662 |
| Southwestern Public Service Co 5.15% 6/1/2052  |  | 3000000 | 2623304 |
| Swepco Storm Recovery Funding LLC 4.88% 9/1/2041  |  | 8315341 | 8459422 |
| Tucson Electric Power Co 3.25% 5/15/2032  |  | 1200000 | 1117386 |
| Tucson Electric Power Co 5.5% 4/15/2053  |  | 63000 | 61405 |
| Union Electric Co 3.9% 4/1/2052  |  | 38000 | 29750 |
| Union Electric Co 4% 4/1/2048  |  | 59000 | 47599 |
| Union Electric Co 5.25% 1/15/2054  |  | 275000 | 262944 |
| Union Electric Co 5.45% 3/15/2053  |  | 240000 | 235353 |
| Virginia Electric and Power Co 5.05% 8/15/2034  |  | 672000 | 685772 |
| Virginia Electric and Power Co 5.7% 8/15/2053  |  | 250000 | 251414 |
| Virginia Electric and Power Co 6% 1/15/2036  |  | 470000 | 508730 |
| Virginia Electric and Power Co 6% 5/15/2037  |  | 930000 | 1007998 |
| Vistra Operations Co LLC 3.7% 1/30/2027 (b) |  | 2900000 | 2876887 |
| Vistra Operations Co LLC 4.3% 10/15/2028 (b) |  | 1617000 | 1612852 |
| Vistra Operations Co LLC 4.3% 7/15/2029 (b) |  | 2146000 | 2132101 |
| Vistra Operations Co LLC 4.375% 5/1/2029 (b) |  | 1101000 | 1086997 |
| Vistra Operations Co LLC 4.6% 10/15/2030 (b) |  | 386000 | 385178 |
| Vistra Operations Co LLC 5% 7/31/2027 (b) |  | 398000 | 399274 |
| Vistra Operations Co LLC 5.05% 12/30/2026 (b) |  | 1850000 | 1866004 |
| Vistra Operations Co LLC 5.625% 2/15/2027 (b) |  | 5864000 | 5871091 |
| Vistra Operations Co LLC 5.7% 12/30/2034 (b) |  | 1677000 | 1732453 |
| Vistra Operations Co LLC 6% 4/15/2034 (b) |  | 3939000 | 4157674 |
| Vistra Operations Co LLC 6.95% 10/15/2033 (b) |  | 2277000 | 2540763 |
| Vistra Operations Co LLC 7.75% 10/15/2031 (b) |  | 1105000 | 1173721 |
| Washington Natural Gas Co 2.893% 9/15/2051  |  | 38000 | 24639 |
| Washington Natural Gas Co 5.448% 6/1/2053  |  | 15000 | 14644 |
| Washington Natural Gas Co 5.685% 6/15/2054  |  | 931000 | 944434 |
| Washington Natural Gas Co 5.764% 7/15/2040  |  | 26000 | 26835 |
| Wisconsin Public Service Corp 4.55% 12/1/2029  |  | 2450000 | 2497108 |
| Wisconsin Public Service Corp 4.752% 11/1/2044  |  | 30000 | 27473 |
| Xcel Energy Inc 1.75% 3/15/2027  |  | 2540000 | 2465752 |
| Xcel Energy Inc 4% 6/15/2028  |  | 1700000 | 1698578 |
| XPLR Infrastructure Operating Partners LP 7.25% 1/15/2029 (b) |  | 125000 | 128103 |
| XPLR Infrastructure Operating Partners LP 7.75% 4/15/2034 (b) |  | 150000 | 152507 |
| XPLR Infrastructure Operating Partners LP 8.375% 1/15/2031 (b) |  | 220000 | 230541 |
|  |  |  | 381518586 |
| Gas Utilities - 0.0% |  |  |  |
| AmeriGas Partners LP / AmeriGas Finance Corp 5.75% 5/20/2027  |  | 414000 | 415618 |
| AmeriGas Partners LP / AmeriGas Finance Corp 9.375% 6/1/2028 (b) |  | 273000 | 283422 |
| AmeriGas Partners LP / AmeriGas Finance Corp 9.5% 6/1/2030 (b) |  | 506000 | 536261 |
| Atmos Energy Corp 2.85% 2/15/2052  |  | 27000 | 17156 |
| Atmos Energy Corp 5.5% 6/15/2041  |  | 57000 | 59217 |
| Atmos Energy Corp 5.75% 10/15/2052  |  | 77000 | 79824 |
| Boston Gas Co 3.757% 3/16/2032 (b) |  | 320000 | 304679 |
| Brooklyn Union Gas Co/The 4.273% 3/15/2048 (b) |  | 29000 | 23728 |
| Cameron LNG LLC 3.302% 1/15/2035 (b) |  | 1158000 | 1023846 |
| Cameron LNG LLC 3.402% 1/15/2038 (b) |  | 697000 | 608598 |
| CenterPoint Energy Resources Corp 1.75% 10/1/2030  |  | 75000 | 66896 |
| CenterPoint Energy Resources Corp 5.25% 3/1/2028  |  | 3110000 | 3189315 |
| East Ohio Gas Co/The 2% 6/15/2030 (b) |  | 1960000 | 1778229 |
| Eastern Energy Gas Holdings LLC 5.65% 10/15/2054  |  | 1580000 | 1557270 |
| Ferrellgas LP / Ferrellgas Finance Corp 5.875% 4/1/2029 (b) |  | 1124000 | 1073704 |
| Ferrellgas LP / Ferrellgas Finance Corp 9.25% 1/15/2031 (b) |  | 878000 | 886760 |
| KeySpan Gas East Corp 5.994% 3/6/2033 (b) |  | 2860000 | 3040466 |
| National Fuel Gas Co 5.5% 3/15/2030  |  | 3800000 | 3934429 |
| Piedmont Natural Gas Co Inc 2.5% 3/15/2031  |  | 147000 | 133694 |
| Piedmont Natural Gas Co Inc 3.35% 6/1/2050  |  | 83000 | 58338 |
| Piedmont Natural Gas Co Inc 5.05% 5/15/2052  |  | 45000 | 40851 |
| Piedmont Natural Gas Co Inc 5.1% 2/15/2035  |  | 2190000 | 2241219 |
| Southern California Gas Co 5.05% 9/1/2034  |  | 1360000 | 1392655 |
| Southern Co Gas Capital Corp 3.15% 9/30/2051  |  | 827000 | 546152 |
|  |  |  | 23292327 |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |  |
| AES Corp/The 2.45% 1/15/2031  |  | 3600000 | 3266004 |
| AES Corp/The 3.95% 7/15/2030 (b) |  | 9327000 | 9096477 |
| AES Corp/The 5.45% 6/1/2028  |  | 2600000 | 2659573 |
| AES Corp/The 5.8% 3/15/2032  |  | 2500000 | 2568597 |
| AES Corp/The 6.95% 7/15/2055 (d) |  | 100000 | 97552 |
| Alpha Generation LLC 6.25% 1/15/2034 (b) |  | 170000 | 170267 |
| Alpha Generation LLC 6.75% 10/15/2032 (b) |  | 245000 | 252151 |
| Calpine Corp 3.75% 3/1/2031 (b) |  | 350000 | 337716 |
| Calpine Corp 4.625% 2/1/2029 (b) |  | 1200000 | 1191175 |
| Calpine Corp 5% 2/1/2031 (b) |  | 3365000 | 3372252 |
| Calpine Corp 5.125% 3/15/2028 (b) |  | 4340000 | 4352174 |
| Constellation Energy Generation LLC 5.6% 6/15/2042  |  | 100000 | 101304 |
| Constellation Energy Generation LLC 5.75% 10/1/2041  |  | 830000 | 854240 |
| Constellation Energy Generation LLC 6.25% 10/1/2039  |  | 245000 | 268444 |
| Southern Power Co 5.15% 9/15/2041  |  | 150000 | 145908 |
| Sunnova Energy Corp 5.875% (b)(i)(s) |  | 210000 | 524 |
| Talen Energy Supply LLC 6.25% 2/1/2034 (b) |  | 285000 | 290393 |
| Talen Energy Supply LLC 6.5% 2/1/2036 (b) |  | 300000 | 310166 |
| TerraForm Power Operating LLC 5% 1/31/2028 (b) |  | 130000 | 129773 |
| VoltaGrid LLC 7.375% 11/1/2030 (b) |  | 849000 | 846696 |
|  |  |  | 30311386 |
| Multi-Utilities - 0.2% |  |  |  |
| Ameren Corp 3.5% 1/15/2031  |  | 119000 | 114436 |
| Ameren Illinois Co 3.25% 3/15/2050  |  | 115000 | 80888 |
| Ameren Illinois Co 4.15% 3/15/2046  |  | 1135000 | 958043 |
| Ameren Illinois Co 4.95% 6/1/2033  |  | 1419000 | 1460335 |
| Berkshire Hathaway Energy Co 2.85% 5/15/2051  |  | 80000 | 50594 |
| Berkshire Hathaway Energy Co 5.15% 11/15/2043  |  | 90000 | 87488 |
| Black Hills Corp 4.55% 1/31/2031  |  | 6000000 | 6002053 |
| CenterPoint Energy Inc 5.95% 4/1/2056 (d) |  | 1600000 | 1617389 |
| Consumers Energy Co 3.95% 5/15/2043  |  | 225000 | 188443 |
| Consumers Energy Co 4.35% 4/15/2049  |  | 14000 | 11968 |
| Consumers Energy Co 4.35% 8/31/2064  |  | 14000 | 11188 |
| Consumers Energy Co 4.625% 5/15/2033  |  | 279000 | 281504 |
| Dominion Energy Inc 4.9% 8/1/2041  |  | 1000 | 934 |
| Dominion Energy Inc 5% 6/15/2030  |  | 3800000 | 3914259 |
| Dominion Energy Inc 6% 2/15/2056 (d) |  | 699000 | 707235 |
| Dominion Energy Inc 6.2% 2/15/2056 (d) |  | 2210000 | 2231863 |
| Dominion Energy Inc 6.625% 5/15/2055 (d) |  | 995000 | 1029740 |
| Dominion Energy Inc 6.875% 2/1/2055 (d) |  | 280000 | 291985 |
| Dominion Energy Inc 7% 6/1/2054 (d) |  | 736000 | 801037 |
| Dominion Energy Inc 7% 6/15/2038  |  | 150000 | 173026 |
| DTE Energy Co 4.875% 6/1/2028  |  | 280000 | 285084 |
| DTE Energy Co 4.95% 7/1/2027  |  | 5105000 | 5167205 |
| DTE Energy Co 5.1% 3/1/2029  |  | 300000 | 308028 |
| DTE Energy Co 5.2% 4/1/2030  |  | 3900000 | 4033259 |
| DTE Energy Co 5.85% 6/1/2034  |  | 800000 | 856477 |
| NiSource Inc 2.95% 9/1/2029  |  | 11346000 | 10881805 |
| NiSource Inc 5.2% 7/1/2029  |  | 3060000 | 3160162 |
| NiSource Inc 5.25% 3/30/2028  |  | 130000 | 133371 |
| NiSource Inc 5.95% 6/15/2041  |  | 640000 | 671055 |
| Public Service Enterprise Group Inc 5.2% 4/1/2029  |  | 300000 | 309223 |
| Puget Energy Inc 2.379% 6/15/2028  |  | 815000 | 778575 |
| Puget Energy Inc 4.1% 6/15/2030  |  | 5379000 | 5267783 |
| Puget Energy Inc 4.224% 3/15/2032  |  | 5488000 | 5269155 |
| San Diego Gas & Electric Co 1.7% 10/1/2030  |  | 5375000 | 4794710 |
| San Diego Gas & Electric Co 2.95% 8/15/2051  |  | 80000 | 51912 |
| San Diego Gas & Electric Co 3% 3/15/2032  |  | 311000 | 286047 |
| San Diego Gas & Electric Co 3.32% 4/15/2050  |  | 139000 | 97851 |
| San Diego Gas & Electric Co 3.75% 6/1/2047  |  | 1210000 | 932989 |
| San Diego Gas & Electric Co 4.5% 8/15/2040  |  | 7000 | 6457 |
| San Diego Gas & Electric Co 4.95% 8/15/2028  |  | 731000 | 748580 |
| San Diego Gas & Electric Co 5.35% 4/1/2053  |  | 336000 | 323132 |
| Sempra 4% 2/1/2048  |  | 965000 | 746808 |
| Sempra 4.125% 4/1/2052 (d) |  | 3845000 | 3744971 |
| Sempra 6.375% 4/1/2056 (d) |  | 539000 | 549075 |
| WEC Energy Group Inc 1.8% 10/15/2030  |  | 291000 | 259250 |
| WEC Energy Group Inc 5.6% 9/12/2026  |  | 97000 | 98009 |
| WEC Energy Group Inc 5.625% 5/15/2056 (d) |  | 3000000 | 3044834 |
|  |  |  | 72820215 |
| TOTAL UTILITIES |  |  | 507942514 |
| TOTAL UNITED STATES |  |  | 4856857382 |
| ZAMBIA - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| First Quantum Minerals Ltd 7.25% 2/15/2034 (b) |  | 1205000 | 1242644 |
| First Quantum Minerals Ltd 8% 3/1/2033 (b) |  | 1335000 | 1406126 |
| First Quantum Minerals Ltd 9.375% 3/1/2029 (b) |  | 1235000 | 1303827 |
| TOTAL ZAMBIA |  |  | 3952597 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $6,278,644,571) |  |  | <br> **6301850717** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| JAMAICA - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| Digicel Ltd (i)(o)<br>(Cost $111,017)<br>| 6735 | **82773** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 0.2%** | &nbsp;&nbsp;**Preferred Securities - 0.2%** | &nbsp;&nbsp;**Preferred Securities - 0.2%** | &nbsp;&nbsp;**Preferred Securities - 0.2%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Bank of Nova Scotia/The CME Term SOFR 3 month Index + 2.9096%, 6.8211% (c)(d)(r) |  | 12927000 | 12977167 |
| CZECH REPUBLIC - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| CPI Property Group SA 3.75% (d)(e)(r) | EUR | 195000 | 205084 |
| FINLAND - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Citycon Oyj 7.875% (d)(e)(r) | EUR | 320000 | 312785 |
| FRANCE - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| BNP Paribas SA 7.375% (b)(d)(r) |  | 250000 | 263534 |
| BNP Paribas SA 7.45% (b)(d)(r) |  | 200000 | 214916 |
| Credit Agricole SA 5.875% (d)(e)(r) | EUR | 100000 | 119836 |
|  |  |  | 598286 |
| Industrials - 0.0% |  |  |  |
| Passenger Airlines - 0.0% |  |  |  |
| Air France-KLM 5.75% (d)(e)(r) | EUR | 200000 | 238991 |
| Transportation Infrastructure - 0.0% |  |  |  |
| La Poste SA 5% (d)(e)(r) | EUR | 100000 | 122346 |
| TOTAL INDUSTRIALS |  |  | 361337 |
| Real Estate - 0.0% |  |  |  |
| Retail REITs - 0.0% |  |  |  |
| Unibail-Rodamco-Westfield SE 4.75% (d)(e)(r) | EUR | 100000 | 119506 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Electricite de France SA 5.625% (d)(e)(r) | EUR | 200000 | 245038 |
| Electricite de France SA 9.125% (b)(d)(r) |  | 570000 | 683512 |
|  |  |  | 928550 |
| TOTAL FRANCE |  |  | 2007679 |
| GERMANY - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| Volkswagen International Finance NV 3.875% (d)(e)(r) | EUR | 400000 | 464154 |
| Volkswagen International Finance NV 4.375% (d)(e)(r) | EUR | 100000 | 116815 |
| Volkswagen International Finance NV 5.994% (d)(e)(r) | EUR | 100000 | 120697 |
| Volkswagen International Finance NV 7.875% (d)(e)(r) | EUR | 700000 | 954910 |
|  |  |  | 1656576 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Wintershall Dea Finance 2 BV 6.117% (d)(e)(r) | EUR | 100000 | 121317 |
| Financials - 0.0% |  |  |  |
| Capital Markets - 0.0% |  |  |  |
| Deutsche Bank AG 4.625% (d)(e)(r) | EUR | 200000 | 235863 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Aroundtown Finance Sarl 5.25% (d)(e)(r) | EUR | 125000 | 142629 |
| Aroundtown Finance Sarl 5.25% (d)(e)(r) | EUR | 100000 | 114330 |
| Aroundtown Finance Sarl 7.875% (d)(r) |  | 750000 | 757043 |
| Grand City Properties SA 1.5% (d)(e)(r) | EUR | 500000 | 574170 |
|  |  |  | 1588172 |
| TOTAL GERMANY |  |  | 3601928 |
| ITALY - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Electrical Equipment - 0.0% |  |  |  |
| Prysmian SpA 5.25% (d)(e)(r) | EUR | 100000 | 122378 |
| LUXEMBOURG - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Vivion Investments Sarl 8.125% (d)(e)(f)(r) | EUR | 100000 | 109983 |
| SINGAPORE - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| GLP Pte Ltd 4.5% (d)(e)(r) |  | 200000 | 126844 |
| SPAIN - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Telefonica Europe BV 6.75% (d)(e)(r) | EUR | 100000 | 130376 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco Santander SA 9.625% (d)(r) |  | 1000000 | 1115531 |
| TOTAL SPAIN |  |  | 1245907 |
| SWEDEN - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Heimstaden Bostad AB 3.625% (d)(e)(r) | EUR | 185000 | 219000 |
| Heimstaden Bostad AB 6.25% (d)(e)(r) | EUR | 135000 | 170371 |
| Samhallsbyggnadsbolaget i Norden AB 5 year EUR Swap Annual Index + 2.814%, 4.9355% (c)(d)(e)(r)(s) | EUR | 625000 | 523057 |
| TOTAL SWEDEN |  |  | 912428 |
| SWITZERLAND - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Capital Markets - 0.0% |  |  |  |
| Credit Suisse Group AG Claim 5 year USD Swap Index + 4.598%, 0% (c)(d)(e)(i)(r)(s) |  | 2750000 | 742500 |
| UBS Group AG 9.25% (b)(d)(r) |  | 200000 | 235258 |
| UBS Group AG 9.25% (b)(d)(r) |  | 200000 | 220067 |
| TOTAL SWITZERLAND |  |  | 1197825 |
| UNITED KINGDOM - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Barclays PLC 7.625% (d)(r) |  | 315000 | 337560 |
| Barclays PLC 8.875% (d)(e)(r) | GBP | 300000 | 424401 |
| HSBC Holdings PLC 7.05% (d)(r) |  | 250000 | 267957 |
| NatWest Group PLC 8.125% (d)(r) |  | 290000 | 328597 |
|  |  |  | 1358515 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| Mobico Group PLC 4.25% (d)(e)(r) | GBP | 215000 | 159962 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| SSE PLC 3.74% (d)(e)(r) | GBP | 390000 | 526995 |
| TOTAL UNITED KINGDOM |  |  | 2045472 |
| UNITED STATES - 0.2%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Energy Transfer LP 6.5% (d)(r) |  | 3770000 | 3788868 |
| Energy Transfer LP Series G, 7.125% (d)(r) |  | 2890000 | 2976236 |
| Plains All American Pipeline LP CME Term SOFR 3 month Index + 4.3716%, 8.2234% (c)(d)(r) |  | 315000 | 315973 |
| Sunoco LP 7.875% (b)(d)(r) |  | 1835000 | 1896652 |
| Venture Global LNG Inc 9% (b)(d)(r) |  | 6155000 | 5334531 |
|  |  |  | 14312260 |
| Financials - 0.2% |  |  |  |
| Banks - 0.1% |  |  |  |
| Bank of America Corp 6.25% (d)(r) |  | 1695000 | 1724326 |
| Bank of America Corp 6.625% (d)(r) |  | 653000 | 680716 |
| BW Real Estate Inc 9.5% (b)(d)(r) |  | 125000 | 129493 |
| Citigroup Inc 3.875% (d)(r) |  | 4320000 | 4308785 |
| Citigroup Inc 6.75% (d)(r) |  | 1385000 | 1399694 |
| Citigroup Inc 6.875% (d)(r) |  | 250000 | 256631 |
| Citigroup Inc 6.95% (d)(r) |  | 623000 | 639604 |
| Citigroup Inc 7.125% (d)(r) |  | 1540000 | 1583223 |
| JPMorgan Chase & Co 6.5% (d)(r) |  | 245000 | 255680 |
| US Bancorp 3.7% (d)(r) |  | 4850000 | 4731269 |
| Wells Fargo & Co 6.85% (d)(r) |  | 930000 | 987647 |
| Wells Fargo & Co 7.625% (d)(r) |  | 160000 | 172995 |
|  |  |  | 16870063 |
| Capital Markets - 0.1% |  |  |  |
| Charles Schwab Corp/The 4% (d)(r) |  | 220000 | 207238 |
| Goldman Sachs Group Inc/The 3.65% (d)(r) |  | 1750000 | 1745577 |
| Goldman Sachs Group Inc/The 4.125% (d)(r) |  | 2505000 | 2467629 |
| Goldman Sachs Group Inc/The 6.85% (d)(r) |  | 1160000 | 1227595 |
| Goldman Sachs Group Inc/The 7.5% (d)(r) |  | 490000 | 519326 |
| State Street Corp 6.7% (d)(r) |  | 178000 | 187259 |
|  |  |  | 6354624 |
| Consumer Finance - 0.0% |  |  |  |
| Ally Financial Inc 4.7% (d)(r) |  | 45000 | 41594 |
| Ally Financial Inc 4.7% (d)(r) |  | 695000 | 681890 |
| American Express Co 3.55% (d)(r) |  | 770000 | 762177 |
|  |  |  | 1485661 |
| TOTAL FINANCIALS |  |  | 24710348 |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| Incora Top Holdco LLC 6% 1/31/2033 (i) |  | 73384 | 68464 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Edison International 5% (d)(r) |  | 257000 | 258162 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Vistra Corp 7% (b)(d)(r) |  | 2575000 | 2694030 |
| Vistra Corp 8.875% (b)(d)(r) |  | 1775000 | 2032307 |
|  |  |  | 4726337 |
| TOTAL UTILITIES |  |  | 4984499 |
| TOTAL UNITED STATES |  |  | 44075571 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $70,955,004) |  |  | <br> **68941051** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Repurchase Agreements - 6.7%** | &nbsp;&nbsp;**Repurchase Agreements - 6.7%** | &nbsp;&nbsp;**Repurchase Agreements - 6.7%** |
|  | Maturity<br> Amount ($)<br>| Value ($)<br>|
| Australia & New Zealand Banking Group Ltd 4.14%, dated 12/1/2025 due 12/2/2025 (t) | 200023000 | 200000000 |
| BofA Securities Inc./ Citigroup Global Capital Markets Inc, 4.16%, dated 12/1/2025 due 12/2/2025 (t) | 1283048246 | 1282900000 |
| Repurchase Agreements\*  | 1504620776 | 1504100000 |
| <br> **TOTAL REPURCHASE AGREEMENTS**<br> (Cost $2,987,000,000) |  | **2987000000** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 26.0%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 26.0%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 26.0%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 26.0%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Fannie Mae 2% 11/1/2051  |  | 651798 | 535061 |
| Fannie Mae 2% 3/1/2052  |  | 3588520 | 2943574 |
| Fannie Mae 2% 5/1/2052  |  | 608357 | 504723 |
| Fannie Mae 2.5% 1/1/2052  |  | 1720942 | 1480794 |
| Fannie Mae 2.5% 3/1/2050  |  | 176466 | 152944 |
| Fannie Mae 2.5% 4/1/2052  |  | 1216389 | 1055772 |
| Fannie Mae 2.5% 4/1/2052  |  | 504440 | 435940 |
| Fannie Mae 2.5% 6/1/2052  |  | 1586167 | 1376723 |
| Fannie Mae 3% 11/1/2036  |  | 500512 | 478431 |
| Fannie Mae 3% 12/1/2051  |  | 2246297 | 2018737 |
| Fannie Mae 3.5% 12/1/2036  |  | 94185 | 92475 |
| Fannie Mae 3.5% 5/1/2036  |  | 72804 | 71543 |
| Fannie Mae 3.5% 7/1/2047  |  | 2736201 | 2585216 |
| Fannie Mae 4% 12/1/2054  |  | 11878165 | 11401928 |
| Fannie Mae 4.5% 10/1/2054  |  | 15202413 | 14926436 |
| Fannie Mae 5.5% 2/1/2055  |  | 2508471 | 2541090 |
| Fannie Mae 6.5% 7/1/2054  |  | 482080 | 507292 |
| Fannie Mae 7% 6/1/2054  |  | 74324 | 79092 |
| Fannie Mae 7% 7/1/2054  |  | 67758 | 72343 |
| Fannie Mae 7% 8/1/2054  |  | 56022 | 59494 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 6.178% 6/1/2036 (c)(d) |  | 945 | 971 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.595%, 6.585% 5/1/2035 (c)(d) |  | 1055 | 1084 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.825%, 6.723% 2/1/2035 (c)(d) |  | 17611 | 18221 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.955%, 6.705% 7/1/2037 (c)(d) |  | 5504 | 5724 |
| Fannie Mae Mortgage pass-thru certificates 1.3334% 10/1/2032 (d) |  | 3507621 | 2938884 |
| Fannie Mae Mortgage pass-thru certificates 1.4556% 11/1/2032 (d) |  | 5226512 | 4417305 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  |  | 2577523 | 2336388 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2037  |  | 3634941 | 3291474 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  |  | 857335 | 733817 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  |  | 5386242 | 4183523 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2036  |  | 74512 | 67308 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2050  |  | 2329543 | 1815192 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2051  |  | 1401164 | 1088292 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  |  | 2715838 | 2461763 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  |  | 2587077 | 2352324 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  |  | 1393270 | 1262926 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  |  | 30008 | 27285 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  |  | 12540 | 11402 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  |  | 523553 | 448783 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041  |  | 8979623 | 7618872 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2050  |  | 4276947 | 3332620 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  |  | 1855519 | 1681930 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  |  | 12713 | 11523 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  |  | 1824671 | 1562914 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2041  |  | 3613190 | 3063470 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2050  |  | 10374050 | 8055727 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  |  | 41326 | 37460 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  |  | 39168 | 35504 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  |  | 546537 | 467450 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  |  | 25191990 | 19566752 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  |  | 260735 | 236342 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  |  | 48144 | 43640 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  |  | 13919 | 12617 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  |  | 558570 | 477432 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2051  |  | 1858981 | 1443880 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  |  | 49894 | 45227 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  |  | 49885 | 45218 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  |  | 4484300 | 4060577 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  |  | 291761 | 264192 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2051  |  | 770153 | 598182 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  |  | 53642 | 48573 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  |  | 1290246 | 1002141 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  |  | 517805 | 407036 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 7/1/2051  |  | 297759 | 231271 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2050  |  | 6278282 | 4892071 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2051  |  | 216436 | 168107 |
| Fannie Mae Mortgage pass-thru certificates 1.56% 10/1/2035  |  | 3154429 | 2509563 |
| Fannie Mae Mortgage pass-thru certificates 1.565% 1/1/2033 (d) |  | 4743698 | 4024583 |
| Fannie Mae Mortgage pass-thru certificates 1.73% 11/1/2031  |  | 4283554 | 3778821 |
| Fannie Mae Mortgage pass-thru certificates 1.82% 4/1/2032  |  | 1000788 | 879446 |
| Fannie Mae Mortgage pass-thru certificates 1.93% 1/1/2032  |  | 6000000 | 5308784 |
| Fannie Mae Mortgage pass-thru certificates 1.96% 9/1/2033  |  | 248670 | 211211 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2041  |  | 1283693 | 1133583 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  |  | 16966597 | 13938487 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  |  | 74455 | 61911 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  |  | 12796931 | 10572987 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  |  | 4890430 | 4049705 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2036  |  | 1057360 | 982979 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  |  | 1435884 | 1258850 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  |  | 303522 | 266270 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  |  | 34333 | 30121 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  |  | 18921299 | 15544324 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  |  | 3013250 | 2513126 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  |  | 27420 | 22800 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  |  | 7328982 | 6009492 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  |  | 6947824 | 5779462 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  |  | 3090561 | 2549597 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  |  | 844288 | 698617 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  |  | 158845 | 131686 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  |  | 67776 | 56357 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2036  |  | 89324 | 82719 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040  |  | 8871588 | 7843737 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  |  | 2607216 | 2287394 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  |  | 2080001 | 1824562 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  |  | 5350420 | 4395505 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  |  | 2063601 | 1705618 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  |  | 834174 | 689466 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  |  | 595206 | 495859 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  |  | 12040546 | 9872799 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  |  | 4499371 | 3737122 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  |  | 2847000 | 2360235 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  |  | 145903 | 120958 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  |  | 59116 | 49101 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  |  | 40830 | 33964 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  |  | 3458724 | 3222982 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  |  | 115752 | 107320 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2036  |  | 1107985 | 1029350 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  |  | 3696864 | 3266471 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  |  | 511374 | 453408 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2041  |  | 708606 | 620932 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2041  |  | 275296 | 241332 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  |  | 4566201 | 3748395 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  |  | 1834637 | 1516374 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  |  | 1404433 | 1152899 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  |  | 16082 | 13388 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  |  | 17798361 | 14593992 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  |  | 2273689 | 1881392 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  |  | 1824563 | 1517740 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  |  | 1580932 | 1310633 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  |  | 362823 | 297842 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  |  | 809634 | 794987 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  |  | 664573 | 616992 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  |  | 155749 | 144841 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  |  | 141429 | 131127 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  |  | 107697 | 100121 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  |  | 106554 | 99259 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  |  | 55533 | 51818 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2037  |  | 487790 | 453171 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  |  | 7094479 | 6260711 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2042  |  | 656228 | 574436 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  |  | 2143780 | 1759830 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  |  | 33505 | 27598 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  |  | 32787 | 27264 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  |  | 24030 | 19981 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  |  | 1071428 | 889915 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  |  | 1051900 | 866463 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  |  | 1015931 | 843185 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  |  | 447743 | 370771 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  |  | 28187 | 23420 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2036  |  | 136463 | 126309 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2037  |  | 176352 | 163726 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  |  | 1878600 | 1656878 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  |  | 30984807 | 25435435 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  |  | 479353 | 398144 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  |  | 159498 | 132477 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  |  | 42565 | 35062 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  |  | 31804 | 26416 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  |  | 25062 | 20816 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  |  | 20997 | 17440 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  |  | 29853752 | 24441646 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  |  | 3056770 | 2536050 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  |  | 2801391 | 2318922 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  |  | 1963912 | 1625677 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  |  | 694334 | 577356 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  |  | 683219 | 564911 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  |  | 676075 | 561539 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  |  | 625737 | 519143 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  |  | 62158 | 51589 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  |  | 43011 | 35738 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  |  | 159885 | 141614 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  |  | 24352228 | 19975529 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  |  | 2535088 | 2079470 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  |  | 28301 | 23560 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  |  | 14719918 | 12051383 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  |  | 527667 | 433162 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2036  |  | 8481695 | 7866487 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2036  |  | 162913 | 151758 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2041  |  | 10440628 | 9196961 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2042  |  | 3072300 | 2712616 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  |  | 24954864 | 20469856 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  |  | 1080739 | 892582 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  |  | 71627 | 59493 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2036  |  | 176621 | 164418 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2040  |  | 851360 | 754659 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  |  | 9842567 | 8662284 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  |  | 115150 | 101973 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2050  |  | 5126806 | 4221413 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2036  |  | 76970 | 71459 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2040  |  | 523143 | 463718 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  |  | 1651068 | 1457180 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050 (v)(w) |  | 10676119 | 8780710 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  |  | 2126998 | 1761341 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  |  | 1791120 | 1489361 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  |  | 3136404 | 2572714 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  |  | 2208621 | 1816508 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  |  | 378150 | 313732 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  |  | 98437 | 81022 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  |  | 20008 | 16468 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2031  |  | 331465 | 317535 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2040  |  | 2110514 | 1869872 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2042  |  | 670001 | 587271 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2042  |  | 282285 | 247597 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  |  | 5944406 | 4889052 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  |  | 112287 | 92706 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  |  | 6860285 | 5627321 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  |  | 188995 | 155028 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2040  |  | 249880 | 221154 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2041  |  | 452963 | 397533 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2050  |  | 5488594 | 4514164 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2051  |  | 51895 | 42568 |
| Fannie Mae Mortgage pass-thru certificates 2.02% 1/1/2032  |  | 4000000 | 3574884 |
| Fannie Mae Mortgage pass-thru certificates 2.07% 5/1/2032  |  | 443451 | 390404 |
| Fannie Mae Mortgage pass-thru certificates 2.11% 1/1/2032  |  | 4925290 | 4427391 |
| Fannie Mae Mortgage pass-thru certificates 2.14% 8/1/2036  |  | 355301 | 291237 |
| Fannie Mae Mortgage pass-thru certificates 2.2% 10/1/2026  |  | 163623 | 160759 |
| Fannie Mae Mortgage pass-thru certificates 2.25% 4/1/2033  |  | 1272605 | 1123295 |
| Fannie Mae Mortgage pass-thru certificates 2.39% 3/1/2032  |  | 220129 | 200803 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  |  | 517441 | 500737 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  |  | 14835456 | 12755982 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  |  | 6496232 | 5658743 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  |  | 293271 | 253080 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  |  | 18053718 | 15472367 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  |  | 16276727 | 14066442 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  |  | 3445780 | 2983247 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  |  | 814827 | 693993 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  |  | 734629 | 633723 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  |  | 425599 | 362485 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  |  | 504903 | 488793 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  |  | 319786 | 295583 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2035  |  | 435831 | 418100 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2037  |  | 321642 | 299579 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2043  |  | 493996 | 442498 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2043  |  | 262715 | 235343 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2046  |  | 221293 | 193732 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  |  | 12033268 | 10354096 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  |  | 10835005 | 9424621 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  |  | 361617 | 314206 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  |  | 21357721 | 18303957 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  |  | 1734410 | 1501597 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  |  | 912952 | 782416 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  |  | 793082 | 684891 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  |  | 520592 | 454779 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2029  |  | 267063 | 261327 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2029  |  | 74751 | 73260 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  |  | 331819 | 321227 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  |  | 124861 | 120416 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  |  | 32467 | 31300 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  |  | 5043 | 4873 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  |  | 1898816 | 1713376 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  |  | 1221027 | 1102825 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  |  | 355262 | 321576 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2049  |  | 501175 | 432648 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2050  |  | 936272 | 805620 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2050  |  | 478210 | 422387 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2050  |  | 409515 | 358384 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  |  | 34206651 | 29315727 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  |  | 7130057 | 6152924 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  |  | 4563014 | 3953364 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  |  | 3673474 | 3171193 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  |  | 3153483 | 2722302 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  |  | 1728266 | 1486556 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  |  | 377115 | 328498 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  |  | 921449 | 891364 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  |  | 224583 | 216506 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2033  |  | 2348745 | 2270200 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2049  |  | 777225 | 670954 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  |  | 15699775 | 13508963 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  |  | 3977017 | 3433233 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  |  | 2255420 | 1952671 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  |  | 1570424 | 1359623 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  |  | 866075 | 742242 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2034  |  | 742207 | 651375 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  |  | 278588 | 269799 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  |  | 178260 | 170129 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2036  |  | 3774814 | 3594383 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2036  |  | 1003225 | 954331 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2041  |  | 327631 | 297370 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2043  |  | 187552 | 168395 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2043  |  | 132728 | 118988 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2051  |  | 5967853 | 5131344 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2051  |  | 4468518 | 3900819 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2051  |  | 14053 | 12127 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  |  | 17029902 | 14573650 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  |  | 3793368 | 3319740 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  |  | 3306818 | 2851571 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  |  | 1225500 | 1064829 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2036  |  | 2733330 | 2600118 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  |  | 101889 | 92948 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2041  |  | 203864 | 185943 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2043  |  | 468423 | 419442 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2043  |  | 148139 | 134203 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2043  |  | 61285 | 54848 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  |  | 2910791 | 2510975 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  |  | 569281 | 493399 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2051  |  | 6870885 | 5907798 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2051  |  | 598899 | 519818 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2051  |  | 522594 | 451465 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2051  |  | 39216 | 34050 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  |  | 7443824 | 6367862 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  |  | 2636679 | 2274513 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  |  | 2000880 | 1725421 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  |  | 1876127 | 1629568 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  |  | 1541741 | 1333827 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  |  | 962122 | 834478 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  |  | 547484 | 474336 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2062  |  | 973852 | 802046 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2030  |  | 237118 | 231511 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2031  |  | 488079 | 473421 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  |  | 505349 | 489211 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  |  | 5333145 | 4970612 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2041  |  | 307807 | 279291 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  |  | 584757 | 520955 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  |  | 53659 | 48910 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  |  | 6255 | 5550 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  |  | 5524 | 4960 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  |  | 14895826 | 12807890 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  |  | 4095597 | 3584234 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  |  | 2386718 | 2052173 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  |  | 1788668 | 1524537 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  |  | 578364 | 501994 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  |  | 12434788 | 10734558 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  |  | 4796721 | 4145354 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  |  | 3813372 | 3303880 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  |  | 2222880 | 1919637 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  |  | 1748455 | 1513757 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  |  | 1500704 | 1283786 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  |  | 1438314 | 1251090 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  |  | 199456 | 172683 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  |  | 635603 | 616509 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  |  | 629001 | 609862 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  |  | 567684 | 550637 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  |  | 543783 | 527236 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  |  | 535874 | 519372 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  |  | 445492 | 432092 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2035  |  | 1205409 | 1147792 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2037  |  | 443613 | 420190 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  |  | 74077 | 67601 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  |  | 3724036 | 3375843 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  |  | 235430 | 213596 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  |  | 181330 | 164946 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2043  |  | 218361 | 195755 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2046  |  | 4482473 | 3908799 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2046  |  | 98870 | 86618 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2050  |  | 4415477 | 3808982 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2050  |  | 2403198 | 2073103 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2050  |  | 607121 | 527903 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  |  | 14719476 | 12716056 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  |  | 7450579 | 6406237 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  |  | 5044082 | 4337057 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  |  | 3027994 | 2628165 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  |  | 2882677 | 2500234 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  |  | 2843469 | 2468006 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  |  | 2188380 | 1899417 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  |  | 5624551 | 4869558 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  |  | 3993435 | 3446158 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2053  |  | 4520513 | 3875575 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2053  |  | 476061 | 407398 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  |  | 57211 | 56279 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  |  | 801325 | 776645 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  |  | 506526 | 490923 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  |  | 494118 | 479279 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2036  |  | 701754 | 666238 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2037  |  | 731761 | 692210 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2041  |  | 2147636 | 1944169 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2043  |  | 155705 | 138055 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2043  |  | 12266 | 11061 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  |  | 18205071 | 15653280 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  |  | 6678834 | 5796933 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  |  | 3088003 | 2672530 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  |  | 47840 | 47060 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  |  | 46113 | 45381 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2036  |  | 111366 | 105694 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2037  |  | 186604 | 176635 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2040  |  | 216664 | 197342 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  |  | 212439 | 192450 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  |  | 186880 | 169726 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2046  |  | 235053 | 205926 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  |  | 4565970 | 3934523 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  |  | 3759367 | 3270013 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  |  | 1134719 | 967511 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  |  | 587560 | 511812 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2051  |  | 4686361 | 4017761 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2051  |  | 756638 | 648689 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2053  |  | 1115559 | 953753 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2028  |  | 98855 | 97203 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2028  |  | 32834 | 32285 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2028  |  | 30425 | 29930 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  |  | 416794 | 403959 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2050  |  | 8183375 | 7051661 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2050  |  | 5706951 | 4917713 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  |  | 4682479 | 4029066 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  |  | 3773425 | 3246865 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  |  | 3614539 | 3110151 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  |  | 2766773 | 2392791 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  |  | 2184225 | 1872604 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2035  |  | 3128154 | 2977655 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2041  |  | 1619930 | 1464532 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2046  |  | 519953 | 455196 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  |  | 13661790 | 11712673 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  |  | 479850 | 414989 |
| Fannie Mae Mortgage pass-thru certificates 2.51% 10/1/2030  |  | 737087 | 688136 |
| Fannie Mae Mortgage pass-thru certificates 2.6% 9/1/2027  |  | 307753 | 300736 |
| Fannie Mae Mortgage pass-thru certificates 2.6% 9/1/2028  |  | 353740 | 341511 |
| Fannie Mae Mortgage pass-thru certificates 2.61% 6/1/2026  |  | 296122 | 293467 |
| Fannie Mae Mortgage pass-thru certificates 2.62% 5/1/2026  |  | 143496 | 142344 |
| Fannie Mae Mortgage pass-thru certificates 2.66% 8/1/2029  |  | 640896 | 614543 |
| Fannie Mae Mortgage pass-thru certificates 2.67% 4/1/2034  |  | 585106 | 522578 |
| Fannie Mae Mortgage pass-thru certificates 2.69% 12/1/2028  |  | 441052 | 427686 |
| Fannie Mae Mortgage pass-thru certificates 2.73% 7/1/2028  |  | 278949 | 271174 |
| Fannie Mae Mortgage pass-thru certificates 2.78% 4/1/2026  |  | 204787 | 203460 |
| Fannie Mae Mortgage pass-thru certificates 2.81% 5/1/2026  |  | 117021 | 116171 |
| Fannie Mae Mortgage pass-thru certificates 2.83% 10/1/2027  |  | 595000 | 578844 |
| Fannie Mae Mortgage pass-thru certificates 2.83% 4/1/2030  |  | 631554 | 604889 |
| Fannie Mae Mortgage pass-thru certificates 2.835% 8/1/2029  |  | 465159 | 445359 |
| Fannie Mae Mortgage pass-thru certificates 2.84% 11/1/2031  |  | 130917 | 121509 |
| Fannie Mae Mortgage pass-thru certificates 2.87% 8/1/2031  |  | 216519 | 205513 |
| Fannie Mae Mortgage pass-thru certificates 2.9% 5/1/2029  |  | 97550 | 94104 |
| Fannie Mae Mortgage pass-thru certificates 2.97% 4/1/2028  |  | 172541 | 169080 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2030  |  | 389111 | 382897 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2032  |  | 33059 | 32341 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  |  | 141335 | 137694 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2041  |  | 210730 | 199853 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2042  |  | 288770 | 271428 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  |  | 752174 | 696630 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  |  | 514928 | 476712 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  |  | 235655 | 219124 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  |  | 216726 | 201545 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  |  | 196740 | 183001 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  |  | 154497 | 143573 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  |  | 147198 | 136150 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  |  | 140458 | 130238 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  |  | 112398 | 104679 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  |  | 49870 | 46224 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  |  | 41924 | 38829 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2044  |  | 5624 | 5192 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2047  |  | 1944908 | 1765506 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2050  |  | 574871 | 517712 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  |  | 1350656 | 1212141 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  |  | 11705541 | 10457533 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  |  | 3857875 | 3450177 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  |  | 696973 | 619397 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  |  | 244301 | 219017 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2027  |  | 68948 | 68284 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  |  | 190482 | 176464 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  |  | 138302 | 127984 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  |  | 100104 | 92728 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2043  |  | 347535 | 321302 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2043  |  | 243765 | 225113 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  |  | 5043386 | 4571870 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  |  | 4261533 | 3823163 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  |  | 1851197 | 1665977 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2028  |  | 6878 | 6791 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  |  | 58803 | 57366 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  |  | 43474 | 42486 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  |  | 162621 | 159617 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  |  | 436193 | 405165 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  |  | 105165 | 97822 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2043  |  | 7685 | 7117 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  |  | 1527642 | 1386730 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  |  | 911823 | 827715 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  |  | 786436 | 719792 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  |  | 1986836 | 1801083 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  |  | 542883 | 488905 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  |  | 265825 | 238730 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  |  | 3402810 | 3083612 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  |  | 2858407 | 2572411 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  |  | 2287306 | 2047014 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  |  | 2115572 | 1906545 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  |  | 1309713 | 1177033 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  |  | 39600 | 35761 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  |  | 33601 | 30344 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2028  |  | 14916 | 14719 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  |  | 347846 | 340693 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  |  | 290670 | 284649 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  |  | 195235 | 190022 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2035  |  | 132188 | 128659 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  |  | 282522 | 261305 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  |  | 279827 | 259437 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  |  | 258057 | 238979 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  |  | 162081 | 150385 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  |  | 93106 | 86552 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2045  |  | 602580 | 558354 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  |  | 136257 | 123689 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  |  | 102608 | 93143 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2047  |  | 368147 | 341192 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  |  | 664615 | 598532 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  |  | 405843 | 365490 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  |  | 2471827 | 2218331 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  |  | 3325242 | 2973832 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  |  | 2932146 | 2630526 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  |  | 1642116 | 1473197 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  |  | 1182099 | 1063825 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  |  | 917377 | 826737 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2027  |  | 40315 | 40003 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  |  | 278262 | 273753 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  |  | 263563 | 258692 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  |  | 112134 | 110117 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  |  | 920629 | 851975 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  |  | 276129 | 256961 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  |  | 56739 | 52980 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  |  | 37601 | 34956 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  |  | 13505 | 12556 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2044  |  | 554007 | 512969 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2045  |  | 280459 | 256989 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2045  |  | 15433 | 14139 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  |  | 1210759 | 1096428 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  |  | 5112162 | 4583095 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052 (v) |  | 4101611 | 3684818 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  |  | 2434066 | 2186724 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  |  | 1883153 | 1682377 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  |  | 629491 | 562967 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  |  | 133511 | 130627 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2040  |  | 41010 | 38995 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  |  | 1411799 | 1292160 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  |  | 19663650 | 17726942 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  |  | 10862106 | 9704023 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  |  | 3648342 | 3293570 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  |  | 2951065 | 2668709 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  |  | 2205214 | 1976992 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  |  | 1434272 | 1288078 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  |  | 1158415 | 1033098 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  |  | 1117173 | 1002253 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  |  | 886920 | 804832 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  |  | 684630 | 611637 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  |  | 675468 | 611051 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2061  |  | 300510 | 263682 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2027  |  | 137337 | 136190 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2038  |  | 18935 | 18429 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  |  | 494855 | 458113 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  |  | 406969 | 376152 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  |  | 194684 | 179922 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  |  | 5215 | 4856 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2047  |  | 4593007 | 4251252 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2048  |  | 1612241 | 1489326 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  |  | 9917693 | 8978073 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2051  |  | 2916379 | 2622760 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  |  | 20807897 | 18556913 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  |  | 3743821 | 3362216 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  |  | 3110920 | 2814241 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  |  | 1543518 | 1393424 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2027  |  | 1301 | 1290 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2030  |  | 175511 | 172548 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2037  |  | 376930 | 364510 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  |  | 236160 | 217312 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  |  | 212817 | 196870 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  |  | 108530 | 100393 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  |  | 38630 | 35906 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  |  | 472441 | 430191 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  |  | 299907 | 271587 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2051  |  | 235154 | 211479 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  |  | 3897583 | 3500305 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  |  | 1848458 | 1656002 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  |  | 661317 | 597836 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2030  |  | 77136 | 75800 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  |  | 168343 | 155647 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  |  | 73382 | 68234 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  |  | 8533 | 7997 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  |  | 5799620 | 5242904 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  |  | 1862778 | 1681638 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  |  | 755783 | 677565 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2052  |  | 9465352 | 8515345 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2052  |  | 8405748 | 7493793 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2052  |  | 636013 | 565222 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2062  |  | 583283 | 509612 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2063  |  | 2534949 | 2208437 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2032  |  | 479289 | 468330 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  |  | 322676 | 317084 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2035  |  | 13824 | 13345 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2036  |  | 54711 | 51962 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  |  | 305014 | 282804 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  |  | 509515 | 470441 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  |  | 267571 | 247303 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  |  | 210340 | 194629 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  |  | 199296 | 184139 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  |  | 2963717 | 2681076 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  |  | 2789733 | 2523685 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  |  | 1975801 | 1786140 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  |  | 1798541 | 1627020 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  |  | 2231067 | 2012022 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2052  |  | 2583990 | 2314145 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2028  |  | 51165 | 50544 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2042  |  | 22581 | 21310 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  |  | 264905 | 244555 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  |  | 206128 | 190511 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  |  | 50192 | 46518 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  |  | 31236 | 28859 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2048  |  | 296320 | 271209 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  |  | 4656361 | 4206478 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  |  | 3580146 | 3206274 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  |  | 1260118 | 1137582 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  |  | 630727 | 566635 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2052  |  | 9313528 | 8413685 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  |  | 92580 | 90442 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  |  | 75735 | 73970 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  |  | 553972 | 542579 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2042  |  | 395770 | 367598 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2042  |  | 165214 | 154233 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2042  |  | 140714 | 130633 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2042  |  | 135236 | 125621 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2042  |  | 90036 | 83769 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2042  |  | 68931 | 63572 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  |  | 46941 | 43334 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  |  | 155045 | 141180 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  |  | 4105545 | 3721711 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  |  | 392886 | 357750 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2051  |  | 6772865 | 6057114 |
| Fannie Mae Mortgage pass-thru certificates 3.09% 5/1/2032  |  | 693906 | 652670 |
| Fannie Mae Mortgage pass-thru certificates 3.09% 5/1/2032  |  | 182845 | 172457 |
| Fannie Mae Mortgage pass-thru certificates 3.13% 2/1/2026  |  | 225290 | 224413 |
| Fannie Mae Mortgage pass-thru certificates 3.13% 3/1/2027  |  | 369394 | 365453 |
| Fannie Mae Mortgage pass-thru certificates 3.13% 5/1/2032  |  | 336436 | 318093 |
| Fannie Mae Mortgage pass-thru certificates 3.13% 7/1/2036  |  | 308050 | 292669 |
| Fannie Mae Mortgage pass-thru certificates 3.16% 8/1/2033  |  | 429760 | 396679 |
| Fannie Mae Mortgage pass-thru certificates 3.17% 1/1/2029  |  | 492542 | 481948 |
| Fannie Mae Mortgage pass-thru certificates 3.19% 11/1/2027  |  | 250000 | 246916 |
| Fannie Mae Mortgage pass-thru certificates 3.26% 5/1/2032  |  | 429906 | 409506 |
| Fannie Mae Mortgage pass-thru certificates 3.27% 12/1/2028  |  | 241298 | 238060 |
| Fannie Mae Mortgage pass-thru certificates 3.32% 3/1/2029  |  | 893053 | 877596 |
| Fannie Mae Mortgage pass-thru certificates 3.35% 1/1/2029  |  | 240132 | 236370 |
| Fannie Mae Mortgage pass-thru certificates 3.42% 5/1/2030  |  | 376130 | 367445 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2031  |  | 238894 | 236744 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2041  |  | 6009 | 5765 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  |  | 478249 | 455791 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  |  | 56013 | 53501 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2044  |  | 234536 | 223970 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  |  | 461600 | 435408 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  |  | 268873 | 253617 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  |  | 255034 | 240562 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  |  | 1489787 | 1404786 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  |  | 305613 | 287412 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  |  | 156552 | 147620 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  |  | 123946 | 116565 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  |  | 83295 | 78542 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  |  | 923117 | 880015 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  |  | 194502 | 184134 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2050  |  | 1484266 | 1414118 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2050  |  | 1158757 | 1088660 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  |  | 10556123 | 9831782 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  |  | 288555 | 269476 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2032  |  | 7161 | 7000 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2041  |  | 332856 | 318202 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2041  |  | 285045 | 272653 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2041  |  | 196946 | 189126 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  |  | 406067 | 389044 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  |  | 105216 | 100636 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  |  | 13416 | 12790 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  |  | 13360 | 12788 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  |  | 1017618 | 959868 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  |  | 166561 | 157234 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2046  |  | 41275 | 38817 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  |  | 182268 | 172609 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  |  | 13988 | 13247 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2032  |  | 6002 | 5862 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2034  |  | 95949 | 94403 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  |  | 256745 | 244696 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  |  | 55308 | 52678 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  |  | 8169 | 7771 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  |  | 751594 | 709066 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  |  | 24454 | 23047 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2047  |  | 678956 | 637884 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  |  | 245984 | 231103 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2049  |  | 842662 | 788527 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2052  |  | 94075 | 87149 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2029  |  | 60975 | 60545 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2030  |  | 292798 | 290204 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2030  |  | 1406 | 1391 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2041  |  | 10319 | 9872 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  |  | 1277704 | 1220955 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  |  | 605801 | 578751 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  |  | 16488 | 15755 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  |  | 121667 | 114764 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  |  | 103875 | 98143 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  |  | 2227324 | 2100242 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  |  | 1276792 | 1200752 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  |  | 393802 | 370349 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  |  | 381461 | 358742 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  |  | 214175 | 201419 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  |  | 201925 | 190404 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  |  | 353344 | 332632 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2042  |  | 316186 | 302063 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  |  | 1677685 | 1603852 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  |  | 165301 | 156179 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2047  |  | 66425 | 62635 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  |  | 5468062 | 5072690 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  |  | 676203 | 630015 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2031  |  | 325429 | 322500 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2033  |  | 199434 | 196907 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2033  |  | 7180 | 7009 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2042  |  | 641400 | 611441 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2042  |  | 441074 | 420394 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2042  |  | 239899 | 228594 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2046  |  | 284366 | 271592 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2048  |  | 144112 | 135754 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2050  |  | 2136628 | 1999364 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  |  | 2361754 | 2198957 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  |  | 21756 | 20147 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2053  |  | 38581 | 35728 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2061  |  | 3906257 | 3594882 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  |  | 35764 | 34112 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  |  | 5889 | 5613 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  |  | 327633 | 311978 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  |  | 29978 | 28613 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  |  | 4409 | 4163 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2048  |  | 612354 | 574928 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2049  |  | 33573 | 31469 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052  |  | 12852970 | 11934874 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2053  |  | 343901 | 321270 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2029  |  | 71092 | 70598 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2032  |  | 19381 | 18960 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  |  | 602867 | 575641 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  |  | 247337 | 235071 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  |  | 96817 | 92312 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2044  |  | 3449 | 3296 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  |  | 16035 | 15105 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  |  | 2251425 | 2120858 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2049  |  | 2234668 | 2094597 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2049  |  | 41788 | 39429 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  |  | 14404605 | 13375676 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  |  | 7830969 | 7293623 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  |  | 2331825 | 2165262 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  |  | 324795 | 303219 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  |  | 322977 | 302228 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2056  |  | 518447 | 480426 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2032  |  | 10158 | 9966 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2032  |  | 9614 | 9397 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2032  |  | 2318 | 2263 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2037  |  | 270915 | 264858 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2039  |  | 86420 | 83287 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  |  | 254873 | 243216 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  |  | 11112 | 10607 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  |  | 654547 | 621809 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  |  | 42209 | 40235 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  |  | 15123 | 14427 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2045  |  | 995886 | 940440 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2045  |  | 593963 | 560165 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2045  |  | 6828 | 6486 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2046  |  | 51919 | 48973 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2046  |  | 15108 | 14232 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2046  |  | 12033 | 11335 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2046  |  | 5006 | 4721 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2048  |  | 1198447 | 1129694 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2049  |  | 836965 | 786334 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2052  |  | 10195007 | 9460400 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2052  |  | 2469856 | 2294977 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2062  |  | 4871443 | 4454968 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2032  |  | 23747 | 23211 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2032  |  | 23241 | 22757 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2032  |  | 19351 | 18894 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  |  | 437122 | 430354 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  |  | 146279 | 144015 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  |  | 14949 | 14249 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  |  | 4177 | 3987 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  |  | 3540 | 3379 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  |  | 421661 | 397999 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  |  | 138105 | 130355 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  |  | 121294 | 114260 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  |  | 100695 | 94981 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  |  | 2788168 | 2658648 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2049  |  | 323018 | 303680 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2049  |  | 71594 | 67061 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2051  |  | 3527277 | 3306186 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2051  |  | 2680895 | 2501126 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  |  | 11913581 | 11055141 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  |  | 507285 | 474537 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2032  |  | 29711 | 29009 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  |  | 560214 | 551540 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  |  | 1444320 | 1375079 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  |  | 753375 | 718613 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  |  | 498985 | 475588 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  |  | 574506 | 548539 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  |  | 121325 | 115874 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  |  | 67598 | 64487 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  |  | 8028 | 7636 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  |  | 4354 | 4144 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2044  |  | 14272 | 13504 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2045  |  | 215210 | 203017 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  |  | 208297 | 196608 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  |  | 41639 | 39224 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2056  |  | 715590 | 660582 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  |  | 37606 | 35846 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  |  | 19802 | 18873 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  |  | 404746 | 382032 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  |  | 677392 | 639590 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  |  | 445193 | 418262 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  |  | 117223 | 111011 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2048  |  | 133985 | 124749 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  |  | 502006 | 468187 |
| Fannie Mae Mortgage pass-thru certificates 3.55% 8/1/2028  |  | 207076 | 205864 |
| Fannie Mae Mortgage pass-thru certificates 3.67% 7/1/2033  |  | 2000000 | 1938028 |
| Fannie Mae Mortgage pass-thru certificates 3.71% 9/1/2030  |  | 733284 | 722735 |
| Fannie Mae Mortgage pass-thru certificates 3.75% 7/1/2033  |  | 4000000 | 3882364 |
| Fannie Mae Mortgage pass-thru certificates 3.75% 9/1/2034  |  | 389300 | 373864 |
| Fannie Mae Mortgage pass-thru certificates 3.77% 9/1/2032  |  | 2000000 | 1955897 |
| Fannie Mae Mortgage pass-thru certificates 3.785% 12/1/2026 (d) |  | 35135 | 35034 |
| Fannie Mae Mortgage pass-thru certificates 3.81% 12/1/2028  |  | 468084 | 468484 |
| Fannie Mae Mortgage pass-thru certificates 3.83% 9/1/2032  |  | 6000000 | 5889125 |
| Fannie Mae Mortgage pass-thru certificates 3.84% 10/1/2027  |  | 131512 | 131347 |
| Fannie Mae Mortgage pass-thru certificates 3.88% 12/1/2028  |  | 8484 | 8508 |
| Fannie Mae Mortgage pass-thru certificates 3.895% 2/1/2033  |  | 559653 | 550293 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2038  |  | 114501 | 113739 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  |  | 655153 | 645435 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  |  | 439195 | 432980 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  |  | 383984 | 378332 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  |  | 273630 | 269430 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  |  | 260995 | 257248 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  |  | 149638 | 147298 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  |  | 3074 | 3034 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  |  | 346391 | 340614 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  |  | 48652 | 47840 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  |  | 44966 | 44229 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  |  | 11851 | 11674 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  |  | 313436 | 305473 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  |  | 59707 | 58022 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  |  | 40394 | 39367 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2047  |  | 293334 | 284690 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2047  |  | 123257 | 120396 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  |  | 914846 | 886171 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  |  | 386980 | 374609 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  |  | 134916 | 130603 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  |  | 67039 | 64979 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  |  | 27723 | 26914 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  |  | 23236 | 22493 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2049  |  | 5054765 | 4899490 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2052  |  | 77986 | 75615 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2054  |  | 5946968 | 5673223 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2031  |  | 5000000 | 4972253 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  |  | 350762 | 345786 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  |  | 81322 | 80106 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  |  | 212488 | 209113 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  |  | 91473 | 89963 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2044  |  | 53299 | 52123 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  |  | 1195685 | 1167974 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  |  | 567671 | 555989 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  |  | 53211 | 51855 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  |  | 1465118 | 1431100 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2047  |  | 2794049 | 2708220 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2047  |  | 1337819 | 1295887 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2048  |  | 812896 | 789195 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2048  |  | 664475 | 645724 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2048  |  | 88986 | 86252 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2051  |  | 130440 | 124558 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  |  | 1418657 | 1397760 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  |  | 7421 | 7330 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  |  | 220764 | 217155 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  |  | 127596 | 125556 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  |  | 53785 | 52411 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2047  |  | 85620 | 83311 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2047  |  | 28546 | 27652 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2048  |  | 1755148 | 1697393 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2049  |  | 756688 | 732025 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  |  | 648695 | 619443 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  |  | 106776 | 103563 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  |  | 18457 | 17902 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2038  |  | 461872 | 455445 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2039  |  | 232710 | 229191 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  |  | 90804 | 89466 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  |  | 226067 | 222067 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  |  | 134692 | 132538 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  |  | 82396 | 81098 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  |  | 35423 | 34831 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  |  | 2582 | 2540 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  |  | 1989 | 1956 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2042  |  | 86002 | 84332 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2042  |  | 45822 | 45131 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  |  | 515396 | 503836 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  |  | 419519 | 409024 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  |  | 361795 | 352603 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  |  | 225669 | 220288 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  |  | 170434 | 166104 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  |  | 74096 | 72214 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  |  | 56911 | 55306 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  |  | 26108 | 25445 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  |  | 841542 | 815428 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  |  | 136330 | 132142 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  |  | 85516 | 83023 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  |  | 69772 | 67607 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  |  | 14721 | 14264 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2048  |  | 64879 | 62865 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2051  |  | 1062972 | 1023343 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2051  |  | 60041 | 58234 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2052  |  | 657148 | 631212 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2038  |  | 120062 | 119300 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2038  |  | 46217 | 45909 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2038  |  | 45612 | 45265 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  |  | 541861 | 533876 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  |  | 147662 | 145428 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  |  | 248883 | 244383 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2043  |  | 463276 | 455042 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  |  | 770250 | 747552 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  |  | 90196 | 87312 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  |  | 81511 | 79567 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  |  | 14997 | 14555 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  |  | 4966 | 4821 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2049  |  | 1229601 | 1188371 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2051  |  | 670615 | 651063 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2052  |  | 51044 | 49491 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2053  |  | 6673742 | 6404083 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  |  | 869829 | 858341 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  |  | 329790 | 325349 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  |  | 105000 | 103591 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  |  | 219664 | 216228 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  |  | 101421 | 99587 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  |  | 1220122 | 1193026 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  |  | 2033394 | 1999469 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  |  | 613652 | 599035 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  |  | 196087 | 190983 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  |  | 337110 | 328335 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  |  | 303628 | 295440 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  |  | 67535 | 65376 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  |  | 58514 | 57119 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2049  |  | 1573425 | 1521650 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2052  |  | 1087195 | 1045305 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  |  | 256207 | 251574 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  |  | 103933 | 102242 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  |  | 66677 | 65598 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  |  | 54900 | 54013 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  |  | 40706 | 39983 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  |  | 24105 | 23677 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  |  | 18441 | 18110 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  |  | 6357365 | 6215517 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  |  | 138613 | 134701 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  |  | 87423 | 85147 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  |  | 461531 | 448940 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  |  | 109899 | 106695 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  |  | 105417 | 102344 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  |  | 24331 | 23554 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2050  |  | 271821 | 264235 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  |  | 9419466 | 9012665 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  |  | 1153741 | 1112531 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  |  | 218502 | 211585 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  |  | 148572 | 141826 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2053  |  | 487413 | 465739 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2039  |  | 215949 | 212824 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2040  |  | 1497529 | 1481478 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2042  |  | 3062 | 3006 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2046  |  | 189211 | 184286 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2046  |  | 152634 | 148327 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  |  | 479113 | 466043 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  |  | 112287 | 109750 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  |  | 2350596 | 2276920 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  |  | 188007 | 182525 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2050  |  | 2247442 | 2172083 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  |  | 26688929 | 25610537 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  |  | 8494555 | 8188488 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  |  | 152387 | 146277 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  |  | 85488 | 81579 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  |  | 520619 | 513400 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  |  | 431936 | 426177 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2042  |  | 174418 | 171958 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2042  |  | 33828 | 33141 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2043  |  | 100430 | 98835 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2045  |  | 97535 | 95302 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  |  | 68973 | 67178 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  |  | 22766 | 22159 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  |  | 16809 | 16361 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2047  |  | 1652971 | 1602195 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2047  |  | 80013 | 77555 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  |  | 29157420 | 27921881 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  |  | 635010 | 610145 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  |  | 608115 | 584304 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  |  | 89229 | 85150 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2053  |  | 349920 | 334797 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2037  |  | 2987510 | 2966199 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2039  |  | 55336 | 54723 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2042  |  | 101457 | 99568 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2042  |  | 22248 | 21805 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2043  |  | 32367 | 31662 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2045  |  | 121678 | 118840 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2045  |  | 28476 | 27791 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  |  | 1323731 | 1293823 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  |  | 259320 | 252245 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2049  |  | 15640 | 15145 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2052  |  | 6718727 | 6447250 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2052  |  | 2488467 | 2387918 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2052  |  | 731208 | 697778 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2052  |  | 683459 | 655203 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2053  |  | 635473 | 608008 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  |  | 109765 | 108145 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  |  | 59497 | 58310 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  |  | 23229 | 22750 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  |  | 17815 | 17444 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2047  |  | 289312 | 280425 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2047  |  | 235006 | 228007 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2048  |  | 261087 | 252088 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2048  |  | 73423 | 71007 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2048  |  | 42033 | 40650 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2050  |  | 308971 | 299577 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2052  |  | 2735316 | 2620519 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2052  |  | 296712 | 283888 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2059  |  | 286095 | 271764 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2038  |  | 317694 | 314020 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  |  | 98107 | 96669 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2044  |  | 157600 | 154069 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2044  |  | 72937 | 71397 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2045  |  | 57182 | 55770 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  |  | 1589394 | 1553484 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  |  | 192713 | 189229 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2047  |  | 95878 | 92903 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2048  |  | 158436 | 153223 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  |  | 82364 | 79886 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  |  | 475019 | 455677 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  |  | 136291 | 132062 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  |  | 84518 | 81130 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2053  |  | 26699 | 25495 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2062  |  | 1215866 | 1152299 |
| Fannie Mae Mortgage pass-thru certificates 4.11% 4/1/2033  |  | 3436169 | 3416383 |
| Fannie Mae Mortgage pass-thru certificates 4.24% 3/1/2033  |  | 5289207 | 5306987 |
| Fannie Mae Mortgage pass-thru certificates 4.3% 12/1/2055 (f)(i) |  | 43200000 | 43370439 |
| Fannie Mae Mortgage pass-thru certificates 4.32% 3/1/2030  |  | 1900000 | 1927357 |
| Fannie Mae Mortgage pass-thru certificates 4.32% 7/1/2033  |  | 507350 | 510897 |
| Fannie Mae Mortgage pass-thru certificates 4.33% 1/1/2033  |  | 731382 | 737928 |
| Fannie Mae Mortgage pass-thru certificates 4.37% 10/1/2030  |  | 2498331 | 2518154 |
| Fannie Mae Mortgage pass-thru certificates 4.37% 5/1/2033  |  | 487100 | 491808 |
| Fannie Mae Mortgage pass-thru certificates 4.45% 10/1/2033  |  | 2000000 | 2026824 |
| Fannie Mae Mortgage pass-thru certificates 4.48% 4/1/2033  |  | 446114 | 453699 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2041  |  | 83456 | 84044 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2041  |  | 76716 | 77253 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  |  | 212184 | 213138 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  |  | 37543 | 37756 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2047  |  | 49064 | 49186 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2047  |  | 32062 | 32061 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  |  | 159487 | 159034 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2053  |  | 2260240 | 2223447 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2055  |  | 8456426 | 8284414 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  |  | 6756 | 6804 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2041  |  | 54472 | 54850 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2041  |  | 53704 | 54086 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2041  |  | 44621 | 44920 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2041  |  | 44232 | 44550 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2041  |  | 17673 | 17795 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2042  |  | 879517 | 885743 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2042  |  | 155952 | 156813 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2042  |  | 82811 | 83285 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  |  | 1249185 | 1255786 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2045  |  | 128817 | 129744 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2045  |  | 3236 | 3232 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2046  |  | 69452 | 69515 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  |  | 42034 | 41862 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  |  | 5391561 | 5308849 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  |  | 4403256 | 4335705 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  |  | 2942785 | 2897640 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  |  | 562220 | 553595 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2030  |  | 1332 | 1338 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  |  | 64046 | 64462 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  |  | 40907 | 41194 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  |  | 19925 | 20057 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  |  | 18348 | 18477 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  |  | 14293 | 14393 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2041  |  | 256227 | 257948 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2041  |  | 99601 | 100310 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2041  |  | 23702 | 23882 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  |  | 1051235 | 1058609 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2043  |  | 44782 | 44801 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2043  |  | 17407 | 17442 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  |  | 359531 | 361430 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  |  | 60051 | 60368 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  |  | 4230 | 4253 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2045  |  | 80529 | 80829 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2046  |  | 107644 | 107641 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2046  |  | 87168 | 87166 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  |  | 296590 | 295747 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  |  | 706009 | 695179 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2039  |  | 203225 | 204675 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2039  |  | 11020 | 11099 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  |  | 325433 | 327705 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  |  | 193594 | 194965 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  |  | 105968 | 106715 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  |  | 48259 | 48596 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  |  | 42662 | 42957 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2043  |  | 31126 | 31159 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2043  |  | 11060 | 11115 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2043  |  | 4620 | 4647 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2045  |  | 7219 | 7237 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  |  | 115648 | 115645 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  |  | 1666837 | 1666269 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2052  |  | 10924192 | 10736803 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2052  |  | 4313957 | 4258561 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2061  |  | 192070 | 188943 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2038  |  | 60957 | 61157 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2039  |  | 192469 | 193851 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  |  | 616245 | 620582 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  |  | 335794 | 338150 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  |  | 260111 | 261948 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  |  | 21773 | 21925 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2042  |  | 11494 | 11560 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2044  |  | 596993 | 600081 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2044  |  | 7726 | 7760 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045  |  | 407720 | 409733 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2047  |  | 54860 | 54996 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  |  | 945297 | 942316 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  |  | 66918 | 66748 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2051  |  | 545565 | 543333 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2053  |  | 2140167 | 2105328 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  |  | 779811 | 785162 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  |  | 12838 | 12930 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2042  |  | 13752 | 13830 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  |  | 5645 | 5676 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2045  |  | 372111 | 373845 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  |  | 819210 | 825010 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  |  | 727964 | 733154 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  |  | 10702 | 10728 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  |  | 13764 | 13755 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  |  | 25832 | 25734 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2050  |  | 1129900 | 1129867 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2053  |  | 51233 | 50399 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  |  | 20763 | 20912 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  |  | 70680 | 71131 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  |  | 60498 | 60924 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  |  | 13587 | 13676 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  |  | 947 | 953 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2042  |  | 177365 | 178489 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2045  |  | 217037 | 218048 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2046  |  | 115058 | 115163 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  |  | 20651 | 20612 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  |  | 921360 | 934290 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  |  | 7857 | 7913 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2041  |  | 17992 | 18110 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2042  |  | 9042 | 9093 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2044  |  | 22648 | 22747 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2044  |  | 2032 | 2042 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2045  |  | 81986 | 82368 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  |  | 119168 | 118941 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2048  |  | 65884 | 65635 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2049  |  | 114023 | 113236 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  |  | 110236 | 111026 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  |  | 8589 | 8649 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2041  |  | 21818 | 21981 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2042  |  | 7724 | 7770 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  |  | 244235 | 245409 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2045  |  | 353374 | 354689 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2046  |  | 379564 | 379909 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2046  |  | 27163 | 27238 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  |  | 59423 | 59310 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2052  |  | 21483039 | 21173608 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2053  |  | 2423172 | 2398114 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2053  |  | 713850 | 706468 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  |  | 1354 | 1357 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2041  |  | 70196 | 70694 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2042  |  | 110483 | 111164 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2042  |  | 98461 | 99020 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2042  |  | 18357 | 18478 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2042  |  | 13256 | 13330 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2044  |  | 30420 | 30549 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2045  |  | 157291 | 158024 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  |  | 227053 | 226621 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  |  | 1553609 | 1554536 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  |  | 34353 | 34213 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  |  | 31728 | 31598 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  |  | 1323 | 1318 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2052  |  | 3674860 | 3619632 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  |  | 156421 | 157540 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  |  | 143691 | 144676 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  |  | 77356 | 77875 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  |  | 55368 | 55716 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  |  | 47939 | 48272 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  |  | 36747 | 37004 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  |  | 3656 | 3682 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2042  |  | 6356 | 6397 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2043  |  | 194826 | 195889 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  |  | 116522 | 117136 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  |  | 21823 | 22040 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  |  | 7281 | 7314 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  |  | 1900 | 1909 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2048  |  | 1547535 | 1548458 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2050  |  | 450130 | 449133 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2052  |  | 3495093 | 3432737 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2052  |  | 1225614 | 1207195 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2052  |  | 521104 | 513273 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2052  |  | 342457 | 338916 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2053  |  | 3707633 | 3647279 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  |  | 18565 | 18695 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  |  | 11906 | 11988 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2041  |  | 16333 | 16432 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  |  | 832509 | 838377 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  |  | 79327 | 79835 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2044  |  | 93105 | 93114 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2044  |  | 7768 | 7809 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  |  | 132005 | 130689 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2049  |  | 1020491 | 1019505 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2052  |  | 6333177 | 6236020 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2052  |  | 158182 | 155805 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2053  |  | 698769 | 698094 |
| Fannie Mae Mortgage pass-thru certificates 4.51% 10/1/2033  |  | 3050000 | 3102147 |
| Fannie Mae Mortgage pass-thru certificates 4.51% 7/1/2033  |  | 2938829 | 2990118 |
| Fannie Mae Mortgage pass-thru certificates 4.55% 9/1/2033  |  | 3115000 | 3177370 |
| Fannie Mae Mortgage pass-thru certificates 4.7% 9/1/2033  |  | 3907344 | 3982862 |
| Fannie Mae Mortgage pass-thru certificates 4.73% 10/1/2032  |  | 536805 | 548665 |
| Fannie Mae Mortgage pass-thru certificates 4.8% 12/1/2030  |  | 1985136 | 2037078 |
| Fannie Mae Mortgage pass-thru certificates 4.81% 9/1/2029  |  | 2921189 | 2991916 |
| Fannie Mae Mortgage pass-thru certificates 4.83% 2/1/2034  |  | 2429000 | 2521522 |
| Fannie Mae Mortgage pass-thru certificates 4.88% 12/1/2032  |  | 234042 | 241240 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2030  |  | 2015 | 2038 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2042  |  | 230478 | 236096 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2048  |  | 139446 | 142462 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2049  |  | 39094 | 39817 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2053  |  | 45451 | 45667 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2054  |  | 4208348 | 4220455 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2033  |  | 56236 | 57255 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2039  |  | 6570 | 6725 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2041  |  | 191009 | 195653 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2048  |  | 23878 | 24386 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  |  | 5716971 | 5781655 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  |  | 2101105 | 2122252 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  |  | 343639 | 347956 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2054  |  | 8043443 | 8037048 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2033  |  | 30440 | 30992 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2040  |  | 3030536 | 3065820 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2044  |  | 319049 | 325036 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  |  | 2446785 | 2474469 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  |  | 1533671 | 1548148 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  |  | 955220 | 968416 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  |  | 29889 | 30031 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2053  |  | 1780143 | 1784708 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2033  |  | 17868 | 18189 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2034  |  | 411785 | 412615 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  |  | 6017892 | 6046489 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  |  | 1684391 | 1702923 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2054  |  | 4925852 | 4924630 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2030  |  | 73154 | 74012 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  |  | 567494 | 578154 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  |  | 803618 | 819568 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2041  |  | 54124 | 55450 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2041  |  | 39048 | 39996 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2049  |  | 1062980 | 1085969 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2053  |  | 552068 | 554174 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2053  |  | 38717 | 38828 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2054  |  | 3795462 | 3809940 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2033  |  | 180763 | 183798 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2035  |  | 418189 | 426650 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2044  |  | 141247 | 144710 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2044  |  | 101664 | 104157 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2044  |  | 74952 | 76790 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2050  |  | 869018 | 886183 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2054  |  | 129057 | 130880 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2054  |  | 29426 | 29455 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2040  |  | 4909362 | 4966520 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  |  | 73728 | 75526 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  |  | 14664 | 15018 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2053  |  | 1118884 | 1123851 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2033  |  | 2824 | 2876 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2039  |  | 47207 | 48196 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2040  |  | 22150 | 22685 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2042  |  | 313774 | 321309 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  |  | 61281 | 62620 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2048  |  | 151476 | 154752 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2053  |  | 9567193 | 9594717 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2053  |  | 432066 | 433714 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2031  |  | 21118 | 21462 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2035  |  | 34718 | 35398 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  |  | 5860178 | 5969331 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  |  | 656307 | 668441 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  |  | 200409 | 204335 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  |  | 7659 | 7839 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2040  |  | 74604 | 76404 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  |  | 98302 | 100746 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  |  | 37046 | 37938 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  |  | 25775 | 26337 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  |  | 11138 | 11408 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2044  |  | 21130 | 21649 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2047  |  | 33629 | 34356 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2048  |  | 17738 | 18088 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2052  |  | 8717787 | 8770111 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2053  |  | 6071840 | 6087410 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2053  |  | 5653050 | 5661975 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2053  |  | 1431999 | 1438356 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2029  |  | 21616 | 21830 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  |  | 36764 | 37403 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  |  | 20910 | 21260 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  |  | 18323 | 18638 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  |  | 695807 | 709695 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  |  | 330739 | 337265 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  |  | 32350 | 32966 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2036  |  | 46952 | 47840 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2036  |  | 5229 | 5327 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2037  |  | 24152 | 24652 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2039  |  | 9024 | 9238 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  |  | 1399147 | 1415437 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  |  | 34842 | 35688 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  |  | 22048 | 22577 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2041  |  | 18308 | 18765 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2041  |  | 14387 | 14734 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2052  |  | 11178247 | 11245338 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2052  |  | 66593 | 67284 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2052  |  | 55156 | 55987 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2052  |  | 43979 | 44614 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2053  |  | 2170208 | 2190694 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2053  |  | 1234192 | 1233675 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2054  |  | 1857174 | 1857294 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2033  |  | 73958 | 75240 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2033  |  | 8286 | 8435 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  |  | 14903 | 15248 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  |  | 2879 | 2950 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2048  |  | 67167 | 68493 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2052  |  | 6417560 | 6508220 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2052  |  | 1083610 | 1089436 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2053  |  | 7244173 | 7262750 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2053  |  | 3779278 | 3796056 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2053  |  | 2583620 | 2620119 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2033  |  | 58444 | 59504 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2033  |  | 36236 | 36900 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2040  |  | 11509 | 11760 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2048  |  | 321610 | 327962 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2048  |  | 31786 | 32414 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  |  | 4053157 | 4074951 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  |  | 2033334 | 2044268 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  |  | 954409 | 960734 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  |  | 452059 | 454772 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2053  |  | 4118387 | 4134096 |
| Fannie Mae Mortgage pass-thru certificates 5.1% 6/1/2029  |  | 2530699 | 2609532 |
| Fannie Mae Mortgage pass-thru certificates 5.17% 8/1/2028  |  | 2340149 | 2406146 |
| Fannie Mae Mortgage pass-thru certificates 5.311% 8/1/2041 (d) |  | 132634 | 134638 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2040  |  | 189309 | 197784 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2040  |  | 125231 | 130756 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2052  |  | 2835235 | 2892482 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2052  |  | 95249 | 96971 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  |  | 3033150 | 3123776 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  |  | 645237 | 654756 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  |  | 2328756 | 2367043 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  |  | 573780 | 590566 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2036  |  | 2379 | 2477 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2052  |  | 20830336 | 21250922 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2052  |  | 1324711 | 1352286 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2053  |  | 1634109 | 1659234 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2053  |  | 443379 | 450114 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2054  |  | 4505685 | 4564275 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2054  |  | 2735873 | 2780854 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2037  |  | 27469 | 28570 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2052  |  | 2963993 | 3023839 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2054  |  | 6741101 | 6849993 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2054  |  | 3052383 | 3102567 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2042  |  | 85567 | 89004 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  |  | 1349463 | 1381348 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  |  | 62945 | 64058 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2055  |  | 2823599 | 2860315 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2037  |  | 87607 | 91077 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2053  |  | 484196 | 494729 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2054  |  | 15554089 | 15785510 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2054  |  | 389602 | 396616 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2055  |  | 6498811 | 6583319 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2053  |  | 1915107 | 1952578 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2053  |  | 149808 | 152051 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  |  | 5655594 | 5752112 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2055  |  | 5120227 | 5186807 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2055  |  | 985695 | 999276 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2037  |  | 82533 | 85833 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2037  |  | 42967 | 44653 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  |  | 3330229 | 3414120 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  |  | 207948 | 212017 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2055  |  | 2733299 | 2768841 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2038  |  | 38294 | 39851 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  |  | 2223553 | 2262195 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  |  | 1625867 | 1658238 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  |  | 1487034 | 1525888 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  |  | 345409 | 355298 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  |  | 3438331 | 3486264 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  |  | 3396302 | 3454264 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  |  | 21510 | 21877 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2055  |  | 2207135 | 2235836 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  |  | 10995213 | 11169113 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  |  | 2551617 | 2617489 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  |  | 1842813 | 1886932 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  |  | 551537 | 564913 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2055  |  | 6782700 | 6940845 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2055  |  | 2022900 | 2054894 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2055  |  | 1676254 | 1698051 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2055  |  | 998985 | 1011975 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2037  |  | 70865 | 73459 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2052  |  | 1788530 | 1824642 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  |  | 3839086 | 3899805 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  |  | 1961383 | 1997308 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  |  | 1180971 | 1214781 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  |  | 1120962 | 1141493 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  |  | 723323 | 736345 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  |  | 1677617 | 1730363 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2034  |  | 1911 | 1980 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2039  |  | 165044 | 172039 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2048  |  | 407364 | 425104 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2053  |  | 3091493 | 3140388 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  |  | 4911794 | 4975664 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  |  | 1568956 | 1594751 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2055  |  | 3480714 | 3525975 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2055  |  | 624386 | 632505 |
| Fannie Mae Mortgage pass-thru certificates 5.81% 6/1/2031  |  | 261000 | 273639 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2037  |  | 128206 | 135294 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2038  |  | 27198 | 28781 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2040  |  | 27402 | 29053 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2042  |  | 2636 | 2799 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2053  |  | 1948888 | 2023034 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  |  | 9932 | 10405 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2037  |  | 27795 | 29361 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2038  |  | 141980 | 147521 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2053  |  | 352184 | 365721 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  |  | 1974492 | 2057634 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  |  | 170337 | 178384 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2052  |  | 2963058 | 3048936 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  |  | 4404964 | 4544347 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  |  | 1935675 | 1989961 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  |  | 1261377 | 1294703 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  |  | 771813 | 791951 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  |  | 233134 | 241574 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  |  | 1827361 | 1902023 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  |  | 724524 | 755258 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  |  | 265974 | 277755 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  |  | 127315 | 130557 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2039  |  | 122053 | 129295 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2052  |  | 5433382 | 5590857 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2054  |  | 1760423 | 1802368 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2034  |  | 35010 | 36575 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2040  |  | 147464 | 156561 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2054  |  | 95500 | 98484 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  |  | 2877706 | 2993484 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  |  | 476227 | 497917 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2034  |  | 34294 | 35813 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2034  |  | 9346 | 9756 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2036  |  | 74199 | 77617 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  |  | 10217 | 10835 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  |  | 1425184 | 1469719 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  |  | 1331914 | 1370101 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  |  | 1510704 | 1573844 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2035  |  | 968 | 1014 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2054  |  | 294857 | 304739 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2036  |  | 2476081 | 2602221 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2040  |  | 37877 | 40115 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2053  |  | 782869 | 804800 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  |  | 4452060 | 4576572 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  |  | 2179410 | 2268456 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  |  | 18513 | 19401 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2036  |  | 47572 | 50131 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2037  |  | 2933 | 3113 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  |  | 3377502 | 3509958 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  |  | 1726488 | 1793657 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  |  | 754095 | 775068 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  |  | 5259131 | 5406215 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  |  | 702190 | 719239 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  |  | 372147 | 381625 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  |  | 22278 | 23453 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2037  |  | 40797 | 42691 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  |  | 516226 | 546998 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  |  | 4607 | 4886 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2039  |  | 2152542 | 2232522 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2041  |  | 668629 | 706711 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  |  | 2115288 | 2188329 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  |  | 827090 | 857976 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  |  | 4458169 | 4612108 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  |  | 3898157 | 4056210 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  |  | 2725315 | 2801534 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  |  | 4331375 | 4461648 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  |  | 12020 | 12615 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037  |  | 207271 | 216539 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  |  | 6051099 | 6218440 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  |  | 3686119 | 3808216 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  |  | 3569567 | 3717922 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  |  | 1369138 | 1424404 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  |  | 433648 | 446284 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2036  |  | 61215 | 64297 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  |  | 2059 | 2182 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2038  |  | 365003 | 379249 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  |  | 2828505 | 2926172 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  |  | 1325645 | 1371419 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  |  | 98523 | 101174 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  |  | 6913806 | 7105005 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  |  | 1599064 | 1669395 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2053  |  | 4929905 | 5192044 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2053  |  | 3177638 | 3303407 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2053  |  | 219226 | 229016 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2053  |  | 19784 | 20641 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  |  | 980828 | 1036660 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2052  |  | 101861 | 106442 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2053  |  | 1845410 | 1938202 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2052  |  | 52105 | 54448 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2053  |  | 365107 | 385126 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2036  |  | 623 | 664 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2053  |  | 24794 | 25869 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2054  |  | 701051 | 731427 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  |  | 1191005 | 1237028 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2055  |  | 2278724 | 2407902 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  |  | 2762776 | 2909682 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  |  | 600078 | 626501 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2055  |  | 3316901 | 3432635 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2053  |  | 1554893 | 1626517 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  |  | 1682497 | 1773538 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  |  | 1574309 | 1633667 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  |  | 942490 | 978026 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2055  |  | 1351537 | 1429422 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  |  | 6826863 | 7198403 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  |  | 1803442 | 1871440 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  |  | 1579070 | 1638608 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  |  | 1206955 | 1267643 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2055  |  | 1038746 | 1098605 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2053  |  | 870391 | 908105 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2054  |  | 685626 | 723218 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  |  | 3250722 | 3441351 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  |  | 2588236 | 2740824 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  |  | 2282659 | 2401004 |
| Fannie Mae Mortgage pass-thru certificates 6.788% 2/1/2039 (d) |  | 37764 | 39364 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  |  | 1724996 | 1827848 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  |  | 949600 | 1008074 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  |  | 862045 | 916811 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  |  | 553053 | 586547 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  |  | 487184 | 516232 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2053  |  | 618992 | 657108 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2053  |  | 23194 | 24678 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  |  | 1070735 | 1138425 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  |  | 163247 | 172534 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  |  | 46976 | 49572 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  |  | 29728 | 31319 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  |  | 18343 | 19379 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2054  |  | 36585 | 38913 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  |  | 1041734 | 1104823 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  |  | 231412 | 243734 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  |  | 110005 | 116778 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  |  | 75056 | 79213 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  |  | 57999 | 61103 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  |  | 54842 | 57808 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  |  | 20006 | 21112 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2054  |  | 795851 | 844857 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2054  |  | 238794 | 253890 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2053  |  | 501321 | 527922 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2054  |  | 16165 | 17019 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2033  |  | 1249 | 1312 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2054  |  | 248515 | 266031 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2054  |  | 19774 | 21100 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  |  | 45803 | 49031 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  |  | 24171 | 25698 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  |  | 21852 | 23210 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  |  | 19830 | 21227 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  |  | 14147 | 14977 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2053  |  | 626377 | 664116 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2053  |  | 52282 | 55285 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  |  | 523529 | 558630 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  |  | 496908 | 528477 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  |  | 344392 | 366702 |
| Fannie Mae Mortgage pass-thru certificates 8% 12/1/2036  |  | 6589 | 6914 |
| Fannie Mae Mortgage pass-thru certificates Series 1000, 2.5% 9/1/2051  |  | 730624 | 628670 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  |  | 2072844 | 1878924 |
| Freddie Mac Gold Pool 1.5% 1/1/2037  |  | 967074 | 872370 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  |  | 3044392 | 2364595 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  |  | 1631831 | 1483758 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  |  | 61792 | 56185 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  |  | 3057569 | 2382474 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  |  | 237698 | 186627 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  |  | 2770536 | 2511344 |
| Freddie Mac Gold Pool 1.5% 12/1/2036  |  | 328586 | 296819 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  |  | 321100 | 275031 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  |  | 167455 | 131476 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  |  | 39908 | 31371 |
| Freddie Mac Gold Pool 1.5% 2/1/2036  |  | 46575 | 42218 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  |  | 1877386 | 1604344 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  |  | 1516397 | 1177793 |
| Freddie Mac Gold Pool 1.5% 3/1/2036  |  | 710954 | 644442 |
| Freddie Mac Gold Pool 1.5% 3/1/2036  |  | 312852 | 283584 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  |  | 558735 | 477499 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  |  | 54658 | 42966 |
| Freddie Mac Gold Pool 1.5% 4/1/2036  |  | 50636 | 45899 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  |  | 1257216 | 1072863 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  |  | 39369547 | 30578536 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  |  | 3694589 | 3352413 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  |  | 51876 | 46974 |
| Freddie Mac Gold Pool 1.5% 5/1/2051  |  | 1209893 | 939730 |
| Freddie Mac Gold Pool 1.5% 6/1/2036  |  | 52674 | 47697 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  |  | 936082 | 727060 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  |  | 908110 | 705334 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  |  | 134411 | 105658 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  |  | 1364373 | 1240569 |
| Freddie Mac Gold Pool 1.5% 8/1/2036  |  | 71777 | 64995 |
| Freddie Mac Gold Pool 1.5% 9/1/2036  |  | 1871500 | 1694661 |
| Freddie Mac Gold Pool 2% 1/1/2032  |  | 513054 | 492003 |
| Freddie Mac Gold Pool 2% 1/1/2051  |  | 415309 | 340928 |
| Freddie Mac Gold Pool 2% 1/1/2052  |  | 792741 | 659432 |
| Freddie Mac Gold Pool 2% 1/1/2052  |  | 384965 | 319146 |
| Freddie Mac Gold Pool 2% 1/1/2052  |  | 136705 | 113674 |
| Freddie Mac Gold Pool 2% 1/1/2052  |  | 41546 | 34066 |
| Freddie Mac Gold Pool 2% 10/1/2041  |  | 35019 | 30723 |
| Freddie Mac Gold Pool 2% 10/1/2050  |  | 2572095 | 2113041 |
| Freddie Mac Gold Pool 2% 10/1/2051  |  | 4476584 | 3704207 |
| Freddie Mac Gold Pool 2% 10/1/2051  |  | 230560 | 191140 |
| Freddie Mac Gold Pool 2% 11/1/2041  |  | 1574757 | 1381002 |
| Freddie Mac Gold Pool 2% 11/1/2050  |  | 11974160 | 9837074 |
| Freddie Mac Gold Pool 2% 11/1/2050  |  | 2014815 | 1678517 |
| Freddie Mac Gold Pool 2% 11/1/2050  |  | 17735 | 14559 |
| Freddie Mac Gold Pool 2% 11/1/2050  |  | 15760 | 13120 |
| Freddie Mac Gold Pool 2% 11/1/2051  |  | 4151705 | 3404244 |
| Freddie Mac Gold Pool 2% 11/1/2051  |  | 2407246 | 1985136 |
| Freddie Mac Gold Pool 2% 11/1/2051  |  | 1214351 | 1006727 |
| Freddie Mac Gold Pool 2% 11/1/2051  |  | 863857 | 714809 |
| Freddie Mac Gold Pool 2% 11/1/2051  |  | 333541 | 276514 |
| Freddie Mac Gold Pool 2% 11/1/2051  |  | 202347 | 167751 |
| Freddie Mac Gold Pool 2% 12/1/2035  |  | 227208 | 211295 |
| Freddie Mac Gold Pool 2% 12/1/2050  |  | 756615 | 621105 |
| Freddie Mac Gold Pool 2% 12/1/2051  |  | 6361517 | 5216207 |
| Freddie Mac Gold Pool 2% 12/1/2051  |  | 3488323 | 2891908 |
| Freddie Mac Gold Pool 2% 12/1/2051  |  | 25382 | 21082 |
| Freddie Mac Gold Pool 2% 12/1/2051  |  | 18377 | 15287 |
| Freddie Mac Gold Pool 2% 2/1/2036  |  | 2855401 | 2650966 |
| Freddie Mac Gold Pool 2% 2/1/2036  |  | 151077 | 140449 |
| Freddie Mac Gold Pool 2% 2/1/2036  |  | 128442 | 119246 |
| Freddie Mac Gold Pool 2% 2/1/2042  |  | 777796 | 680923 |
| Freddie Mac Gold Pool 2% 2/1/2051  |  | 1331988 | 1093429 |
| Freddie Mac Gold Pool 2% 2/1/2052  |  | 15293777 | 12521210 |
| Freddie Mac Gold Pool 2% 2/1/2052  |  | 5695161 | 4716093 |
| Freddie Mac Gold Pool 2% 2/1/2052  |  | 5594183 | 4625481 |
| Freddie Mac Gold Pool 2% 2/1/2052  |  | 1399746 | 1152988 |
| Freddie Mac Gold Pool 2% 2/1/2052  |  | 210076 | 174684 |
| Freddie Mac Gold Pool 2% 3/1/2036  |  | 111788 | 103784 |
| Freddie Mac Gold Pool 2% 3/1/2036  |  | 14431 | 13393 |
| Freddie Mac Gold Pool 2% 3/1/2037  |  | 355226 | 330681 |
| Freddie Mac Gold Pool 2% 3/1/2041  |  | 374388 | 331701 |
| Freddie Mac Gold Pool 2% 3/1/2051  |  | 4141215 | 3399524 |
| Freddie Mac Gold Pool 2% 3/1/2051  |  | 3501449 | 2874340 |
| Freddie Mac Gold Pool 2% 3/1/2051  |  | 1535230 | 1262669 |
| Freddie Mac Gold Pool 2% 3/1/2051  |  | 312384 | 259462 |
| Freddie Mac Gold Pool 2% 3/1/2051  |  | 288698 | 239789 |
| Freddie Mac Gold Pool 2% 3/1/2051  |  | 251523 | 208912 |
| Freddie Mac Gold Pool 2% 3/1/2051  |  | 34360 | 28539 |
| Freddie Mac Gold Pool 2% 3/1/2051  |  | 21459 | 17843 |
| Freddie Mac Gold Pool 2% 3/1/2052  |  | 1863960 | 1528960 |
| Freddie Mac Gold Pool 2% 4/1/2042  |  | 1049812 | 926406 |
| Freddie Mac Gold Pool 2% 4/1/2051  |  | 5757518 | 4722750 |
| Freddie Mac Gold Pool 2% 4/1/2052  |  | 9790384 | 8015512 |
| Freddie Mac Gold Pool 2% 4/1/2052  |  | 1190342 | 981616 |
| Freddie Mac Gold Pool 2% 4/1/2052  |  | 41248 | 34195 |
| Freddie Mac Gold Pool 2% 5/1/2036  |  | 327353 | 303916 |
| Freddie Mac Gold Pool 2% 5/1/2036  |  | 194503 | 180578 |
| Freddie Mac Gold Pool 2% 5/1/2041  |  | 5711746 | 5029590 |
| Freddie Mac Gold Pool 2% 5/1/2051  |  | 23137464 | 18979088 |
| Freddie Mac Gold Pool 2% 5/1/2051  |  | 8948819 | 7410407 |
| Freddie Mac Gold Pool 2% 5/1/2051  |  | 861156 | 715266 |
| Freddie Mac Gold Pool 2% 5/1/2051  |  | 237789 | 195721 |
| Freddie Mac Gold Pool 2% 5/1/2051  |  | 24962 | 20780 |
| Freddie Mac Gold Pool 2% 6/1/2035  |  | 18157294 | 16953761 |
| Freddie Mac Gold Pool 2% 6/1/2036  |  | 1927100 | 1787321 |
| Freddie Mac Gold Pool 2% 6/1/2036  |  | 802270 | 746836 |
| Freddie Mac Gold Pool 2% 6/1/2050  |  | 36498133 | 30052570 |
| Freddie Mac Gold Pool 2% 6/1/2050  |  | 3096065 | 2574456 |
| Freddie Mac Gold Pool 2% 6/1/2052  |  | 72238 | 59255 |
| Freddie Mac Gold Pool 2% 7/1/2035  |  | 2087240 | 1948890 |
| Freddie Mac Gold Pool 2% 7/1/2041  |  | 6086464 | 5361273 |
| Freddie Mac Gold Pool 2% 7/1/2041  |  | 33687 | 29622 |
| Freddie Mac Gold Pool 2% 7/1/2051  |  | 464733 | 385566 |
| Freddie Mac Gold Pool 2% 8/1/2050  |  | 15436 | 12835 |
| Freddie Mac Gold Pool 2% 8/1/2051  |  | 1744405 | 1430892 |
| Freddie Mac Gold Pool 2% 8/1/2051  |  | 640111 | 525868 |
| Freddie Mac Gold Pool 2% 9/1/2050  |  | 24938171 | 20510715 |
| Freddie Mac Gold Pool 2% 9/1/2050  |  | 2142024 | 1767759 |
| Freddie Mac Gold Pool 2% 9/1/2050  |  | 21276 | 17479 |
| Freddie Mac Gold Pool 2% 9/1/2051  |  | 5452418 | 4470780 |
| Freddie Mac Gold Pool 2% 9/1/2051  |  | 236324 | 195918 |
| Freddie Mac Gold Pool 2% 9/1/2051  |  | 235992 | 195644 |
| Freddie Mac Gold Pool 2% 9/1/2051  |  | 40688 | 33731 |
| Freddie Mac Gold Pool 2.5% 1/1/2041  |  | 359478 | 326413 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  |  | 1862029 | 1678956 |
| Freddie Mac Gold Pool 2.5% 1/1/2043  |  | 109626 | 98633 |
| Freddie Mac Gold Pool 2.5% 1/1/2051  |  | 5984895 | 5145997 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  |  | 7439893 | 6445874 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  |  | 4115182 | 3526786 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  |  | 855499 | 740664 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  |  | 688229 | 595847 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  |  | 143996 | 123227 |
| Freddie Mac Gold Pool 2.5% 10/1/2031  |  | 41876 | 40629 |
| Freddie Mac Gold Pool 2.5% 10/1/2035  |  | 3392211 | 3238548 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  |  | 906914 | 819162 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  |  | 4339295 | 3779876 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  |  | 3808628 | 3285487 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  |  | 1303390 | 1125176 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  |  | 519089 | 449735 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  |  | 430704 | 416948 |
| Freddie Mac Gold Pool 2.5% 11/1/2032  |  | 898735 | 866728 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  |  | 491730 | 445088 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  |  | 156936 | 142345 |
| Freddie Mac Gold Pool 2.5% 11/1/2046  |  | 412290 | 361377 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  |  | 3297541 | 2866242 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  |  | 942523 | 810999 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  |  | 224755 | 195569 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  |  | 480077 | 411435 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  |  | 411795 | 350728 |
| Freddie Mac Gold Pool 2.5% 12/1/2050  |  | 1205608 | 1049051 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  |  | 4843728 | 4151164 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  |  | 3039285 | 2623719 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  |  | 348015 | 296406 |
| Freddie Mac Gold Pool 2.5% 2/1/2043  |  | 109631 | 98328 |
| Freddie Mac Gold Pool 2.5% 2/1/2050  |  | 350148 | 302272 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  |  | 9481591 | 8241454 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  |  | 5749510 | 4943606 |
| Freddie Mac Gold Pool 2.5% 2/1/2052  |  | 2393938 | 2067359 |
| Freddie Mac Gold Pool 2.5% 3/1/2028  |  | 85349 | 84193 |
| Freddie Mac Gold Pool 2.5% 3/1/2030  |  | 78599 | 76872 |
| Freddie Mac Gold Pool 2.5% 3/1/2032  |  | 1670178 | 1615621 |
| Freddie Mac Gold Pool 2.5% 3/1/2050  |  | 1708399 | 1473739 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  |  | 13456790 | 11570563 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  |  | 495922 | 427959 |
| Freddie Mac Gold Pool 2.5% 4/1/2037  |  | 49494 | 47097 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  |  | 318478 | 287494 |
| Freddie Mac Gold Pool 2.5% 4/1/2051  |  | 17771488 | 15280472 |
| Freddie Mac Gold Pool 2.5% 4/1/2051  |  | 3689795 | 3200273 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  |  | 22200205 | 18991294 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  |  | 2759914 | 2395483 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  |  | 448416 | 388504 |
| Freddie Mac Gold Pool 2.5% 4/1/2053  |  | 3823743 | 3271043 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  |  | 545256 | 494546 |
| Freddie Mac Gold Pool 2.5% 5/1/2050  |  | 2722023 | 2348135 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  |  | 7853713 | 6752864 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  |  | 443189 | 387992 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  |  | 503085 | 489479 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  |  | 891664 | 807121 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  |  | 379714 | 344655 |
| Freddie Mac Gold Pool 2.5% 6/1/2051  |  | 1506037 | 1294937 |
| Freddie Mac Gold Pool 2.5% 6/1/2051  |  | 368238 | 320074 |
| Freddie Mac Gold Pool 2.5% 6/1/2052  |  | 4656422 | 3983363 |
| Freddie Mac Gold Pool 2.5% 7/1/2030  |  | 154809 | 151300 |
| Freddie Mac Gold Pool 2.5% 7/1/2031  |  | 234856 | 227952 |
| Freddie Mac Gold Pool 2.5% 7/1/2032  |  | 537412 | 519184 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  |  | 4769999 | 4158036 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  |  | 2783241 | 2419210 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  |  | 986668 | 850218 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  |  | 2583466 | 2234261 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  |  | 1785026 | 1530358 |
| Freddie Mac Gold Pool 2.5% 8/1/2031  |  | 395970 | 384177 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  |  | 128171 | 116392 |
| Freddie Mac Gold Pool 2.5% 8/1/2051  |  | 4745703 | 4110162 |
| Freddie Mac Gold Pool 2.5% 9/1/2041  |  | 279226 | 253336 |
| Freddie Mac Gold Pool 3% 1/1/2033  |  | 250743 | 244608 |
| Freddie Mac Gold Pool 3% 1/1/2036  |  | 354463 | 344999 |
| Freddie Mac Gold Pool 3% 1/1/2037  |  | 960942 | 918329 |
| Freddie Mac Gold Pool 3% 1/1/2043  |  | 247866 | 229937 |
| Freddie Mac Gold Pool 3% 1/1/2043  |  | 120116 | 111468 |
| Freddie Mac Gold Pool 3% 1/1/2043  |  | 89002 | 82837 |
| Freddie Mac Gold Pool 3% 1/1/2047  |  | 4050180 | 3680867 |
| Freddie Mac Gold Pool 3% 1/1/2052  |  | 1406591 | 1260581 |
| Freddie Mac Gold Pool 3% 1/1/2052  |  | 1262462 | 1133780 |
| Freddie Mac Gold Pool 3% 1/1/2052  |  | 1179462 | 1057397 |
| Freddie Mac Gold Pool 3% 1/1/2052  |  | 576916 | 517209 |
| Freddie Mac Gold Pool 3% 1/1/2052  |  | 352466 | 315988 |
| Freddie Mac Gold Pool 3% 10/1/2028  |  | 75711 | 74837 |
| Freddie Mac Gold Pool 3% 10/1/2042  |  | 273156 | 253166 |
| Freddie Mac Gold Pool 3% 10/1/2042  |  | 48343 | 44857 |
| Freddie Mac Gold Pool 3% 10/1/2049  |  | 5643618 | 5082477 |
| Freddie Mac Gold Pool 3% 10/1/2049  |  | 1965754 | 1770301 |
| Freddie Mac Gold Pool 3% 10/1/2051  |  | 1576690 | 1418935 |
| Freddie Mac Gold Pool 3% 10/1/2051  |  | 541531 | 490733 |
| Freddie Mac Gold Pool 3% 11/1/2042  |  | 69499 | 65336 |
| Freddie Mac Gold Pool 3% 11/1/2046  |  | 734962 | 667945 |
| Freddie Mac Gold Pool 3% 11/1/2048  |  | 2373424 | 2153753 |
| Freddie Mac Gold Pool 3% 11/1/2049  |  | 6629601 | 6009788 |
| Freddie Mac Gold Pool 3% 11/1/2049  |  | 5261475 | 4769571 |
| Freddie Mac Gold Pool 3% 11/1/2049  |  | 712207 | 641393 |
| Freddie Mac Gold Pool 3% 11/1/2050  |  | 180694 | 162276 |
| Freddie Mac Gold Pool 3% 11/1/2051  |  | 2348449 | 2125219 |
| Freddie Mac Gold Pool 3% 11/1/2051  |  | 1382707 | 1240472 |
| Freddie Mac Gold Pool 3% 11/1/2051  |  | 600906 | 539093 |
| Freddie Mac Gold Pool 3% 12/1/2030  |  | 67331 | 66071 |
| Freddie Mac Gold Pool 3% 12/1/2032  |  | 229040 | 224330 |
| Freddie Mac Gold Pool 3% 12/1/2032  |  | 166062 | 162326 |
| Freddie Mac Gold Pool 3% 12/1/2042  |  | 450580 | 418437 |
| Freddie Mac Gold Pool 3% 12/1/2042  |  | 57673 | 53813 |
| Freddie Mac Gold Pool 3% 12/1/2046  |  | 7157049 | 6558116 |
| Freddie Mac Gold Pool 3% 12/1/2046  |  | 328732 | 298756 |
| Freddie Mac Gold Pool 3% 12/1/2050  |  | 1478639 | 1327923 |
| Freddie Mac Gold Pool 3% 12/1/2051  |  | 4745088 | 4256976 |
| Freddie Mac Gold Pool 3% 2/1/2033  |  | 80815 | 79362 |
| Freddie Mac Gold Pool 3% 2/1/2043  |  | 317116 | 295739 |
| Freddie Mac Gold Pool 3% 2/1/2043  |  | 135354 | 126900 |
| Freddie Mac Gold Pool 3% 2/1/2043  |  | 62912 | 58804 |
| Freddie Mac Gold Pool 3% 2/1/2043  |  | 53306 | 49524 |
| Freddie Mac Gold Pool 3% 2/1/2043  |  | 47546 | 44559 |
| Freddie Mac Gold Pool 3% 2/1/2043  |  | 29960 | 27909 |
| Freddie Mac Gold Pool 3% 2/1/2050  |  | 11499138 | 10416876 |
| Freddie Mac Gold Pool 3% 2/1/2050  |  | 3614430 | 3273122 |
| Freddie Mac Gold Pool 3% 2/1/2050  |  | 2240174 | 2029336 |
| Freddie Mac Gold Pool 3% 2/1/2052  |  | 6915170 | 6177897 |
| Freddie Mac Gold Pool 3% 2/1/2052  |  | 6618516 | 5933554 |
| Freddie Mac Gold Pool 3% 2/1/2052  |  | 1588436 | 1436455 |
| Freddie Mac Gold Pool 3% 2/1/2052  |  | 251493 | 225465 |
| Freddie Mac Gold Pool 3% 3/1/2032  |  | 235173 | 230196 |
| Freddie Mac Gold Pool 3% 3/1/2033  |  | 273643 | 267248 |
| Freddie Mac Gold Pool 3% 3/1/2043  |  | 359441 | 333384 |
| Freddie Mac Gold Pool 3% 3/1/2043  |  | 75116 | 69939 |
| Freddie Mac Gold Pool 3% 3/1/2045  |  | 85982 | 78694 |
| Freddie Mac Gold Pool 3% 3/1/2050  |  | 2467678 | 2222319 |
| Freddie Mac Gold Pool 3% 3/1/2052  |  | 12755189 | 11514851 |
| Freddie Mac Gold Pool 3% 3/1/2052  |  | 7034610 | 6268115 |
| Freddie Mac Gold Pool 3% 3/1/2052  |  | 6748484 | 6045853 |
| Freddie Mac Gold Pool 3% 3/1/2052  |  | 706949 | 639529 |
| Freddie Mac Gold Pool 3% 3/1/2052  |  | 592628 | 531296 |
| Freddie Mac Gold Pool 3% 4/1/2029  |  | 198133 | 195588 |
| Freddie Mac Gold Pool 3% 4/1/2032  |  | 25670 | 25171 |
| Freddie Mac Gold Pool 3% 4/1/2032  |  | 8936 | 8765 |
| Freddie Mac Gold Pool 3% 4/1/2034  |  | 505249 | 493360 |
| Freddie Mac Gold Pool 3% 4/1/2037  |  | 254888 | 245932 |
| Freddie Mac Gold Pool 3% 4/1/2043  |  | 30561 | 28469 |
| Freddie Mac Gold Pool 3% 4/1/2045  |  | 569764 | 524722 |
| Freddie Mac Gold Pool 3% 4/1/2045  |  | 5650 | 5190 |
| Freddie Mac Gold Pool 3% 4/1/2046  |  | 13206 | 12105 |
| Freddie Mac Gold Pool 3% 4/1/2046  |  | 10938 | 10027 |
| Freddie Mac Gold Pool 3% 4/1/2050  |  | 2470507 | 2224866 |
| Freddie Mac Gold Pool 3% 4/1/2052  |  | 14183032 | 12648721 |
| Freddie Mac Gold Pool 3% 4/1/2052  |  | 2620581 | 2356743 |
| Freddie Mac Gold Pool 3% 4/1/2052  |  | 1364416 | 1234723 |
| Freddie Mac Gold Pool 3% 5/1/2046  |  | 197402 | 180945 |
| Freddie Mac Gold Pool 3% 5/1/2046  |  | 31567 | 28935 |
| Freddie Mac Gold Pool 3% 5/1/2051  |  | 575681 | 517722 |
| Freddie Mac Gold Pool 3% 5/1/2052  |  | 12801151 | 11416332 |
| Freddie Mac Gold Pool 3% 5/1/2052  |  | 3132402 | 2802350 |
| Freddie Mac Gold Pool 3% 6/1/2029  |  | 49597 | 48998 |
| Freddie Mac Gold Pool 3% 6/1/2031  |  | 99065 | 97207 |
| Freddie Mac Gold Pool 3% 6/1/2031  |  | 37746 | 37039 |
| Freddie Mac Gold Pool 3% 6/1/2031  |  | 22015 | 21592 |
| Freddie Mac Gold Pool 3% 6/1/2031  |  | 13019 | 12792 |
| Freddie Mac Gold Pool 3% 6/1/2031  |  | 12013 | 11777 |
| Freddie Mac Gold Pool 3% 6/1/2031  |  | 9286 | 9102 |
| Freddie Mac Gold Pool 3% 6/1/2031  |  | 8243 | 8100 |
| Freddie Mac Gold Pool 3% 6/1/2042  |  | 202651 | 188584 |
| Freddie Mac Gold Pool 3% 6/1/2045  |  | 573852 | 527547 |
| Freddie Mac Gold Pool 3% 6/1/2045  |  | 212689 | 195999 |
| Freddie Mac Gold Pool 3% 6/1/2046  |  | 195354 | 179067 |
| Freddie Mac Gold Pool 3% 6/1/2048  |  | 7961526 | 7326660 |
| Freddie Mac Gold Pool 3% 6/1/2050  |  | 2228527 | 2017393 |
| Freddie Mac Gold Pool 3% 6/1/2052  |  | 1952078 | 1750054 |
| Freddie Mac Gold Pool 3% 6/1/2052  |  | 1884047 | 1679644 |
| Freddie Mac Gold Pool 3% 7/1/2032  |  | 45131 | 44172 |
| Freddie Mac Gold Pool 3% 7/1/2037  |  | 137159 | 132297 |
| Freddie Mac Gold Pool 3% 7/1/2045  |  | 537727 | 492898 |
| Freddie Mac Gold Pool 3% 7/1/2050  |  | 1630893 | 1475360 |
| Freddie Mac Gold Pool 3% 7/1/2052  |  | 6071222 | 5471359 |
| Freddie Mac Gold Pool 3% 8/1/2029  |  | 67600 | 66649 |
| Freddie Mac Gold Pool 3% 8/1/2032  |  | 56571 | 55382 |
| Freddie Mac Gold Pool 3% 8/1/2032  |  | 39274 | 38431 |
| Freddie Mac Gold Pool 3% 8/1/2043  |  | 234560 | 217008 |
| Freddie Mac Gold Pool 3% 8/1/2046  |  | 35393 | 32520 |
| Freddie Mac Gold Pool 3% 8/1/2049  |  | 406682 | 367390 |
| Freddie Mac Gold Pool 3% 8/1/2050  |  | 1836656 | 1658056 |
| Freddie Mac Gold Pool 3% 8/1/2050  |  | 758999 | 686615 |
| Freddie Mac Gold Pool 3% 9/1/2049  |  | 22461 | 20424 |
| Freddie Mac Gold Pool 3% 9/1/2051  |  | 1443276 | 1294811 |
| Freddie Mac Gold Pool 3% 9/1/2051  |  | 535953 | 480821 |
| Freddie Mac Gold Pool 3.05% 10/1/2032  |  | 6301000 | 5881181 |
| Freddie Mac Gold Pool 3.19% 7/1/2033  |  | 5966854 | 5597193 |
| Freddie Mac Gold Pool 3.5% 1/1/2032  |  | 61490 | 60860 |
| Freddie Mac Gold Pool 3.5% 1/1/2043  |  | 8914 | 8467 |
| Freddie Mac Gold Pool 3.5% 1/1/2044  |  | 1329221 | 1269839 |
| Freddie Mac Gold Pool 3.5% 1/1/2044  |  | 669429 | 639175 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  |  | 315834 | 298259 |
| Freddie Mac Gold Pool 3.5% 1/1/2047  |  | 1948717 | 1814391 |
| Freddie Mac Gold Pool 3.5% 1/1/2047  |  | 91497 | 86148 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  |  | 817708 | 767731 |
| Freddie Mac Gold Pool 3.5% 1/1/2052  |  | 2395092 | 2227901 |
| Freddie Mac Gold Pool 3.5% 1/1/2053  |  | 27111 | 25106 |
| Freddie Mac Gold Pool 3.5% 10/1/2032  |  | 16302 | 15960 |
| Freddie Mac Gold Pool 3.5% 10/1/2034  |  | 4094249 | 4027097 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  |  | 131447 | 125401 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  |  | 55472 | 53383 |
| Freddie Mac Gold Pool 3.5% 10/1/2045  |  | 381144 | 359843 |
| Freddie Mac Gold Pool 3.5% 10/1/2045  |  | 184355 | 174006 |
| Freddie Mac Gold Pool 3.5% 10/1/2045  |  | 7016 | 6628 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  |  | 592404 | 557217 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  |  | 7119 | 6742 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  |  | 3228525 | 3009007 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  |  | 2755886 | 2577117 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  |  | 391506 | 385407 |
| Freddie Mac Gold Pool 3.5% 11/1/2042  |  | 420847 | 401689 |
| Freddie Mac Gold Pool 3.5% 11/1/2044  |  | 687455 | 648936 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  |  | 851303 | 805119 |
| Freddie Mac Gold Pool 3.5% 11/1/2046  |  | 940746 | 885750 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  |  | 412944 | 384545 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  |  | 40757 | 38597 |
| Freddie Mac Gold Pool 3.5% 11/1/2052  |  | 5055992 | 4683780 |
| Freddie Mac Gold Pool 3.5% 11/1/2052  |  | 2841903 | 2637128 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  |  | 61659 | 60880 |
| Freddie Mac Gold Pool 3.5% 12/1/2042  |  | 83203 | 80176 |
| Freddie Mac Gold Pool 3.5% 12/1/2045  |  | 422058 | 398572 |
| Freddie Mac Gold Pool 3.5% 12/1/2045  |  | 42718 | 40341 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  |  | 1981346 | 1870470 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  |  | 759558 | 715155 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  |  | 195671 | 184721 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  |  | 769941 | 723728 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  |  | 9595 | 9083 |
| Freddie Mac Gold Pool 3.5% 12/1/2052  |  | 43249 | 40133 |
| Freddie Mac Gold Pool 3.5% 2/1/2029  |  | 70159 | 69755 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  |  | 1582025 | 1562572 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  |  | 445691 | 436868 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  |  | 1435952 | 1369579 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  |  | 41214 | 39528 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  |  | 7743755 | 7209973 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  |  | 527792 | 492895 |
| Freddie Mac Gold Pool 3.5% 2/1/2053  |  | 324623 | 302957 |
| Freddie Mac Gold Pool 3.5% 2/1/2053  |  | 26679 | 24706 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  |  | 1635272 | 1618331 |
| Freddie Mac Gold Pool 3.5% 3/1/2042  |  | 314553 | 300511 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  |  | 4455989 | 4221198 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  |  | 463652 | 438618 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  |  | 19280 | 18207 |
| Freddie Mac Gold Pool 3.5% 3/1/2047  |  | 285682 | 270007 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  |  | 55990 | 52630 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  |  | 3293352 | 3074573 |
| Freddie Mac Gold Pool 3.5% 3/1/2052 (v) |  | 2726138 | 2543591 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  |  | 2491558 | 2321371 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  |  | 637312 | 593381 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  |  | 587829 | 547310 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  |  | 92003 | 85144 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  |  | 205052 | 196160 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  |  | 202948 | 194830 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  |  | 1489271 | 1417001 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  |  | 184664 | 176085 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  |  | 19673 | 18962 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  |  | 5435 | 5166 |
| Freddie Mac Gold Pool 3.5% 4/1/2045  |  | 68615 | 64866 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  |  | 1492416 | 1411699 |
| Freddie Mac Gold Pool 3.5% 4/1/2047  |  | 944958 | 882183 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  |  | 1585411 | 1472164 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  |  | 1510937 | 1414342 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  |  | 623838 | 577328 |
| Freddie Mac Gold Pool 3.5% 5/1/2033  |  | 301911 | 298378 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  |  | 185930 | 183443 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  |  | 71804 | 70833 |
| Freddie Mac Gold Pool 3.5% 5/1/2038  |  | 33143 | 32371 |
| Freddie Mac Gold Pool 3.5% 5/1/2043  |  | 141971 | 135098 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  |  | 361987 | 342226 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  |  | 5191194 | 4920163 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  |  | 1239721 | 1172671 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  |  | 309690 | 292650 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  |  | 84081 | 79297 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  |  | 11865 | 11205 |
| Freddie Mac Gold Pool 3.5% 5/1/2047  |  | 639611 | 597122 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  |  | 4177819 | 3879395 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  |  | 2463016 | 2299396 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  |  | 1319926 | 1232655 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  |  | 1547797 | 1531103 |
| Freddie Mac Gold Pool 3.5% 6/1/2042  |  | 295010 | 282129 |
| Freddie Mac Gold Pool 3.5% 6/1/2042  |  | 22175 | 21235 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  |  | 441341 | 417646 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  |  | 134657 | 127745 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  |  | 71785 | 68088 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  |  | 5286 | 5005 |
| Freddie Mac Gold Pool 3.5% 6/1/2046  |  | 22775 | 21479 |
| Freddie Mac Gold Pool 3.5% 6/1/2046  |  | 8895 | 8400 |
| Freddie Mac Gold Pool 3.5% 6/1/2052  |  | 262974 | 246573 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  |  | 2551755 | 2523967 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  |  | 492649 | 487390 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  |  | 148855 | 147396 |
| Freddie Mac Gold Pool 3.5% 7/1/2043  |  | 57433 | 54653 |
| Freddie Mac Gold Pool 3.5% 7/1/2044  |  | 39123 | 37091 |
| Freddie Mac Gold Pool 3.5% 7/1/2045  |  | 273283 | 258155 |
| Freddie Mac Gold Pool 3.5% 7/1/2045  |  | 12876 | 12338 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  |  | 405523 | 383210 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  |  | 15099 | 14258 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  |  | 13999 | 13220 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  |  | 10527 | 9929 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  |  | 9332 | 8801 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  |  | 98761 | 93558 |
| Freddie Mac Gold Pool 3.5% 7/1/2051  |  | 5024391 | 4687477 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  |  | 10872625 | 10102783 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  |  | 414077 | 387476 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  |  | 145249 | 143265 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  |  | 121958 | 120274 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  |  | 284949 | 272100 |
| Freddie Mac Gold Pool 3.5% 8/1/2045  |  | 160808 | 151813 |
| Freddie Mac Gold Pool 3.5% 8/1/2046  |  | 120838 | 113963 |
| Freddie Mac Gold Pool 3.5% 8/1/2046  |  | 36062 | 34236 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  |  | 153983 | 145823 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  |  | 17960 | 17008 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  |  | 12451 | 11791 |
| Freddie Mac Gold Pool 3.5% 8/1/2049  |  | 8654265 | 8141560 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  |  | 3774676 | 3531000 |
| Freddie Mac Gold Pool 3.5% 8/1/2052  |  | 311271 | 291371 |
| Freddie Mac Gold Pool 3.5% 9/1/2032  |  | 5263 | 5151 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  |  | 2014680 | 1921227 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  |  | 1975032 | 1885146 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  |  | 51509 | 49625 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  |  | 1816802 | 1716838 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  |  | 1031052 | 974643 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  |  | 102553 | 96558 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  |  | 5526 | 5233 |
| Freddie Mac Gold Pool 3.5% 9/1/2048  |  | 111265 | 104551 |
| Freddie Mac Gold Pool 3.5% 9/1/2052  |  | 2844206 | 2636598 |
| Freddie Mac Gold Pool 3.55% 11/1/2032  |  | 430799 | 415975 |
| Freddie Mac Gold Pool 3.85% 9/1/2032  |  | 509042 | 498772 |
| Freddie Mac Gold Pool 4% 1/1/2032  |  | 26639 | 26564 |
| Freddie Mac Gold Pool 4% 1/1/2036  |  | 889674 | 889425 |
| Freddie Mac Gold Pool 4% 1/1/2038  |  | 147184 | 146407 |
| Freddie Mac Gold Pool 4% 1/1/2044  |  | 166247 | 163060 |
| Freddie Mac Gold Pool 4% 1/1/2044  |  | 144173 | 141378 |
| Freddie Mac Gold Pool 4% 1/1/2046  |  | 58489 | 57115 |
| Freddie Mac Gold Pool 4% 1/1/2048  |  | 176030 | 170600 |
| Freddie Mac Gold Pool 4% 1/1/2050  |  | 189437 | 183263 |
| Freddie Mac Gold Pool 4% 1/1/2053  |  | 5567965 | 5330805 |
| Freddie Mac Gold Pool 4% 1/1/2053  |  | 723064 | 692040 |
| Freddie Mac Gold Pool 4% 10/1/2039  |  | 149123 | 147247 |
| Freddie Mac Gold Pool 4% 10/1/2040  |  | 198398 | 195647 |
| Freddie Mac Gold Pool 4% 10/1/2040  |  | 156614 | 154539 |
| Freddie Mac Gold Pool 4% 10/1/2041  |  | 64758 | 63777 |
| Freddie Mac Gold Pool 4% 10/1/2042  |  | 16168 | 15990 |
| Freddie Mac Gold Pool 4% 10/1/2042  |  | 13660 | 13419 |
| Freddie Mac Gold Pool 4% 10/1/2042  |  | 11288 | 11072 |
| Freddie Mac Gold Pool 4% 10/1/2045  |  | 73988 | 72549 |
| Freddie Mac Gold Pool 4% 10/1/2045  |  | 50873 | 49726 |
| Freddie Mac Gold Pool 4% 10/1/2052  |  | 9964380 | 9546190 |
| Freddie Mac Gold Pool 4% 10/1/2052  |  | 6091580 | 5813082 |
| Freddie Mac Gold Pool 4% 10/1/2052  |  | 1268030 | 1225115 |
| Freddie Mac Gold Pool 4% 10/1/2052  |  | 652053 | 624688 |
| Freddie Mac Gold Pool 4% 10/1/2052  |  | 234322 | 224415 |
| Freddie Mac Gold Pool 4% 10/1/2052  |  | 113056 | 108382 |
| Freddie Mac Gold Pool 4% 11/1/2041  |  | 139993 | 138099 |
| Freddie Mac Gold Pool 4% 11/1/2042  |  | 1646293 | 1622378 |
| Freddie Mac Gold Pool 4% 11/1/2042  |  | 3004 | 2983 |
| Freddie Mac Gold Pool 4% 11/1/2045  |  | 225239 | 220137 |
| Freddie Mac Gold Pool 4% 11/1/2051  |  | 33165 | 32167 |
| Freddie Mac Gold Pool 4% 11/1/2053  |  | 898910 | 857533 |
| Freddie Mac Gold Pool 4% 12/1/2040  |  | 139664 | 137807 |
| Freddie Mac Gold Pool 4% 12/1/2043  |  | 134052 | 131463 |
| Freddie Mac Gold Pool 4% 12/1/2045  |  | 244342 | 238409 |
| Freddie Mac Gold Pool 4% 12/1/2045  |  | 14748 | 14390 |
| Freddie Mac Gold Pool 4% 12/1/2047  |  | 1549153 | 1502335 |
| Freddie Mac Gold Pool 4% 12/1/2052  |  | 226042 | 216485 |
| Freddie Mac Gold Pool 4% 2/1/2026  |  | 148 | 147 |
| Freddie Mac Gold Pool 4% 2/1/2042  |  | 143640 | 141257 |
| Freddie Mac Gold Pool 4% 2/1/2042  |  | 46300 | 45648 |
| Freddie Mac Gold Pool 4% 2/1/2043  |  | 26652 | 26133 |
| Freddie Mac Gold Pool 4% 2/1/2044  |  | 48653 | 47703 |
| Freddie Mac Gold Pool 4% 2/1/2044  |  | 34497 | 33755 |
| Freddie Mac Gold Pool 4% 2/1/2045  |  | 925088 | 906238 |
| Freddie Mac Gold Pool 4% 2/1/2046  |  | 685101 | 670990 |
| Freddie Mac Gold Pool 4% 2/1/2046  |  | 58391 | 56937 |
| Freddie Mac Gold Pool 4% 2/1/2046  |  | 18629 | 18177 |
| Freddie Mac Gold Pool 4% 2/1/2046  |  | 13741 | 13416 |
| Freddie Mac Gold Pool 4% 2/1/2048  |  | 32033 | 31135 |
| Freddie Mac Gold Pool 4% 2/1/2052  |  | 15736 | 15258 |
| Freddie Mac Gold Pool 4% 2/1/2052  |  | 13634 | 13220 |
| Freddie Mac Gold Pool 4% 3/1/2052  |  | 1186573 | 1138999 |
| Freddie Mac Gold Pool 4% 3/1/2053  |  | 704196 | 673982 |
| Freddie Mac Gold Pool 4% 3/1/2053  |  | 228729 | 219844 |
| Freddie Mac Gold Pool 4% 4/1/2038  |  | 101299 | 100260 |
| Freddie Mac Gold Pool 4% 4/1/2042  |  | 9658 | 9479 |
| Freddie Mac Gold Pool 4% 4/1/2043  |  | 1699555 | 1671655 |
| Freddie Mac Gold Pool 4% 4/1/2043  |  | 43039 | 42288 |
| Freddie Mac Gold Pool 4% 4/1/2043  |  | 21526 | 21287 |
| Freddie Mac Gold Pool 4% 4/1/2046  |  | 146828 | 143354 |
| Freddie Mac Gold Pool 4% 4/1/2052  |  | 762022 | 727422 |
| Freddie Mac Gold Pool 4% 4/1/2052  |  | 230025 | 219580 |
| Freddie Mac Gold Pool 4% 4/1/2052  |  | 18518 | 17944 |
| Freddie Mac Gold Pool 4% 4/1/2052  |  | 17396 | 16856 |
| Freddie Mac Gold Pool 4% 5/1/2037  |  | 2363686 | 2351208 |
| Freddie Mac Gold Pool 4% 5/1/2038  |  | 1314748 | 1306164 |
| Freddie Mac Gold Pool 4% 5/1/2043  |  | 5756 | 5652 |
| Freddie Mac Gold Pool 4% 5/1/2045  |  | 130864 | 128945 |
| Freddie Mac Gold Pool 4% 5/1/2046  |  | 138297 | 134852 |
| Freddie Mac Gold Pool 4% 5/1/2052  |  | 20051470 | 19247537 |
| Freddie Mac Gold Pool 4% 5/1/2052  |  | 41149 | 39435 |
| Freddie Mac Gold Pool 4% 6/1/2042  |  | 5082 | 4985 |
| Freddie Mac Gold Pool 4% 6/1/2043  |  | 197279 | 193567 |
| Freddie Mac Gold Pool 4% 6/1/2045  |  | 50513 | 49424 |
| Freddie Mac Gold Pool 4% 6/1/2047  |  | 2186426 | 2131964 |
| Freddie Mac Gold Pool 4% 6/1/2047  |  | 2019260 | 1966438 |
| Freddie Mac Gold Pool 4% 6/1/2052  |  | 1588906 | 1538111 |
| Freddie Mac Gold Pool 4% 6/1/2052  |  | 151374 | 145115 |
| Freddie Mac Gold Pool 4% 6/1/2052  |  | 91007 | 86846 |
| Freddie Mac Gold Pool 4% 6/1/2052  |  | 86473 | 82979 |
| Freddie Mac Gold Pool 4% 6/1/2052  |  | 19175 | 18580 |
| Freddie Mac Gold Pool 4% 7/1/2042  |  | 314136 | 308563 |
| Freddie Mac Gold Pool 4% 7/1/2043  |  | 27507 | 26947 |
| Freddie Mac Gold Pool 4% 7/1/2045  |  | 215659 | 211975 |
| Freddie Mac Gold Pool 4% 7/1/2048  |  | 1017299 | 993548 |
| Freddie Mac Gold Pool 4% 7/1/2048  |  | 128293 | 124336 |
| Freddie Mac Gold Pool 4% 7/1/2049  |  | 6060177 | 5870230 |
| Freddie Mac Gold Pool 4% 7/1/2052  |  | 1727427 | 1657628 |
| Freddie Mac Gold Pool 4% 7/1/2052  |  | 1088542 | 1042518 |
| Freddie Mac Gold Pool 4% 7/1/2052  |  | 21807 | 21130 |
| Freddie Mac Gold Pool 4% 8/1/2044  |  | 12788 | 12523 |
| Freddie Mac Gold Pool 4% 8/1/2044  |  | 12690 | 12475 |
| Freddie Mac Gold Pool 4% 8/1/2045  |  | 227589 | 222944 |
| Freddie Mac Gold Pool 4% 8/1/2046  |  | 343498 | 335157 |
| Freddie Mac Gold Pool 4% 8/1/2046  |  | 12676 | 12353 |
| Freddie Mac Gold Pool 4% 8/1/2052  |  | 12935942 | 12401125 |
| Freddie Mac Gold Pool 4% 8/1/2052  |  | 7726327 | 7406893 |
| Freddie Mac Gold Pool 4% 8/1/2052  |  | 6608344 | 6341328 |
| Freddie Mac Gold Pool 4% 8/1/2052  |  | 2350423 | 2251779 |
| Freddie Mac Gold Pool 4% 8/1/2052  |  | 820046 | 782555 |
| Freddie Mac Gold Pool 4% 8/1/2052  |  | 810713 | 773648 |
| Freddie Mac Gold Pool 4% 8/1/2052  |  | 89608 | 85987 |
| Freddie Mac Gold Pool 4% 8/1/2052  |  | 16916 | 16392 |
| Freddie Mac Gold Pool 4% 9/1/2040  |  | 90365 | 89157 |
| Freddie Mac Gold Pool 4% 9/1/2041  |  | 109443 | 107840 |
| Freddie Mac Gold Pool 4% 9/1/2042  |  | 175263 | 172339 |
| Freddie Mac Gold Pool 4% 9/1/2043  |  | 96590 | 95332 |
| Freddie Mac Gold Pool 4% 9/1/2043  |  | 2005 | 1991 |
| Freddie Mac Gold Pool 4% 9/1/2046  |  | 24590 | 23932 |
| Freddie Mac Gold Pool 4% 9/1/2051  |  | 29877 | 28987 |
| Freddie Mac Gold Pool 4% 9/1/2052  |  | 941757 | 902233 |
| Freddie Mac Gold Pool 4% 9/1/2052  |  | 246257 | 235922 |
| Freddie Mac Gold Pool 4.17% 10/1/2034  |  | 585106 | 576780 |
| Freddie Mac Gold Pool 4.5% 1/1/2042  |  | 438223 | 441851 |
| Freddie Mac Gold Pool 4.5% 1/1/2049  |  | 347630 | 348381 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  |  | 9086 | 9159 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  |  | 225462 | 227252 |
| Freddie Mac Gold Pool 4.5% 10/1/2042  |  | 2615343 | 2628345 |
| Freddie Mac Gold Pool 4.5% 10/1/2044  |  | 792446 | 798036 |
| Freddie Mac Gold Pool 4.5% 10/1/2044  |  | 212335 | 213720 |
| Freddie Mac Gold Pool 4.5% 10/1/2046  |  | 224815 | 224927 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  |  | 81991 | 81751 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  |  | 9052 | 9067 |
| Freddie Mac Gold Pool 4.5% 10/1/2052  |  | 11201125 | 11029288 |
| Freddie Mac Gold Pool 4.5% 11/1/2052  |  | 2161455 | 2128297 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  |  | 440944 | 444591 |
| Freddie Mac Gold Pool 4.5% 12/1/2043  |  | 51895 | 52007 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  |  | 88205 | 88828 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  |  | 57914 | 58287 |
| Freddie Mac Gold Pool 4.5% 12/1/2045  |  | 220912 | 222600 |
| Freddie Mac Gold Pool 4.5% 12/1/2045  |  | 152466 | 153749 |
| Freddie Mac Gold Pool 4.5% 12/1/2047  |  | 82509 | 82369 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  |  | 3940510 | 3930166 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  |  | 129024 | 130085 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  |  | 101472 | 102312 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  |  | 52525 | 52963 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  |  | 46774 | 47161 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  |  | 22814 | 22996 |
| Freddie Mac Gold Pool 4.5% 2/1/2042  |  | 21196 | 21357 |
| Freddie Mac Gold Pool 4.5% 2/1/2044  |  | 63083 | 63474 |
| Freddie Mac Gold Pool 4.5% 2/1/2044  |  | 40767 | 40852 |
| Freddie Mac Gold Pool 4.5% 2/1/2053  |  | 585838 | 576302 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  |  | 134627 | 135738 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  |  | 108005 | 108898 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  |  | 43111 | 43466 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  |  | 62486 | 62874 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  |  | 57041 | 57403 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  |  | 43903 | 44177 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  |  | 38554 | 38791 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  |  | 23366 | 23506 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  |  | 315792 | 318396 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  |  | 203316 | 204995 |
| Freddie Mac Gold Pool 4.5% 4/1/2044  |  | 1492868 | 1502091 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  |  | 322200 | 322965 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  |  | 54956 | 54783 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  |  | 137495 | 138653 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  |  | 5912 | 5961 |
| Freddie Mac Gold Pool 4.5% 5/1/2044  |  | 60529 | 60921 |
| Freddie Mac Gold Pool 4.5% 5/1/2053  |  | 2959682 | 2924452 |
| Freddie Mac Gold Pool 4.5% 6/1/2039  |  | 94605 | 95400 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  |  | 173071 | 172941 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  |  | 132193 | 132631 |
| Freddie Mac Gold Pool 4.5% 6/1/2052  |  | 20977648 | 20675497 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  |  | 68953 | 69520 |
| Freddie Mac Gold Pool 4.5% 7/1/2044  |  | 21787 | 21919 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  |  | 246712 | 247606 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  |  | 154501 | 154385 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  |  | 107455 | 107811 |
| Freddie Mac Gold Pool 4.5% 7/1/2052  |  | 574960 | 566319 |
| Freddie Mac Gold Pool 4.5% 7/1/2052  |  | 303410 | 298850 |
| Freddie Mac Gold Pool 4.5% 8/1/2052  |  | 11592929 | 11418705 |
| Freddie Mac Gold Pool 4.5% 8/1/2052  |  | 10694366 | 10533645 |
| Freddie Mac Gold Pool 4.5% 8/1/2052  |  | 3944893 | 3894483 |
| Freddie Mac Gold Pool 4.5% 8/1/2052  |  | 475715 | 468566 |
| Freddie Mac Gold Pool 4.5% 8/1/2054  |  | 3676349 | 3616504 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  |  | 43806 | 44175 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  |  | 805711 | 812336 |
| Freddie Mac Gold Pool 4.5% 9/1/2042  |  | 535518 | 539934 |
| Freddie Mac Gold Pool 4.5% 9/1/2042  |  | 15915 | 15969 |
| Freddie Mac Gold Pool 4.5% 9/1/2044  |  | 126055 | 126856 |
| Freddie Mac Gold Pool 4.5% 9/1/2046  |  | 160064 | 160394 |
| Freddie Mac Gold Pool 5% 1/1/2035  |  | 5675 | 5788 |
| Freddie Mac Gold Pool 5% 1/1/2040  |  | 12799 | 13116 |
| Freddie Mac Gold Pool 5% 1/1/2041  |  | 12254 | 12573 |
| Freddie Mac Gold Pool 5% 1/1/2053  |  | 826984 | 834531 |
| Freddie Mac Gold Pool 5% 1/1/2053  |  | 39406 | 39594 |
| Freddie Mac Gold Pool 5% 1/1/2053  |  | 34321 | 34484 |
| Freddie Mac Gold Pool 5% 1/1/2055  |  | 23078776 | 23044202 |
| Freddie Mac Gold Pool 5% 10/1/2033  |  | 92160 | 93987 |
| Freddie Mac Gold Pool 5% 10/1/2052  |  | 4842289 | 4897076 |
| Freddie Mac Gold Pool 5% 10/1/2052  |  | 4494070 | 4518234 |
| Freddie Mac Gold Pool 5% 10/1/2052  |  | 22122 | 22338 |
| Freddie Mac Gold Pool 5% 10/1/2053  |  | 9039820 | 9057352 |
| Freddie Mac Gold Pool 5% 10/1/2053  |  | 311062 | 311665 |
| Freddie Mac Gold Pool 5% 11/1/2035  |  | 712219 | 727513 |
| Freddie Mac Gold Pool 5% 11/1/2052  |  | 2933904 | 2947846 |
| Freddie Mac Gold Pool 5% 11/1/2052  |  | 803167 | 812004 |
| Freddie Mac Gold Pool 5% 11/1/2052  |  | 567757 | 575601 |
| Freddie Mac Gold Pool 5% 11/1/2052  |  | 465622 | 471472 |
| Freddie Mac Gold Pool 5% 11/1/2052  |  | 362879 | 367438 |
| Freddie Mac Gold Pool 5% 11/1/2053  |  | 23994351 | 24040885 |
| Freddie Mac Gold Pool 5% 11/1/2053  |  | 6079416 | 6095006 |
| Freddie Mac Gold Pool 5% 11/1/2053  |  | 1162270 | 1179416 |
| Freddie Mac Gold Pool 5% 11/1/2054  |  | 73194173 | 73107394 |
| Freddie Mac Gold Pool 5% 12/1/2047  |  | 107480 | 109930 |
| Freddie Mac Gold Pool 5% 12/1/2052  |  | 1353373 | 1368263 |
| Freddie Mac Gold Pool 5% 12/1/2052  |  | 568348 | 573713 |
| Freddie Mac Gold Pool 5% 12/1/2052  |  | 470869 | 476050 |
| Freddie Mac Gold Pool 5% 12/1/2052  |  | 411593 | 416122 |
| Freddie Mac Gold Pool 5% 12/1/2052  |  | 241930 | 244214 |
| Freddie Mac Gold Pool 5% 12/1/2053  |  | 1133919 | 1138245 |
| Freddie Mac Gold Pool 5% 2/1/2034  |  | 115217 | 117420 |
| Freddie Mac Gold Pool 5% 2/1/2038  |  | 132196 | 135388 |
| Freddie Mac Gold Pool 5% 2/1/2040  |  | 177397 | 179462 |
| Freddie Mac Gold Pool 5% 2/1/2041  |  | 27545 | 28269 |
| Freddie Mac Gold Pool 5% 3/1/2038  |  | 58210 | 59595 |
| Freddie Mac Gold Pool 5% 3/1/2041  |  | 56472 | 57924 |
| Freddie Mac Gold Pool 5% 3/1/2041  |  | 55900 | 57366 |
| Freddie Mac Gold Pool 5% 3/1/2041  |  | 7328 | 7391 |
| Freddie Mac Gold Pool 5% 3/1/2053  |  | 1012904 | 1023098 |
| Freddie Mac Gold Pool 5% 3/1/2053  |  | 952851 | 957677 |
| Freddie Mac Gold Pool 5% 4/1/2040  |  | 1081703 | 1094297 |
| Freddie Mac Gold Pool 5% 4/1/2040  |  | 577556 | 584281 |
| Freddie Mac Gold Pool 5% 4/1/2040  |  | 18678 | 19155 |
| Freddie Mac Gold Pool 5% 4/1/2041  |  | 23057 | 23663 |
| Freddie Mac Gold Pool 5% 4/1/2053  |  | 7520041 | 7548725 |
| Freddie Mac Gold Pool 5% 4/1/2054  |  | 141022 | 143014 |
| Freddie Mac Gold Pool 5% 5/1/2041  |  | 49729 | 51035 |
| Freddie Mac Gold Pool 5% 6/1/2040  |  | 930559 | 941393 |
| Freddie Mac Gold Pool 5% 6/1/2040  |  | 48125 | 49338 |
| Freddie Mac Gold Pool 5% 6/1/2040  |  | 7002 | 7179 |
| Freddie Mac Gold Pool 5% 6/1/2041  |  | 243036 | 249313 |
| Freddie Mac Gold Pool 5% 6/1/2041  |  | 61859 | 63484 |
| Freddie Mac Gold Pool 5% 6/1/2052  |  | 2588726 | 2604263 |
| Freddie Mac Gold Pool 5% 6/1/2052  |  | 1345352 | 1364778 |
| Freddie Mac Gold Pool 5% 6/1/2052  |  | 4997 | 5049 |
| Freddie Mac Gold Pool 5% 7/1/2035  |  | 114239 | 116589 |
| Freddie Mac Gold Pool 5% 7/1/2040  |  | 4017242 | 4064013 |
| Freddie Mac Gold Pool 5% 7/1/2040  |  | 11337 | 11611 |
| Freddie Mac Gold Pool 5% 7/1/2041  |  | 45299 | 46488 |
| Freddie Mac Gold Pool 5% 7/1/2041  |  | 41094 | 42084 |
| Freddie Mac Gold Pool 5% 7/1/2041  |  | 38795 | 39811 |
| Freddie Mac Gold Pool 5% 7/1/2041  |  | 25653 | 26314 |
| Freddie Mac Gold Pool 5% 7/1/2041  |  | 25527 | 26198 |
| Freddie Mac Gold Pool 5% 7/1/2041  |  | 22775 | 23169 |
| Freddie Mac Gold Pool 5% 7/1/2041  |  | 12431 | 12701 |
| Freddie Mac Gold Pool 5% 7/1/2052  |  | 76781 | 77890 |
| Freddie Mac Gold Pool 5% 7/1/2053  |  | 38671 | 38770 |
| Freddie Mac Gold Pool 5% 8/1/2039  |  | 253744 | 260005 |
| Freddie Mac Gold Pool 5% 8/1/2040  |  | 88919 | 91177 |
| Freddie Mac Gold Pool 5% 8/1/2040  |  | 48526 | 49715 |
| Freddie Mac Gold Pool 5% 8/1/2052  |  | 2163447 | 2175079 |
| Freddie Mac Gold Pool 5% 8/1/2052  |  | 187571 | 189220 |
| Freddie Mac Gold Pool 5% 8/1/2053  |  | 9056054 | 9079277 |
| Freddie Mac Gold Pool 5% 9/1/2038  |  | 45067 | 46148 |
| Freddie Mac Gold Pool 5% 9/1/2038  |  | 30132 | 30852 |
| Freddie Mac Gold Pool 5% 9/1/2040  |  | 57822 | 59297 |
| Freddie Mac Gold Pool 5% 9/1/2043  |  | 23087 | 23580 |
| Freddie Mac Gold Pool 5% 9/1/2052  |  | 7502494 | 7542834 |
| Freddie Mac Gold Pool 5% 9/1/2052  |  | 7346 | 7418 |
| Freddie Mac Gold Pool 5% 9/1/2053  |  | 5576819 | 5587634 |
| Freddie Mac Gold Pool 5.5% 1/1/2053  |  | 2149746 | 2191136 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  |  | 19673827 | 19929656 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  |  | 2863858 | 2915418 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  |  | 2248711 | 2318710 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  |  | 7616571 | 7715613 |
| Freddie Mac Gold Pool 5.5% 10/1/2055  |  | 987871 | 1000717 |
| Freddie Mac Gold Pool 5.5% 11/1/2052  |  | 22025014 | 22469721 |
| Freddie Mac Gold Pool 5.5% 11/1/2053  |  | 3415829 | 3467719 |
| Freddie Mac Gold Pool 5.5% 12/1/2038  |  | 15248 | 15914 |
| Freddie Mac Gold Pool 5.5% 12/1/2052  |  | 765164 | 780613 |
| Freddie Mac Gold Pool 5.5% 12/1/2052  |  | 747312 | 762401 |
| Freddie Mac Gold Pool 5.5% 12/1/2054  |  | 28110459 | 28475993 |
| Freddie Mac Gold Pool 5.5% 2/1/2053  |  | 2244874 | 2286693 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  |  | 521388 | 530774 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (w)(x) |  | 10881792 | 11213725 |
| Freddie Mac Gold Pool 5.5% 3/1/2053  |  | 232984 | 237689 |
| Freddie Mac Gold Pool 5.5% 4/1/2054  |  | 1538099 | 1564348 |
| Freddie Mac Gold Pool 5.5% 4/1/2054  |  | 920673 | 933508 |
| Freddie Mac Gold Pool 5.5% 4/1/2055  |  | 1953835 | 1979241 |
| Freddie Mac Gold Pool 5.5% 5/1/2053  |  | 3136531 | 3214563 |
| Freddie Mac Gold Pool 5.5% 5/1/2055  |  | 2922001 | 2959997 |
| Freddie Mac Gold Pool 5.5% 6/1/2041  |  | 54107 | 56338 |
| Freddie Mac Gold Pool 5.5% 6/1/2054  |  | 7497674 | 7596049 |
| Freddie Mac Gold Pool 5.5% 7/1/2054  |  | 9949836 | 10081551 |
| Freddie Mac Gold Pool 5.5% 8/1/2053  |  | 1705936 | 1739314 |
| Freddie Mac Gold Pool 5.5% 8/1/2055  |  | 4393505 | 4516539 |
| Freddie Mac Gold Pool 5.5% 9/1/2052  |  | 1360974 | 1388453 |
| Freddie Mac Gold Pool 5.5% 9/1/2053  |  | 7096510 | 7293019 |
| Freddie Mac Gold Pool 5.5% 9/1/2054  |  | 549315 | 563839 |
| Freddie Mac Gold Pool 6% 1/1/2053  |  | 7356809 | 7564857 |
| Freddie Mac Gold Pool 6% 10/1/2054  |  | 2897525 | 3019534 |
| Freddie Mac Gold Pool 6% 11/1/2038  |  | 486617 | 504698 |
| Freddie Mac Gold Pool 6% 11/1/2053  |  | 1933465 | 1983914 |
| Freddie Mac Gold Pool 6% 11/1/2053  |  | 1235298 | 1269942 |
| Freddie Mac Gold Pool 6% 11/1/2053  |  | 896817 | 920217 |
| Freddie Mac Gold Pool 6% 11/1/2053  |  | 858925 | 888583 |
| Freddie Mac Gold Pool 6% 11/1/2054  |  | 109532 | 112322 |
| Freddie Mac Gold Pool 6% 12/1/2052  |  | 1385879 | 1426046 |
| Freddie Mac Gold Pool 6% 12/1/2054  |  | 4458174 | 4564397 |
| Freddie Mac Gold Pool 6% 2/1/2028  |  | 1257 | 1274 |
| Freddie Mac Gold Pool 6% 2/1/2038  |  | 17932 | 19057 |
| Freddie Mac Gold Pool 6% 2/1/2040  |  | 849422 | 885496 |
| Freddie Mac Gold Pool 6% 2/1/2054  |  | 343533 | 351895 |
| Freddie Mac Gold Pool 6% 3/1/2054  |  | 67525 | 69635 |
| Freddie Mac Gold Pool 6% 4/1/2053  |  | 1120203 | 1151882 |
| Freddie Mac Gold Pool 6% 4/1/2054  |  | 4832054 | 5029481 |
| Freddie Mac Gold Pool 6% 5/1/2054  |  | 3352560 | 3494776 |
| Freddie Mac Gold Pool 6% 7/1/2037  |  | 1027 | 1089 |
| Freddie Mac Gold Pool 6% 7/1/2039  |  | 7748580 | 8036489 |
| Freddie Mac Gold Pool 6% 8/1/2037  |  | 21334 | 22557 |
| Freddie Mac Gold Pool 6% 8/1/2052  |  | 1261949 | 1305820 |
| Freddie Mac Gold Pool 6% 8/1/2053  |  | 7755431 | 7961423 |
| Freddie Mac Gold Pool 6% 8/1/2055  |  | 6359106 | 6631345 |
| Freddie Mac Gold Pool 6% 8/1/2055  |  | 3638412 | 3789628 |
| Freddie Mac Gold Pool 6% 8/1/2055  |  | 2910307 | 2985865 |
| Freddie Mac Gold Pool 6% 9/1/2038  |  | 31344 | 33309 |
| Freddie Mac Gold Pool 6% 9/1/2052  |  | 1939081 | 1998917 |
| Freddie Mac Gold Pool 6% 9/1/2054 (x)(y) |  | 15486525 | 16167667 |
| Freddie Mac Gold Pool 6% 9/1/2054  |  | 14595787 | 15145387 |
| Freddie Mac Gold Pool 6.5% 1/1/2054 (x) |  | 3910036 | 4111530 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  |  | 875490 | 921277 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  |  | 869317 | 914115 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  |  | 862928 | 906319 |
| Freddie Mac Gold Pool 6.5% 12/1/2053  |  | 344477 | 363364 |
| Freddie Mac Gold Pool 6.5% 2/1/2053  |  | 129934 | 135737 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  |  | 316 | 317 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  |  | 3242153 | 3417588 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  |  | 983125 | 1039703 |
| Freddie Mac Gold Pool 6.5% 7/1/2054  |  | 49627 | 51777 |
| Freddie Mac Gold Pool 6.5% 9/1/2039  |  | 181893 | 195132 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  |  | 538466 | 567434 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  |  | 410394 | 431286 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  |  | 1181759 | 1250136 |
| Freddie Mac Gold Pool 7% 1/1/2054  |  | 2187931 | 2318385 |
| Freddie Mac Gold Pool 7% 1/1/2054  |  | 2099203 | 2228467 |
| Freddie Mac Gold Pool 7% 1/1/2054  |  | 1844133 | 1955817 |
| Freddie Mac Gold Pool 7% 1/1/2054  |  | 1199679 | 1273552 |
| Freddie Mac Gold Pool 7% 1/1/2054  |  | 696530 | 738713 |
| Freddie Mac Gold Pool 7% 10/1/2053  |  | 23290 | 24475 |
| Freddie Mac Gold Pool 7% 11/1/2053  |  | 98146 | 104411 |
| Freddie Mac Gold Pool 7% 12/1/2053  |  | 255300 | 268895 |
| Freddie Mac Gold Pool 7% 12/1/2053  |  | 90716 | 95572 |
| Freddie Mac Gold Pool 7% 2/1/2054  |  | 1145718 | 1214030 |
| Freddie Mac Gold Pool 7% 3/1/2054  |  | 43846 | 46638 |
| Freddie Mac Gold Pool 7% 6/1/2054  |  | 1938421 | 2055815 |
| Freddie Mac Gold Pool 7% 6/1/2054  |  | 1915729 | 2036838 |
| Freddie Mac Gold Pool 7% 7/1/2054  |  | 24463 | 25975 |
| Freddie Mac Gold Pool 7% 8/1/2054  |  | 840303 | 893689 |
| Freddie Mac Gold Pool 7% 8/1/2054  |  | 289256 | 309644 |
| Freddie Mac Gold Pool 7% 9/1/2054  |  | 1190041 | 1260996 |
| Freddie Mac Gold Pool 7.5% 1/1/2032  |  | 1157 | 1203 |
| Freddie Mac Gold Pool 7.5% 12/1/2036  |  | 1294 | 1340 |
| Freddie Mac Manufactured Housing participation certificates 5.5% 4/1/2055  |  | 1853212 | 1882522 |
| Freddie Mac Manufactured Housing participation certificates 6% 3/1/2055  |  | 1301083 | 1353429 |
| Freddie Mac Manufactured Housing participation certificates 6% 4/1/2055  |  | 2281592 | 2372675 |
| Freddie Mac Manufactured Housing participation certificates 6% 4/1/2055  |  | 423141 | 435702 |
| Freddie Mac Manufactured Housing participation certificates 6% 5/1/2055  |  | 865322 | 891010 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  |  | 1007721 | 1064847 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  |  | 900165 | 951757 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  |  | 287069 | 304868 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 6/1/2055  |  | 2048512 | 2166561 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.808%, 6.556% 10/1/2037 (c)(d) |  | 1078 | 1116 |
| Freddie Mac Non Gold Pool 2% 2/1/2052  |  | 338032 | 278336 |
| Freddie Mac Non Gold Pool 4% 9/1/2040  |  | 388360 | 382895 |
| Freddie Mac Non Gold Pool 4.5% 10/1/2053  |  | 3851440 | 3792355 |
| Freddie Mac Non Gold Pool 5% 5/1/2053  |  | 1033737 | 1044464 |
| Freddie Mac Non Gold Pool 5% 5/1/2053  |  | 573416 | 576140 |
| Freddie Mac Non Gold Pool 5% 7/1/2053  |  | 5613046 | 5678309 |
| Freddie Mac Non Gold Pool 5% 8/1/2053  |  | 1035502 | 1043335 |
| Freddie Mac Non Gold Pool 5.5% 5/1/2053  |  | 4049179 | 4160039 |
| Freddie Mac Non Gold Pool 5.5% 6/1/2053  |  | 1984698 | 2036555 |
| Freddie Mac Non Gold Pool 5.5% 7/1/2053  |  | 2958343 | 3034716 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  |  | 4170123 | 4282992 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  |  | 1711344 | 1745898 |
| Freddie Mac Non Gold Pool 5.5% 9/1/2054  |  | 1427636 | 1461815 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 3.645%, 8.27% 10/1/2035 (c)(d) |  | 19 | 19 |
| Freddie Mac Non Gold Pool 6% 11/1/2054  |  | 1513114 | 1572927 |
| Freddie Mac Non Gold Pool 6% 4/1/2054  |  | 551738 | 569108 |
| Freddie Mac Non Gold Pool 6% 4/1/2054  |  | 310048 | 319809 |
| Freddie Mac Non Gold Pool 6% 5/1/2054  |  | 872686 | 900161 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  |  | 621938 | 646329 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  |  | 544579 | 564915 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  |  | 349206 | 362791 |
| Freddie Mac Non Gold Pool 6% 6/1/2054  |  | 946070 | 975855 |
| Freddie Mac Non Gold Pool 6% 6/1/2054  |  | 464503 | 479127 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  |  | 1744908 | 1813338 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  |  | 1038966 | 1079387 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  |  | 1675287 | 1733134 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  |  | 1626568 | 1709373 |
| Freddie Mac Non Gold Pool 6.5% 9/1/2053  |  | 277465 | 289488 |
| Ginnie Mae 6.5% 6/20/2053  |  | 1197717 | 1263912 |
| Ginnie Mae 6.5% 7/20/2053  |  | 1444093 | 1523904 |
| Ginnie Mae I & II 6.5% 8/20/2055  |  | 2681898 | 2843194 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.567%, 5.673% 3/20/2072 (c)(d)(m) |  | 590217 | 614537 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.645%, 5.733% 4/20/2072 (c)(d)(m) |  | 973742 | 1017833 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.655%, 5.755% 3/20/2072 (c)(d)(m) |  | 583498 | 609988 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.69%, 5.783% 3/20/2072 (c)(d)(m) |  | 1382139 | 1446702 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.704%, 5.8% 3/20/2072 (c)(d)(m) |  | 360486 | 377337 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.705%, 5.791% 2/20/2072 (c)(d)(m) |  | 1054434 | 1103417 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.732%, 5.834% 3/20/2072 (c)(d)(m) |  | 394944 | 413039 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.741%, 5.826% 3/20/2072 (c)(d)(m) |  | 882761 | 926762 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.745%, 5.849% 4/20/2072 (c)(d)(m) |  | 602986 | 633716 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.76%, 5.881% 3/20/2072 (c)(d)(m) |  | 976738 | 1026012 |
| Ginnie Mae I Pool 2.5% 1/20/2052  |  | 1984734 | 1709929 |
| Ginnie Mae I Pool 2.5% 12/20/2051  |  | 3099339 | 2670207 |
| Ginnie Mae I Pool 2.5% 12/20/2051  |  | 2071568 | 1784093 |
| Ginnie Mae I Pool 2.5% 12/20/2051  |  | 1648390 | 1420155 |
| Ginnie Mae I Pool 2.5% 8/20/2051  |  | 1761939 | 1518533 |
| Ginnie Mae I Pool 2.5% 9/20/2051  |  | 1557889 | 1341697 |
| Ginnie Mae I Pool 2.828% 7/20/2071 (d)(m) |  | 2732564 | 2474360 |
| Ginnie Mae I Pool 2.893% 8/20/2071 (d)(m) |  | 1087339 | 985439 |
| Ginnie Mae I Pool 2.954% 5/20/2071 (d)(m) |  | 1377976 | 1250162 |
| Ginnie Mae I Pool 2.962% 6/20/2071 (d) |  | 619415 | 562345 |
| Ginnie Mae I Pool 3% 10/20/2054  |  | 5518970 | 4991183 |
| Ginnie Mae I Pool 3% 11/15/2042  |  | 147141 | 136128 |
| Ginnie Mae I Pool 3% 12/15/2042  |  | 42641 | 39435 |
| Ginnie Mae I Pool 3% 12/20/2042  |  | 377284 | 349423 |
| Ginnie Mae I Pool 3% 2/20/2050  |  | 1230321 | 1110165 |
| Ginnie Mae I Pool 3% 2/20/2052  |  | 292755 | 259864 |
| Ginnie Mae I Pool 3% 3/15/2045  |  | 144465 | 132551 |
| Ginnie Mae I Pool 3% 3/20/2043  |  | 244972 | 226978 |
| Ginnie Mae I Pool 3% 3/20/2043  |  | 100692 | 93361 |
| Ginnie Mae I Pool 3% 3/20/2053  |  | 333923 | 303372 |
| Ginnie Mae I Pool 3% 4/15/2043  |  | 134895 | 124754 |
| Ginnie Mae I Pool 3% 4/20/2053  |  | 1874294 | 1705742 |
| Ginnie Mae I Pool 3% 7/20/2052  |  | 8460739 | 7643694 |
| Ginnie Mae I Pool 3% 8/15/2045  |  | 315089 | 288057 |
| Ginnie Mae I Pool 3.042% 7/20/2071 (d)(m) |  | 1329812 | 1211751 |
| Ginnie Mae I Pool 3.5% 1/15/2042  |  | 291586 | 277290 |
| Ginnie Mae I Pool 3.5% 1/15/2042  |  | 10855 | 10337 |
| Ginnie Mae I Pool 3.5% 10/20/2052  |  | 6212901 | 5763983 |
| Ginnie Mae I Pool 3.5% 11/15/2041  |  | 67735 | 64732 |
| Ginnie Mae I Pool 3.5% 11/15/2041  |  | 26859 | 25583 |
| Ginnie Mae I Pool 3.5% 11/15/2043  |  | 309022 | 292115 |
| Ginnie Mae I Pool 3.5% 12/20/2049  |  | 66012 | 61093 |
| Ginnie Mae I Pool 3.5% 12/20/2049  |  | 30262 | 27940 |
| Ginnie Mae I Pool 3.5% 12/20/2049  |  | 23574 | 21825 |
| Ginnie Mae I Pool 3.5% 12/20/2049  |  | 7091 | 6558 |
| Ginnie Mae I Pool 3.5% 2/15/2042  |  | 161116 | 152644 |
| Ginnie Mae I Pool 3.5% 2/15/2042  |  | 69033 | 65780 |
| Ginnie Mae I Pool 3.5% 2/15/2042  |  | 59458 | 56668 |
| Ginnie Mae I Pool 3.5% 2/15/2042  |  | 43699 | 41631 |
| Ginnie Mae I Pool 3.5% 2/15/2042  |  | 30895 | 29481 |
| Ginnie Mae I Pool 3.5% 2/20/2043  |  | 857412 | 815636 |
| Ginnie Mae I Pool 3.5% 3/15/2042  |  | 1435381 | 1364025 |
| Ginnie Mae I Pool 3.5% 3/15/2042  |  | 45616 | 43528 |
| Ginnie Mae I Pool 3.5% 3/15/2042  |  | 30279 | 28915 |
| Ginnie Mae I Pool 3.5% 3/15/2042  |  | 15246 | 14516 |
| Ginnie Mae I Pool 3.5% 3/15/2042  |  | 8188 | 7796 |
| Ginnie Mae I Pool 3.5% 3/15/2043  |  | 302860 | 287000 |
| Ginnie Mae I Pool 3.5% 3/20/2043  |  | 367908 | 349982 |
| Ginnie Mae I Pool 3.5% 3/20/2052  |  | 368354 | 334250 |
| Ginnie Mae I Pool 3.5% 4/20/2053  |  | 5427136 | 5015067 |
| Ginnie Mae I Pool 3.5% 5/15/2042  |  | 106457 | 101505 |
| Ginnie Mae I Pool 3.5% 5/15/2042  |  | 79570 | 75852 |
| Ginnie Mae I Pool 3.5% 5/15/2043  |  | 63161 | 59915 |
| Ginnie Mae I Pool 3.5% 5/20/2046  |  | 74994 | 69968 |
| Ginnie Mae I Pool 3.5% 5/20/2046  |  | 49584 | 46261 |
| Ginnie Mae I Pool 3.5% 5/20/2046  |  | 37660 | 35136 |
| Ginnie Mae I Pool 3.5% 5/20/2046  |  | 36547 | 34098 |
| Ginnie Mae I Pool 3.5% 5/20/2046  |  | 32261 | 30099 |
| Ginnie Mae I Pool 3.5% 5/20/2046  |  | 20056 | 18681 |
| Ginnie Mae I Pool 3.5% 5/20/2053  |  | 1502735 | 1388636 |
| Ginnie Mae I Pool 3.5% 6/20/2046  |  | 177858 | 165938 |
| Ginnie Mae I Pool 3.5% 6/20/2046  |  | 48473 | 45225 |
| Ginnie Mae I Pool 3.5% 6/20/2046  |  | 47328 | 44156 |
| Ginnie Mae I Pool 3.5% 6/20/2046  |  | 44885 | 41877 |
| Ginnie Mae I Pool 3.5% 6/20/2046  |  | 43398 | 40490 |
| Ginnie Mae I Pool 3.5% 6/20/2046  |  | 31459 | 29351 |
| Ginnie Mae I Pool 3.5% 6/20/2046  |  | 25462 | 23756 |
| Ginnie Mae I Pool 3.5% 6/20/2046  |  | 17135 | 15986 |
| Ginnie Mae I Pool 3.5% 7/15/2043  |  | 171826 | 162498 |
| Ginnie Mae I Pool 3.5% 7/20/2046  |  | 4962120 | 4629552 |
| Ginnie Mae I Pool 3.5% 7/20/2046  |  | 45129 | 42105 |
| Ginnie Mae I Pool 3.5% 7/20/2052  |  | 9302821 | 8640087 |
| Ginnie Mae I Pool 3.5% 8/20/2052  |  | 5402691 | 5017803 |
| Ginnie Mae I Pool 3.5% 9/15/2043  |  | 470580 | 445131 |
| Ginnie Mae I Pool 3.5% 9/20/2052  |  | 9221821 | 8564858 |
| Ginnie Mae I Pool 3.75% 6/20/2046  |  | 28618 | 27150 |
| Ginnie Mae I Pool 3.75% 7/20/2046  |  | 51810 | 49153 |
| Ginnie Mae I Pool 4% 1/15/2042  |  | 13630 | 13280 |
| Ginnie Mae I Pool 4% 1/15/2043  |  | 47377 | 46092 |
| Ginnie Mae I Pool 4% 1/15/2047  |  | 19515 | 18785 |
| Ginnie Mae I Pool 4% 1/15/2047  |  | 18822 | 18117 |
| Ginnie Mae I Pool 4% 1/15/2047  |  | 14467 | 13925 |
| Ginnie Mae I Pool 4% 1/15/2047  |  | 6890 | 6632 |
| Ginnie Mae I Pool 4% 1/20/2048  |  | 91222 | 87435 |
| Ginnie Mae I Pool 4% 10/15/2040  |  | 87791 | 85766 |
| Ginnie Mae I Pool 4% 10/15/2040  |  | 8391 | 8195 |
| Ginnie Mae I Pool 4% 10/15/2041  |  | 254036 | 247534 |
| Ginnie Mae I Pool 4% 10/15/2041  |  | 95600 | 93296 |
| Ginnie Mae I Pool 4% 10/15/2041  |  | 93571 | 91269 |
| Ginnie Mae I Pool 4% 10/15/2041  |  | 54899 | 53502 |
| Ginnie Mae I Pool 4% 10/15/2041  |  | 33193 | 32311 |
| Ginnie Mae I Pool 4% 10/15/2041  |  | 9774 | 9542 |
| Ginnie Mae I Pool 4% 10/15/2041  |  | 7017 | 6831 |
| Ginnie Mae I Pool 4% 10/20/2052  |  | 16854364 | 16140169 |
| Ginnie Mae I Pool 4% 11/15/2041  |  | 248301 | 242157 |
| Ginnie Mae I Pool 4% 11/15/2042  |  | 16608 | 16162 |
| Ginnie Mae I Pool 4% 11/20/2042  |  | 32390 | 31473 |
| Ginnie Mae I Pool 4% 11/20/2052  |  | 2417797 | 2316100 |
| Ginnie Mae I Pool 4% 12/15/2040  |  | 1519807 | 1483006 |
| Ginnie Mae I Pool 4% 12/15/2040  |  | 43942 | 42842 |
| Ginnie Mae I Pool 4% 12/15/2041  |  | 115940 | 113120 |
| Ginnie Mae I Pool 4% 12/15/2041  |  | 79470 | 77425 |
| Ginnie Mae I Pool 4% 12/15/2041  |  | 41203 | 40154 |
| Ginnie Mae I Pool 4% 12/15/2041  |  | 5363 | 5229 |
| Ginnie Mae I Pool 4% 12/15/2042  |  | 13823 | 13465 |
| Ginnie Mae I Pool 4% 12/15/2046  |  | 3732 | 3598 |
| Ginnie Mae I Pool 4% 12/20/2043  |  | 249565 | 242227 |
| Ginnie Mae I Pool 4% 12/20/2047  |  | 90531 | 86773 |
| Ginnie Mae I Pool 4% 12/20/2052  |  | 1211814 | 1160086 |
| Ginnie Mae I Pool 4% 2/15/2041  |  | 34319 | 33511 |
| Ginnie Mae I Pool 4% 2/15/2042  |  | 26812 | 26126 |
| Ginnie Mae I Pool 4% 3/15/2041  |  | 15829 | 15458 |
| Ginnie Mae I Pool 4% 3/15/2042  |  | 127376 | 124062 |
| Ginnie Mae I Pool 4% 3/15/2042  |  | 25338 | 24658 |
| Ginnie Mae I Pool 4% 4/15/2042  |  | 31007 | 30192 |
| Ginnie Mae I Pool 4% 4/15/2043  |  | 9803 | 9555 |
| Ginnie Mae I Pool 4% 4/15/2046  |  | 1926873 | 1867555 |
| Ginnie Mae I Pool 4% 4/20/2047  |  | 1441689 | 1384540 |
| Ginnie Mae I Pool 4% 4/20/2047  |  | 1315902 | 1263740 |
| Ginnie Mae I Pool 4% 4/20/2048  |  | 301816 | 289757 |
| Ginnie Mae I Pool 4% 4/20/2048  |  | 276972 | 265906 |
| Ginnie Mae I Pool 4% 4/20/2052  |  | 242159 | 230517 |
| Ginnie Mae I Pool 4% 5/15/2042  |  | 3614 | 3584 |
| Ginnie Mae I Pool 4% 5/20/2049  |  | 615164 | 587511 |
| Ginnie Mae I Pool 4% 6/15/2041  |  | 26915 | 26253 |
| Ginnie Mae I Pool 4% 6/15/2041  |  | 16358 | 15932 |
| Ginnie Mae I Pool 4% 6/20/2046  |  | 23199 | 22293 |
| Ginnie Mae I Pool 4% 6/20/2049  |  | 178473 | 170196 |
| Ginnie Mae I Pool 4% 7/15/2041  |  | 9525 | 9288 |
| Ginnie Mae I Pool 4% 7/15/2046  |  | 92647 | 89323 |
| Ginnie Mae I Pool 4% 7/15/2046  |  | 13097 | 12627 |
| Ginnie Mae I Pool 4% 7/15/2046  |  | 10524 | 10146 |
| Ginnie Mae I Pool 4% 8/15/2040  |  | 67900 | 66341 |
| Ginnie Mae I Pool 4% 8/15/2041  |  | 223475 | 217913 |
| Ginnie Mae I Pool 4% 8/15/2041  |  | 10705 | 10455 |
| Ginnie Mae I Pool 4% 8/15/2043  |  | 14903 | 14459 |
| Ginnie Mae I Pool 4% 8/15/2046  |  | 55103 | 53126 |
| Ginnie Mae I Pool 4% 8/20/2052  |  | 6748565 | 6471034 |
| Ginnie Mae I Pool 4% 9/15/2041  |  | 116438 | 113524 |
| Ginnie Mae I Pool 4% 9/15/2041  |  | 11384 | 11080 |
| Ginnie Mae I Pool 4% 9/15/2041  |  | 1402 | 1371 |
| Ginnie Mae I Pool 4.5% 1/15/2040  |  | 15816 | 15861 |
| Ginnie Mae I Pool 4.5% 1/20/2053  |  | 413544 | 407059 |
| Ginnie Mae I Pool 4.5% 10/20/2048  |  | 102468 | 101782 |
| Ginnie Mae I Pool 4.5% 10/20/2052  |  | 11427816 | 11262895 |
| Ginnie Mae I Pool 4.5% 10/20/2054  |  | 8659097 | 8484750 |
| Ginnie Mae I Pool 4.5% 11/20/2047  |  | 95402 | 94942 |
| Ginnie Mae I Pool 4.5% 2/15/2040  |  | 1269 | 1273 |
| Ginnie Mae I Pool 4.5% 2/20/2049  |  | 55323 | 54953 |
| Ginnie Mae I Pool 4.5% 3/15/2040  |  | 19297 | 19350 |
| Ginnie Mae I Pool 4.5% 3/15/2041  |  | 313079 | 313790 |
| Ginnie Mae I Pool 4.5% 3/15/2041  |  | 250908 | 251581 |
| Ginnie Mae I Pool 4.5% 3/15/2041  |  | 21630 | 21689 |
| Ginnie Mae I Pool 4.5% 3/15/2041  |  | 8178 | 8200 |
| Ginnie Mae I Pool 4.5% 3/20/2048  |  | 48142 | 47865 |
| Ginnie Mae I Pool 4.5% 3/20/2048  |  | 36060 | 35853 |
| Ginnie Mae I Pool 4.5% 4/15/2040  |  | 18009 | 18060 |
| Ginnie Mae I Pool 4.5% 4/15/2040  |  | 3221 | 3230 |
| Ginnie Mae I Pool 4.5% 4/15/2041  |  | 37478 | 37569 |
| Ginnie Mae I Pool 4.5% 4/20/2048  |  | 118226 | 117545 |
| Ginnie Mae I Pool 4.5% 4/20/2053  |  | 7661561 | 7540818 |
| Ginnie Mae I Pool 4.5% 5/15/2039  |  | 7663 | 7685 |
| Ginnie Mae I Pool 4.5% 5/15/2046  |  | 13545 | 13505 |
| Ginnie Mae I Pool 4.5% 6/15/2040  |  | 56132 | 56289 |
| Ginnie Mae I Pool 4.5% 6/15/2040  |  | 51567 | 51707 |
| Ginnie Mae I Pool 4.5% 6/15/2040  |  | 42131 | 42248 |
| Ginnie Mae I Pool 4.5% 6/20/2049  |  | 110949 | 110171 |
| Ginnie Mae I Pool 4.5% 7/15/2040  |  | 102337 | 102619 |
| Ginnie Mae I Pool 4.5% 7/15/2040  |  | 31837 | 31924 |
| Ginnie Mae I Pool 4.5% 7/15/2040  |  | 29749 | 29829 |
| Ginnie Mae I Pool 4.5% 7/15/2040  |  | 25177 | 25244 |
| Ginnie Mae I Pool 4.5% 7/15/2040  |  | 8693 | 8716 |
| Ginnie Mae I Pool 4.5% 7/15/2040  |  | 2911 | 2918 |
| Ginnie Mae I Pool 4.5% 7/20/2048  |  | 181235 | 180022 |
| Ginnie Mae I Pool 4.5% 7/20/2049  |  | 148934 | 147890 |
| Ginnie Mae I Pool 4.5% 7/20/2049  |  | 126686 | 125798 |
| Ginnie Mae I Pool 4.5% 7/20/2049  |  | 74052 | 73533 |
| Ginnie Mae I Pool 4.5% 7/20/2049  |  | 72314 | 71807 |
| Ginnie Mae I Pool 4.5% 7/20/2049  |  | 67526 | 67053 |
| Ginnie Mae I Pool 4.5% 7/20/2049  |  | 44395 | 44084 |
| Ginnie Mae I Pool 4.5% 7/20/2049  |  | 19235 | 19100 |
| Ginnie Mae I Pool 4.5% 7/20/2052  |  | 2778769 | 2738667 |
| Ginnie Mae I Pool 4.5% 8/15/2040  |  | 56965 | 57120 |
| Ginnie Mae I Pool 4.5% 8/20/2049  |  | 237078 | 235416 |
| Ginnie Mae I Pool 4.5% 8/20/2052  |  | 16297922 | 16062719 |
| Ginnie Mae I Pool 4.5% 9/15/2040  |  | 37358 | 37454 |
| Ginnie Mae I Pool 4.5% 9/20/2052  |  | 788393 | 777016 |
| Ginnie Mae I Pool 5% 1/20/2035  |  | 765763 | 778978 |
| Ginnie Mae I Pool 5% 10/15/2039  |  | 26392 | 26960 |
| Ginnie Mae I Pool 5% 10/20/2038  |  | 9794 | 9991 |
| Ginnie Mae I Pool 5% 11/20/2052  |  | 4796347 | 4828378 |
| Ginnie Mae I Pool 5% 12/15/2039  |  | 33659 | 34388 |
| Ginnie Mae I Pool 5% 12/20/2048  |  | 67558 | 68516 |
| Ginnie Mae I Pool 5% 2/20/2049  |  | 65720 | 66652 |
| Ginnie Mae I Pool 5% 4/15/2040  |  | 235063 | 240144 |
| Ginnie Mae I Pool 5% 4/15/2041  |  | 18082 | 18485 |
| Ginnie Mae I Pool 5% 4/15/2041  |  | 9822 | 10033 |
| Ginnie Mae I Pool 5% 4/15/2041  |  | 6278 | 6418 |
| Ginnie Mae I Pool 5% 4/15/2049  |  | 64265 | 65257 |
| Ginnie Mae I Pool 5% 4/20/2048  |  | 2287920 | 2340085 |
| Ginnie Mae I Pool 5% 4/20/2048  |  | 42069 | 42744 |
| Ginnie Mae I Pool 5% 5/15/2040  |  | 31580 | 32252 |
| Ginnie Mae I Pool 5% 6/15/2040  |  | 18108 | 18500 |
| Ginnie Mae I Pool 5% 6/20/2048  |  | 79447 | 80573 |
| Ginnie Mae I Pool 5% 6/20/2049  |  | 109773 | 111193 |
| Ginnie Mae I Pool 5% 6/20/2063  |  | 532144 | 531041 |
| Ginnie Mae I Pool 5% 7/15/2039  |  | 19643 | 20056 |
| Ginnie Mae I Pool 5% 7/15/2040  |  | 18386 | 18787 |
| Ginnie Mae I Pool 5% 7/20/2049  |  | 25584 | 25915 |
| Ginnie Mae I Pool 5% 8/15/2039  |  | 25257 | 25795 |
| Ginnie Mae I Pool 5% 8/15/2040  |  | 52939 | 54089 |
| Ginnie Mae I Pool 5% 8/15/2040  |  | 48053 | 49103 |
| Ginnie Mae I Pool 5% 8/20/2048  |  | 63736 | 64639 |
| Ginnie Mae I Pool 5% 8/20/2052  |  | 2673834 | 2691691 |
| Ginnie Mae I Pool 5% 9/15/2039  |  | 22547 | 23030 |
| Ginnie Mae I Pool 5% 9/15/2040  |  | 29273 | 29906 |
| Ginnie Mae I Pool 5% 9/15/2040  |  | 21805 | 22283 |
| Ginnie Mae I Pool 5% 9/15/2041  |  | 29406 | 30035 |
| Ginnie Mae I Pool 5% 9/20/2052  |  | 3191097 | 3212407 |
| Ginnie Mae I Pool 5.5% 1/15/2037  |  | 594 | 603 |
| Ginnie Mae I Pool 5.5% 11/20/2052  |  | 1072425 | 1091385 |
| Ginnie Mae I Pool 5.5% 5/20/2053  |  | 5115923 | 5195983 |
| Ginnie Mae I Pool 5.5% 6/15/2036  |  | 4780 | 4919 |
| Ginnie Mae I Pool 5.5% 6/20/2063  |  | 363281 | 367632 |
| Ginnie Mae I Pool 5.5% 7/20/2053  |  | 2663084 | 2740086 |
| Ginnie Mae I Pool 5.5% 7/20/2053  |  | 2031846 | 2090596 |
| Ginnie Mae I Pool 5.5% 9/15/2038  |  | 30066 | 31082 |
| Ginnie Mae I Pool 5.5% 9/20/2052  |  | 1377571 | 1403218 |
| Ginnie Mae I Pool 5.5% 9/20/2054  |  | 15469139 | 15639914 |
| Ginnie Mae I Pool 6% 10/20/2033  |  | 2522 | 2621 |
| Ginnie Mae I Pool 6% 11/20/2032  |  | 3598 | 3721 |
| Ginnie Mae I Pool 6% 12/20/2052  |  | 5890576 | 6052097 |
| Ginnie Mae I Pool 6% 3/20/2035  |  | 2696 | 2811 |
| Ginnie Mae I Pool 6% 4/20/2036  |  | 306 | 309 |
| Ginnie Mae I Pool 6% 6/20/2053  |  | 794316 | 833596 |
| Ginnie Mae I Pool 6% 6/20/2053  |  | 741126 | 760290 |
| Ginnie Mae I Pool 6% 6/20/2063  |  | 639105 | 653135 |
| Ginnie Mae I Pool 6% 7/20/2053  |  | 1104696 | 1144480 |
| Ginnie Mae I Pool 6% 8/15/2036  |  | 33337 | 34768 |
| Ginnie Mae I Pool 6% 9/20/2054  |  | 923285 | 941173 |
| Ginnie Mae I Pool 7% 6/20/2032  |  | 2663 | 2750 |
| Ginnie Mae I Pool 7% 8/20/2055  |  | 2241795 | 2305032 |
| Ginnie Mae I Pool 7% 8/20/2055  |  | 1389268 | 1427588 |
| Ginnie Mae II Pool 2% 1/1/2056 (f) |  | 67000 | 55933 |
| Ginnie Mae II Pool 2% 1/20/2051  |  | 38035964 | 31720895 |
| Ginnie Mae II Pool 2% 1/20/2052  |  | 2729786 | 2276563 |
| Ginnie Mae II Pool 2% 10/20/2050  |  | 24720062 | 20626632 |
| Ginnie Mae II Pool 2% 10/20/2051  |  | 364749 | 304076 |
| Ginnie Mae II Pool 2% 11/20/2050  |  | 7267174 | 6065155 |
| Ginnie Mae II Pool 2% 11/20/2051  |  | 1752495 | 1460982 |
| Ginnie Mae II Pool 2% 12/1/2055 (f) |  | 49736000 | 41444074 |
| Ginnie Mae II Pool 2% 12/20/2050  |  | 27356353 | 22812271 |
| Ginnie Mae II Pool 2% 12/20/2051  |  | 8319881 | 6938541 |
| Ginnie Mae II Pool 2% 2/20/2051  |  | 6089125 | 5076490 |
| Ginnie Mae II Pool 2% 2/20/2052  |  | 9236820 | 7703241 |
| Ginnie Mae II Pool 2% 3/20/2051  |  | 3498525 | 2917669 |
| Ginnie Mae II Pool 2% 3/20/2052  |  | 27948679 | 23308391 |
| Ginnie Mae II Pool 2% 4/20/2051  |  | 552901 | 460931 |
| Ginnie Mae II Pool 2% 4/20/2052  |  | 12240432 | 10208166 |
| Ginnie Mae II Pool 2% 5/20/2051  |  | 1475171 | 1229789 |
| Ginnie Mae II Pool 2% 7/20/2051  |  | 2484592 | 2071301 |
| Ginnie Mae II Pool 2% 8/20/2051  |  | 40051 | 33389 |
| Ginnie Mae II Pool 2% 9/20/2050  |  | 5965143 | 4984077 |
| Ginnie Mae II Pool 2% 9/20/2051  |  | 4474532 | 3730232 |
| Ginnie Mae II Pool 2.5% 1/1/2056 (f) |  | 77000 | 66904 |
| Ginnie Mae II Pool 2.5% 11/20/2049  |  | 241600 | 211470 |
| Ginnie Mae II Pool 2.5% 11/20/2051  |  | 2248761 | 1952859 |
| Ginnie Mae II Pool 2.5% 12/1/2055 (f) |  | 69992000 | 60750872 |
| Ginnie Mae II Pool 2.5% 12/20/2046  |  | 355287 | 314183 |
| Ginnie Mae II Pool 2.5% 12/20/2050  |  | 763043 | 662758 |
| Ginnie Mae II Pool 2.5% 12/20/2051  |  | 9461322 | 8217839 |
| Ginnie Mae II Pool 2.5% 2/20/2052  |  | 25115456 | 21816541 |
| Ginnie Mae II Pool 2.5% 3/20/2051  |  | 11251592 | 9774574 |
| Ginnie Mae II Pool 2.5% 3/20/2052  |  | 6216176 | 5399682 |
| Ginnie Mae II Pool 2.5% 4/20/2051  |  | 1168994 | 1015172 |
| Ginnie Mae II Pool 2.5% 4/20/2052  |  | 22345208 | 19413655 |
| Ginnie Mae II Pool 2.5% 5/20/2052  |  | 11277382 | 9797860 |
| Ginnie Mae II Pool 2.5% 6/20/2051  |  | 2080752 | 1806957 |
| Ginnie Mae II Pool 2.5% 6/20/2052  |  | 2280189 | 1981755 |
| Ginnie Mae II Pool 2.5% 6/20/2054  |  | 62458 | 54337 |
| Ginnie Mae II Pool 2.5% 7/20/2051  |  | 4922708 | 4274956 |
| Ginnie Mae II Pool 2.5% 7/20/2054  |  | 678310 | 590115 |
| Ginnie Mae II Pool 2.5% 8/20/2046  |  | 101894 | 90304 |
| Ginnie Mae II Pool 2.5% 8/20/2051  |  | 9902960 | 8599885 |
| Ginnie Mae II Pool 2.5% 9/20/2051  |  | 17779401 | 15439909 |
| Ginnie Mae II Pool 3% 1/1/2056 (f) |  | 47000 | 42401 |
| Ginnie Mae II Pool 3% 1/20/2043  |  | 2924532 | 2721021 |
| Ginnie Mae II Pool 3% 1/20/2044  |  | 737920 | 685035 |
| Ginnie Mae II Pool 3% 1/20/2055  |  | 9215568 | 8331390 |
| Ginnie Mae II Pool 3% 10/20/2046  |  | 2352109 | 2153267 |
| Ginnie Mae II Pool 3% 10/20/2051  |  | 130456 | 117756 |
| Ginnie Mae II Pool 3% 12/1/2055 (f) |  | 16128000 | 14551740 |
| Ginnie Mae II Pool 3% 12/20/2042  |  | 1007226 | 937109 |
| Ginnie Mae II Pool 3% 12/20/2046  |  | 1476552 | 1351728 |
| Ginnie Mae II Pool 3% 12/20/2049  |  | 857895 | 777059 |
| Ginnie Mae II Pool 3% 12/20/2051  |  | 1076493 | 971864 |
| Ginnie Mae II Pool 3% 2/20/2043  |  | 354274 | 329523 |
| Ginnie Mae II Pool 3% 2/20/2047  |  | 426478 | 390425 |
| Ginnie Mae II Pool 3% 2/20/2052  |  | 1503634 | 1357490 |
| Ginnie Mae II Pool 3% 3/20/2045  |  | 123749 | 114098 |
| Ginnie Mae II Pool 3% 3/20/2050  |  | 1422041 | 1287160 |
| Ginnie Mae II Pool 3% 4/20/2043  |  | 194692 | 180972 |
| Ginnie Mae II Pool 3% 4/20/2045  |  | 63199 | 58254 |
| Ginnie Mae II Pool 3% 4/20/2046  |  | 338218 | 309837 |
| Ginnie Mae II Pool 3% 4/20/2052  |  | 8745186 | 7895206 |
| Ginnie Mae II Pool 3% 5/20/2045  |  | 70389 | 64844 |
| Ginnie Mae II Pool 3% 5/20/2046  |  | 495580 | 453994 |
| Ginnie Mae II Pool 3% 5/20/2052  |  | 24520628 | 22137370 |
| Ginnie Mae II Pool 3% 6/20/2045  |  | 67614 | 62271 |
| Ginnie Mae II Pool 3% 6/20/2051  |  | 2098565 | 1894925 |
| Ginnie Mae II Pool 3% 7/20/2045  |  | 72487 | 66740 |
| Ginnie Mae II Pool 3% 7/20/2046  |  | 639885 | 586191 |
| Ginnie Mae II Pool 3% 7/20/2049  |  | 561571 | 509885 |
| Ginnie Mae II Pool 3% 7/20/2051  |  | 5422338 | 4897861 |
| Ginnie Mae II Pool 3% 8/20/2042  |  | 112550 | 104815 |
| Ginnie Mae II Pool 3% 8/20/2045  |  | 248901 | 229091 |
| Ginnie Mae II Pool 3% 8/20/2051  |  | 9262499 | 8366582 |
| Ginnie Mae II Pool 3% 9/20/2042  |  | 296869 | 276423 |
| Ginnie Mae II Pool 3% 9/20/2045  |  | 239693 | 220608 |
| Ginnie Mae II Pool 3% 9/20/2046  |  | 780058 | 714601 |
| Ginnie Mae II Pool 3% 9/20/2049  |  | 520453 | 471901 |
| Ginnie Mae II Pool 3% 9/20/2051  |  | 23321450 | 21065678 |
| Ginnie Mae II Pool 3.5% 1/1/2056 (f) |  | 106000 | 97215 |
| Ginnie Mae II Pool 3.5% 1/20/2048  |  | 172182 | 161288 |
| Ginnie Mae II Pool 3.5% 1/20/2052  |  | 17078440 | 15867107 |
| Ginnie Mae II Pool 3.5% 10/20/2040  |  | 102222 | 97750 |
| Ginnie Mae II Pool 3.5% 10/20/2041  |  | 327016 | 312130 |
| Ginnie Mae II Pool 3.5% 10/20/2042  |  | 64544 | 61469 |
| Ginnie Mae II Pool 3.5% 10/20/2044  |  | 909648 | 861332 |
| Ginnie Mae II Pool 3.5% 10/20/2045  |  | 77681 | 73367 |
| Ginnie Mae II Pool 3.5% 10/20/2049  |  | 1132298 | 1054995 |
| Ginnie Mae II Pool 3.5% 10/20/2051  |  | 4025498 | 3731802 |
| Ginnie Mae II Pool 3.5% 11/20/2042  |  | 169909 | 161779 |
| Ginnie Mae II Pool 3.5% 11/20/2046  |  | 91497 | 85994 |
| Ginnie Mae II Pool 3.5% 11/20/2047  |  | 245232 | 229870 |
| Ginnie Mae II Pool 3.5% 12/1/2055 (f) |  | 32246000 | 29575628 |
| Ginnie Mae II Pool 3.5% 12/20/2041  |  | 1191698 | 1137613 |
| Ginnie Mae II Pool 3.5% 12/20/2042  |  | 1946323 | 1853175 |
| Ginnie Mae II Pool 3.5% 12/20/2046  |  | 841174 | 790580 |
| Ginnie Mae II Pool 3.5% 12/20/2047  |  | 870077 | 815570 |
| Ginnie Mae II Pool 3.5% 12/20/2051  |  | 12680037 | 11780672 |
| Ginnie Mae II Pool 3.5% 2/20/2043  |  | 191349 | 182111 |
| Ginnie Mae II Pool 3.5% 2/20/2052  |  | 31504 | 29270 |
| Ginnie Mae II Pool 3.5% 3/20/2043  |  | 154662 | 147165 |
| Ginnie Mae II Pool 3.5% 3/20/2046  |  | 873479 | 822034 |
| Ginnie Mae II Pool 3.5% 3/20/2052  |  | 10590276 | 9839134 |
| Ginnie Mae II Pool 3.5% 4/20/2045  |  | 1029792 | 973939 |
| Ginnie Mae II Pool 3.5% 4/20/2046  |  | 482709 | 454279 |
| Ginnie Mae II Pool 3.5% 4/20/2046  |  | 50663 | 47267 |
| Ginnie Mae II Pool 3.5% 4/20/2052  |  | 2023172 | 1879041 |
| Ginnie Mae II Pool 3.5% 5/20/2043  |  | 236296 | 223771 |
| Ginnie Mae II Pool 3.5% 5/20/2046  |  | 73942 | 68986 |
| Ginnie Mae II Pool 3.5% 5/20/2046  |  | 18633 | 17384 |
| Ginnie Mae II Pool 3.5% 6/20/2042  |  | 114210 | 108862 |
| Ginnie Mae II Pool 3.5% 6/20/2043  |  | 110959 | 105514 |
| Ginnie Mae II Pool 3.5% 6/20/2052  |  | 1112278 | 1033040 |
| Ginnie Mae II Pool 3.5% 7/20/2046  |  | 1395948 | 1313732 |
| Ginnie Mae II Pool 3.5% 7/20/2047  |  | 2381494 | 2236023 |
| Ginnie Mae II Pool 3.5% 7/20/2050  |  | 26944 | 25079 |
| Ginnie Mae II Pool 3.5% 8/20/2042  |  | 177315 | 168942 |
| Ginnie Mae II Pool 3.5% 9/20/2040  |  | 249862 | 238914 |
| Ginnie Mae II Pool 3.5% 9/20/2046  |  | 95972 | 90320 |
| Ginnie Mae II Pool 4% 1/1/2056 (f) |  | 53000 | 50265 |
| Ginnie Mae II Pool 4% 1/20/2041  |  | 2108958 | 2065489 |
| Ginnie Mae II Pool 4% 1/20/2046  |  | 120002 | 116538 |
| Ginnie Mae II Pool 4% 1/20/2047  |  | 128669 | 124936 |
| Ginnie Mae II Pool 4% 10/20/2040  |  | 797540 | 781237 |
| Ginnie Mae II Pool 4% 10/20/2041  |  | 1297939 | 1269887 |
| Ginnie Mae II Pool 4% 10/20/2042  |  | 222940 | 217803 |
| Ginnie Mae II Pool 4% 10/20/2043  |  | 191584 | 186801 |
| Ginnie Mae II Pool 4% 10/20/2044  |  | 1682346 | 1637368 |
| Ginnie Mae II Pool 4% 10/20/2045  |  | 6958 | 6759 |
| Ginnie Mae II Pool 4% 10/20/2046  |  | 131911 | 128290 |
| Ginnie Mae II Pool 4% 10/20/2047  |  | 58846 | 56991 |
| Ginnie Mae II Pool 4% 11/20/2040  |  | 821140 | 804198 |
| Ginnie Mae II Pool 4% 11/20/2041  |  | 134653 | 131711 |
| Ginnie Mae II Pool 4% 11/20/2042  |  | 13736 | 13418 |
| Ginnie Mae II Pool 4% 11/20/2044  |  | 761279 | 740834 |
| Ginnie Mae II Pool 4% 11/20/2046  |  | 310730 | 302006 |
| Ginnie Mae II Pool 4% 11/20/2047  |  | 97622 | 94546 |
| Ginnie Mae II Pool 4% 12/1/2055 (f) |  | 29721000 | 28193156 |
| Ginnie Mae II Pool 4% 12/20/2040  |  | 10502 | 10286 |
| Ginnie Mae II Pool 4% 12/20/2041  |  | 419808 | 410581 |
| Ginnie Mae II Pool 4% 12/20/2042  |  | 795416 | 776977 |
| Ginnie Mae II Pool 4% 12/20/2044  |  | 62993 | 61302 |
| Ginnie Mae II Pool 4% 12/20/2045  |  | 464734 | 451478 |
| Ginnie Mae II Pool 4% 2/20/2041  |  | 10201 | 9990 |
| Ginnie Mae II Pool 4% 2/20/2042  |  | 74908 | 73251 |
| Ginnie Mae II Pool 4% 2/20/2043  |  | 100134 | 97824 |
| Ginnie Mae II Pool 4% 2/20/2047  |  | 214741 | 208511 |
| Ginnie Mae II Pool 4% 2/20/2049  |  | 2712441 | 2617634 |
| Ginnie Mae II Pool 4% 3/20/2041  |  | 371871 | 364159 |
| Ginnie Mae II Pool 4% 3/20/2047  |  | 403605 | 391894 |
| Ginnie Mae II Pool 4% 3/20/2049  |  | 5456819 | 5266089 |
| Ginnie Mae II Pool 4% 3/20/2052  |  | 617933 | 593535 |
| Ginnie Mae II Pool 4% 4/20/2043  |  | 99120 | 96872 |
| Ginnie Mae II Pool 4% 4/20/2049  |  | 1498193 | 1445827 |
| Ginnie Mae II Pool 4% 4/20/2052  |  | 4622884 | 4440355 |
| Ginnie Mae II Pool 4% 5/20/2040  |  | 64348 | 63093 |
| Ginnie Mae II Pool 4% 5/20/2046  |  | 71146 | 69193 |
| Ginnie Mae II Pool 4% 5/20/2049  |  | 1466083 | 1412091 |
| Ginnie Mae II Pool 4% 6/20/2045  |  | 3653016 | 3551805 |
| Ginnie Mae II Pool 4% 6/20/2046  |  | 195524 | 190156 |
| Ginnie Mae II Pool 4% 6/20/2047  |  | 418268 | 405609 |
| Ginnie Mae II Pool 4% 6/20/2052  |  | 7563846 | 7259878 |
| Ginnie Mae II Pool 4% 7/20/2044  |  | 351194 | 341973 |
| Ginnie Mae II Pool 4% 7/20/2045  |  | 275451 | 267724 |
| Ginnie Mae II Pool 4% 7/20/2047  |  | 1029054 | 997910 |
| Ginnie Mae II Pool 4% 8/20/2043  |  | 52605 | 51319 |
| Ginnie Mae II Pool 4% 8/20/2044  |  | 607881 | 591850 |
| Ginnie Mae II Pool 4% 8/20/2045  |  | 1140310 | 1108062 |
| Ginnie Mae II Pool 4% 8/20/2048  |  | 3103746 | 2999142 |
| Ginnie Mae II Pool 4% 9/20/2040  |  | 54560 | 53443 |
| Ginnie Mae II Pool 4% 9/20/2045  |  | 5796 | 5632 |
| Ginnie Mae II Pool 4% 9/20/2047  |  | 2279016 | 2207192 |
| Ginnie Mae II Pool 4% 9/20/2048  |  | 363415 | 351167 |
| Ginnie Mae II Pool 4.5% 1/1/2056 (f) |  | 47430000 | 46368384 |
| Ginnie Mae II Pool 4.5% 1/20/2045  |  | 163241 | 163508 |
| Ginnie Mae II Pool 4.5% 1/20/2047  |  | 114715 | 115058 |
| Ginnie Mae II Pool 4.5% 1/20/2048  |  | 189577 | 189729 |
| Ginnie Mae II Pool 4.5% 1/20/2049  |  | 903606 | 900661 |
| Ginnie Mae II Pool 4.5% 10/20/2041  |  | 956236 | 959067 |
| Ginnie Mae II Pool 4.5% 10/20/2043  |  | 610471 | 611967 |
| Ginnie Mae II Pool 4.5% 10/20/2044  |  | 564337 | 565237 |
| Ginnie Mae II Pool 4.5% 11/20/2046  |  | 300882 | 301419 |
| Ginnie Mae II Pool 4.5% 11/20/2054  |  | 23796531 | 23317397 |
| Ginnie Mae II Pool 4.5% 12/1/2055 (f) |  | 63504000 | 62114850 |
| Ginnie Mae II Pool 4.5% 12/20/2039  |  | 91860 | 92164 |
| Ginnie Mae II Pool 4.5% 2/20/2041  |  | 420177 | 421475 |
| Ginnie Mae II Pool 4.5% 2/20/2048  |  | 362422 | 362713 |
| Ginnie Mae II Pool 4.5% 3/20/2041  |  | 1557493 | 1562301 |
| Ginnie Mae II Pool 4.5% 3/20/2047  |  | 99432 | 99636 |
| Ginnie Mae II Pool 4.5% 3/20/2048  |  | 30746 | 30771 |
| Ginnie Mae II Pool 4.5% 3/20/2049  |  | 67611 | 67390 |
| Ginnie Mae II Pool 4.5% 3/20/2055  |  | 2955911 | 2892469 |
| Ginnie Mae II Pool 4.5% 4/20/2041  |  | 340195 | 341238 |
| Ginnie Mae II Pool 4.5% 4/20/2048  |  | 588792 | 588896 |
| Ginnie Mae II Pool 4.5% 5/20/2040  |  | 17602 | 17659 |
| Ginnie Mae II Pool 4.5% 5/20/2041  |  | 1049017 | 1052235 |
| Ginnie Mae II Pool 4.5% 5/20/2044  |  | 184035 | 184487 |
| Ginnie Mae II Pool 4.5% 5/20/2045  |  | 117646 | 117822 |
| Ginnie Mae II Pool 4.5% 5/20/2052  |  | 8920475 | 8794527 |
| Ginnie Mae II Pool 4.5% 6/20/2041  |  | 688373 | 690447 |
| Ginnie Mae II Pool 4.5% 6/20/2045  |  | 53160 | 53256 |
| Ginnie Mae II Pool 4.5% 7/20/2046  |  | 239103 | 239424 |
| Ginnie Mae II Pool 4.5% 8/20/2041  |  | 72964 | 73181 |
| Ginnie Mae II Pool 4.5% 8/20/2047  |  | 186049 | 186314 |
| Ginnie Mae II Pool 4.5% 9/20/2040  |  | 254808 | 255612 |
| Ginnie Mae II Pool 4.5% 9/20/2044  |  | 538413 | 539393 |
| Ginnie Mae II Pool 5% 1/1/2056 (f) |  | 71566000 | 71409449 |
| Ginnie Mae II Pool 5% 1/20/2035  |  | 215568 | 219311 |
| Ginnie Mae II Pool 5% 1/20/2055  |  | 10193622 | 10194801 |
| Ginnie Mae II Pool 5% 10/20/2037  |  | 6469 | 6600 |
| Ginnie Mae II Pool 5% 10/20/2040  |  | 171909 | 175608 |
| Ginnie Mae II Pool 5% 11/20/2054  |  | 19563423 | 19571799 |
| Ginnie Mae II Pool 5% 12/1/2055 (f) |  | 205815000 | 205589880 |
| Ginnie Mae II Pool 5% 12/20/2035  |  | 25842 | 26319 |
| Ginnie Mae II Pool 5% 12/20/2036  |  | 24357 | 24836 |
| Ginnie Mae II Pool 5% 2/20/2036  |  | 20312 | 20694 |
| Ginnie Mae II Pool 5% 3/20/2036  |  | 13925 | 14185 |
| Ginnie Mae II Pool 5% 3/20/2042  |  | 136031 | 138947 |
| Ginnie Mae II Pool 5% 5/20/2035  |  | 30546 | 31088 |
| Ginnie Mae II Pool 5% 6/20/2034  |  | 15347 | 15601 |
| Ginnie Mae II Pool 5% 6/20/2038  |  | 51562 | 52616 |
| Ginnie Mae II Pool 5% 6/20/2048  |  | 1875472 | 1912612 |
| Ginnie Mae II Pool 5% 6/20/2055  |  | 44723 | 44700 |
| Ginnie Mae II Pool 5% 8/20/2035  |  | 19944 | 20307 |
| Ginnie Mae II Pool 5% 8/20/2045  |  | 380629 | 389252 |
| Ginnie Mae II Pool 5% 9/20/2046  |  | 160799 | 164269 |
| Ginnie Mae II Pool 5.5% 1/1/2056 (f) |  | 65769000 | 66377876 |
| Ginnie Mae II Pool 5.5% 12/1/2055 (f) |  | 117449000 | 118641836 |
| Ginnie Mae II Pool 5.5% 12/20/2054  |  | 2334158 | 2360108 |
| Ginnie Mae II Pool 5.5% 2/20/2054  |  | 8739096 | 8865614 |
| Ginnie Mae II Pool 5.5% 3/20/2041  |  | 39641 | 41189 |
| Ginnie Mae II Pool 5.5% 8/20/2053  |  | 63527 | 64482 |
| Ginnie Mae II Pool 5.5% 8/20/2054  |  | 5422114 | 5481973 |
| Ginnie Mae II Pool 6% 1/1/2056 (f) |  | 56901000 | 58001232 |
| Ginnie Mae II Pool 6% 12/1/2055 (f) |  | 181613000 | 185060815 |
| Ginnie Mae II Pool 6% 12/20/2054  |  | 7568580 | 7712844 |
| Ginnie Mae II Pool 6% 2/1/2056 (f) |  | 34750000 | 35397490 |
| Ginnie Mae II Pool 6% 6/20/2054  |  | 416773 | 426215 |
| Ginnie Mae II Pool 6% 7/20/2054  |  | 3494519 | 3567134 |
| Ginnie Mae II Pool 6% 8/20/2053  |  | 26852 | 27544 |
| Ginnie Mae II Pool 6% 8/20/2054  |  | 5316221 | 5421706 |
| Ginnie Mae II Pool 6% 9/20/2038  |  | 1032 | 1088 |
| Ginnie Mae II Pool 6.5% 12/1/2055 (f) |  | 3061000 | 3154504 |
| Ginnie Mae II Pool 6.5% 1/1/2056 (f) |  | 2965000 | 3050360 |
| Ginnie Mae II Pool 6.5% 10/20/2039  |  | 2381 | 2523 |
| Ginnie Mae II Pool 6.5% 10/20/2039  |  | 1052 | 1116 |
| Ginnie Mae II Pool 6.5% 5/20/2055  |  | 14802206 | 15259940 |
| Ginnie Mae II Pool 7% 1/20/2039  |  | 2789 | 2885 |
| Ginnie Mae II Pool 7% 10/20/2038  |  | 3060 | 3239 |
| Ginnie Mae II Pool 7% 6/20/2055  |  | 3484482 | 3567527 |
| Ginnie Mae II Pool 7% 8/20/2038  |  | 246 | 250 |
| Ginnie Mae II Pool 7.5% 5/20/2032  |  | 1084 | 1132 |
| Ginnie Mae II Pool 8% 9/20/2031  |  | 2911 | 3016 |
| Household Capital 2025-1 RMBS Series 1 Class A, 3 month Australia Bank Bill Rate + 1.9%, 5.3904% 7/21/2087 (c)(d)(e) | AUD | 266190 | 174075 |
| Uniform Mortgage Backed Securities 1.5% 12/1/2040 (f) |  | 2835000 | 2555708 |
| Uniform Mortgage Backed Securities 2% 1/1/2041 (f) |  | 89000 | 82423 |
| Uniform Mortgage Backed Securities 2% 1/1/2056 (f) |  | 136481000 | 111152051 |
| Uniform Mortgage Backed Securities 2% 12/1/2040 (f) |  | 7821000 | 7231370 |
| Uniform Mortgage Backed Securities 2% 12/1/2055 (f) |  | 241044000 | 196224881 |
| Uniform Mortgage Backed Securities 2.5% 1/1/2041 (f) |  | 20000 | 18927 |
| Uniform Mortgage Backed Securities 2.5% 1/1/2056 (f) |  | 29979000 | 25521965 |
| Uniform Mortgage Backed Securities 2.5% 12/1/2040 (f) |  | 2417000 | 2284632 |
| Uniform Mortgage Backed Securities 2.5% 12/1/2055 (f) |  | 45890000 | 39056695 |
| Uniform Mortgage Backed Securities 3% 1/1/2056 (f) |  | 114000 | 101283 |
| Uniform Mortgage Backed Securities 3% 12/1/2040 (f) |  | 1160000 | 1116591 |
| Uniform Mortgage Backed Securities 3% 12/1/2055 (f) |  | 21315000 | 18932049 |
| Uniform Mortgage Backed Securities 3.5% 1/1/2056 (f) |  | 67000 | 61959 |
| Uniform Mortgage Backed Securities 3.5% 12/1/2040 (f) |  | 523000 | 508618 |
| Uniform Mortgage Backed Securities 3.5% 12/1/2055 (f) |  | 162948000 | 150726900 |
| Uniform Mortgage Backed Securities 4% 1/1/2041 (f) |  | 55000 | 54270 |
| Uniform Mortgage Backed Securities 4% 1/1/2056 (f) |  | 393322000 | 374577768 |
| Uniform Mortgage Backed Securities 4% 12/1/2040 (f) |  | 456000 | 449801 |
| Uniform Mortgage Backed Securities 4% 12/1/2055 (f) |  | 410995336 | 391537255 |
| Uniform Mortgage Backed Securities 4.5% 1/1/2041 (f) |  | 198000 | 197992 |
| Uniform Mortgage Backed Securities 4.5% 1/1/2056 (f) |  | 799081000 | 781632347 |
| Uniform Mortgage Backed Securities 4.5% 12/1/2040 (f) |  | 2778000 | 2778651 |
| Uniform Mortgage Backed Securities 4.5% 12/1/2055 (f) |  | 911458000 | 892303163 |
| Uniform Mortgage Backed Securities 4.5% 2/1/2056 (f) |  | 50000000 | 48876955 |
| Uniform Mortgage Backed Securities 5% 1/1/2056 (f) |  | 331808436 | 330940027 |
| Uniform Mortgage Backed Securities 5% 12/1/2040 (f) |  | 26300000 | 26604094 |
| Uniform Mortgage Backed Securities 5% 12/1/2055 (f) |  | 376003436 | 375298430 |
| Uniform Mortgage Backed Securities 5.5% 1/1/2056 (f) |  | 657434000 | 665215323 |
| Uniform Mortgage Backed Securities 5.5% 12/1/2055 (f) |  | 917443422 | 929054769 |
| Uniform Mortgage Backed Securities 6% 1/1/2056 (f) |  | 148420000 | 151950778 |
| Uniform Mortgage Backed Securities 6% 12/1/2055 (f) |  | 259097491 | 265311789 |
| Uniform Mortgage Backed Securities 6.5% 1/1/2056 (f) |  | 47942000 | 49685516 |
| Uniform Mortgage Backed Securities 6.5% 12/1/2055 (f) |  | 106192000 | 109999981 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $11,558,884,079) |  |  | **11531236379** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| ISRAEL - 0.0%  |  |  |
| Israel Government 5.5% 9/18/2033  | 2685000 | 2960753 |
| UNITED STATES - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Fannie Mae 0% 3/17/2031 (n) | 515000 | 418800 |
| Fannie Mae 0.875% 8/5/2030  | 125000 | 110533 |
| Fannie Mae 6.625% 11/15/2030  | 1290000 | 1463884 |
| Federal Farm Credit Banks Funding Corp 1.48% 11/26/2032  | 965000 | 817985 |
| Federal Farm Credit Banks Funding Corp 1.77% 2/4/2031  | 815000 | 734864 |
| Federal Farm Credit Banks Funding Corp 2.35% 3/10/2036  | 1825000 | 1518525 |
| Federal Farm Credit Banks Funding Corp 2.46% 2/5/2035  | 765000 | 660332 |
| Federal Home Loan Bank 1.25% 7/23/2030  | 3890000 | 3484603 |
| Federal Home Loan Bank 1.5% 9/30/2033  | 2000000 | 1643110 |
| Federal Home Loan Bank 1.75% 6/20/2031  | 810000 | 726574 |
| Federal Home Loan Bank 2.09% 2/22/2036  | 1760000 | 1420012 |
| Freddie Mac 1.22% 8/19/2030  | 1530000 | 1366373 |
| Freddie Mac Non Gold Pool 6.25% 7/15/2032  | 400000 | 456802 |
| Freddie Mac Non Gold Pool 6.75% 3/15/2031  | 2560000 | 2937254 |
|  |  | 17759651 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Tennessee Valley Authority 0% 7/15/2034 (n) | 185000 | 127598 |
| Tennessee Valley Authority 1.5% 9/15/2031  | 565000 | 497802 |
| Tennessee Valley Authority 2.875% 2/1/2027  | 1060000 | 1050573 |
| Tennessee Valley Authority 5.25% 2/1/2055  | 1440000 | 1460997 |
| Tennessee Valley Authority 5.25% 9/15/2039  | 150000 | 161462 |
| Tennessee Valley Authority 7.125% 5/1/2030  | 390000 | 444782 |
|  |  | 3743214 |
| TOTAL UNITED STATES |  | 21502865 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $23,941,901) |  | <br> **24463618** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Paper - 0.6%** | &nbsp;&nbsp;**Commercial Paper - 0.6%** | &nbsp;&nbsp;**Commercial Paper - 0.6%** | &nbsp;&nbsp;**Commercial Paper - 0.6%** |
|  | Yield (%) (Ac) | Principal<br> Amount (a)<br>| Value ($)<br>|
| AES Corp/The 0% 12/1/2025  | 4.28 | 5400000 | 5398092 |
| AES Corp/The 0% 12/17/2025  | 4.32 | 3000000 | 2993301 |
| Air Lease Corp 0% 1/8/2026  | 4.32 | 5800000 | 5770186 |
| Air Lease Corp 0% 12/15/2025  | 4.40 | 6100000 | 6087485 |
| Air Lease Corp 0% 12/2/2025  | 4.31 | 8000000 | 7996215 |
| Alimentation Couche-Tard Inc yankee 0% 1/1/2026  | 6.27 | 4100000 | 4074890 |
| Alimentation Couche-Tard Inc yankee 0% 12/2/2025  | 4.18 | 1100000 | 1099497 |
| AMETEK Inc 0% 1/12/2026  | 4.18 | 12800000 | 12734720 |
| AMETEK Inc 0% 12/16/2025  | 4.17 | 3500000 | 3492901 |
| AutoNation Inc 0% 12/8/2025  | 4.36 | 3200000 | 3195980 |
| Bacardi-Martini BV yankee 0% 1/29/2026  | 4.39 | 1400000 | 1389467 |
| Bacardi-Martini BV yankee 0% 12/11/2025  | 4.40 | 1000000 | 998440 |
| Bacardi-Martini BV yankee 0% 12/29/2025  | 4.42 | 300000 | 298871 |
| Bacardi-Martini BV yankee 0% 12/31/2025  | 4.38 | 1300000 | 1294792 |
| Bacardi-Martini BV yankee 0% 2/5/2026  | 4.39 | 600000 | 594981 |
| Canadian Natural Resources Ltd yankee 0% 12/1/2025  | 4.20 | 1632000 | 1631422 |
| Canadian Natural Resources Ltd yankee 0% 12/18/2025  | 4.22 | 4600000 | 4588920 |
| Canadian Natural Resources Ltd yankee 0% 12/19/2025  | 4.22 | 750000 | 748103 |
| Canadian Natural Resources Ltd yankee 0% 12/22/2025  | 4.22 | 1500000 | 1495673 |
| Canadian Natural Resources Ltd yankee 0% 12/23/2025  | 4.22 | 368000 | 366895 |
| Canadian Natural Resources Ltd yankee 0% 12/8/2025  | 4.19 | 6707000 | 6699023 |
| CBRE Services Inc 0% 12/11/2025  | 4.18 | 14400000 | 14379175 |
| Conagra Brands Inc 0% 12/16/2025  | 4.31 | 12300000 | 12273652 |
| Conagra Brands Inc 0% 12/17/2025  | 4.31 | 2100000 | 2095233 |
| Conagra Brands Inc 0% 12/2/2025  | 4.29 | 3900000 | 3898181 |
| Conagra Brands Inc 0% 12/5/2025  | 4.26 | 300000 | 299754 |
| Edison International 0% 1/7/2026  | 4.58 | 2683000 | 2669494 |
| Edison International 0% 12/1/2025  | 4.51 | 1917000 | 1916335 |
| Enbridge US Inc 0% 12/22/2025  | 4.16 | 14300000 | 14261193 |
| ERAC USA Finance LLC 0% 1/12/2026  | 4.22 | 12800000 | 12733120 |
| Harley-Davidson Financial Services Inc 0% 12/2/2025  | 4.78 | 1000000 | 999538 |
| HCA Inc 0% 1/13/2026  | 4.33 | 5441000 | 5410929 |
| HCA Inc 0% 1/5/2026  | 4.32 | 1400000 | 1393605 |
| HCA Inc 0% 1/7/2026  | 4.32 | 8859000 | 8816411 |
| HCA Inc 0% 12/11/2025  | 4.25 | 3400000 | 3394759 |
| HCA Inc 0% 12/2/2025  | 4.25 | 9800000 | 9795397 |
| HCA Inc 0% 12/3/2025  | 4.25 | 4900000 | 4897120 |
| Intercontinental Exchange Inc 0% 12/2/2025 (b) | 4.18 | 1100000 | 1099486 |
| International Flavors & Fragrances Inc 0% 12/16/2025  | 4.21 | 5600000 | 5588610 |
| International Flavors & Fragrances Inc 0% 12/5/2025  | 4.23 | 2000000 | 1998421 |
| Jones Lang LaSalle Finance BV yankee 0% 12/2/2025  | 4.20 to 4.30 | 1900000 | 1899147 |
| Keurig Dr Pepper Inc 0% 12/1/2025  | 4.26 | 9075000 | 9071878 |
| Keurig Dr Pepper Inc 0% 12/12/2025  | 4.21 | 10000000 | 9983990 |
| Keurig Dr Pepper Inc 0% 12/15/2025  | 4.26 | 6900000 | 6886590 |
| Keurig Dr Pepper Inc 0% 12/3/2025  | 4.21 | 5500000 | 5496842 |
| Keurig Dr Pepper Inc 0% 12/4/2025  | 4.21 | 9000000 | 8993795 |
| Keurig Dr Pepper Inc 0% 12/9/2025  | 4.22 | 5225000 | 5218411 |
| Oracle Corp 0% 1/16/2026  | 4.27 | 13300000 | 13227046 |
| Southern California Edison Co 0% 1/5/2026  | 4.58 | 12516000 | 12458568 |
| Southern California Edison Co 0% 12/1/2025  | 4.57 | 10400000 | 10396332 |
| Southern California Edison Co 0% 12/3/2025  | 4.57 | 6100000 | 6096406 |
| Southern California Edison Co 0% 12/8/2025  | 4.51 | 1584000 | 1582129 |
| VW Credit Inc 0% 1/13/2026  | 4.27 | 5800000 | 5769763 |
| <br> **TOTAL COMMERCIAL PAPER**<br> (Cost $278,041,914) |  |  | **277951164** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 13.8%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 13.8%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 13.8%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 13.8%** |
|  | Yield (%) (Ac) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 1/15/2026  | 4.22 | 50000000 | 49762867 |
| US Treasury Bills 0% 1/2/2026  | 3.98 | 47780000 | 47618398 |
| US Treasury Bills 0% 1/20/2026  | 3.86 | 124000 | 123345 |
| US Treasury Bills 0% 1/27/2026 (x) | 3.84 to 3.88 | 868000 | 862766 |
| US Treasury Bills 0% 1/8/2026 (v) | 3.88 | 726000 | 723087 |
| US Treasury Bills 0% 12/11/2025  | 3.98 | 15000 | 14984 |
| US Treasury Bills 0% 12/4/2025  | 3.99 | 3000 | 2999 |
| US Treasury Bills 0% 2/10/2026 (x) | 3.83 | 183000 | 181665 |
| US Treasury Bills 0% 2/24/2026  | 3.76 to 3.83 | 214000 | 212137 |
| US Treasury Bills 0% 3/10/2026 (v)(w)(x) | 3.82 | 2076000 | 2054856 |
| US Treasury Bills 0% 3/24/2026 (x) | 3.79 | 7000 | 6918 |
| US Treasury Bills 0% 3/3/2026 (x) | 3.79 | 28000 | 27735 |
| US Treasury Bonds 1.125% 5/15/2040  | 3.95 to 4.62 | 12872200 | 8328213 |
| US Treasury Bonds 1.125% 8/15/2040  | 4.41 to 4.55 | 9163400 | 5868513 |
| US Treasury Bonds 1.25% 5/15/2050  | 4.40 to 4.58 | 5230000 | 2594570 |
| US Treasury Bonds 1.375% 11/15/2040  | 4.42 to 4.48 | 5875200 | 3890484 |
| US Treasury Bonds 1.375% 8/15/2050  | 4.76 to 4.87 | 11453000 | 5825372 |
| US Treasury Bonds 1.625% 11/15/2050  | 4.20 to 5.04 | 148541700 | 80641896 |
| US Treasury Bonds 1.75% 8/15/2041  | 3.79 to 4.85 | 28295400 | 19471877 |
| US Treasury Bonds 1.875% 11/15/2051  | 4.48 to 4.81 | 14632400 | 8366189 |
| US Treasury Bonds 1.875% 2/15/2041  | 4.48 | 638700 | 455099 |
| US Treasury Bonds 1.875% 2/15/2051  | 4.05 to 5.00 | 39961000 | 23077478 |
| US Treasury Bonds 2% 11/15/2041  | 3.81 to 4.70 | 39368000 | 28032784 |
| US Treasury Bonds 2% 2/15/2050  | 3.93 to 4.81 | 50935000 | 30799758 |
| US Treasury Bonds 2% 8/15/2051  | 4.07 to 4.88 | 53868000 | 31906269 |
| US Treasury Bonds 2.25% 2/15/2052  | 2.48 to 4.65 | 75197300 | 47118745 |
| US Treasury Bonds 2.25% 5/15/2041  | 4.01 to 4.47 | 7769300 | 5830313 |
| US Treasury Bonds 2.25% 8/15/2046  | 4.78 to 4.92 | 570000 | 384750 |
| US Treasury Bonds 2.25% 8/15/2049  | 3.77 to 5.11 | 126527000 | 81654397 |
| US Treasury Bonds 2.375% 2/15/2042  | 4.58 to 4.90 | 22081000 | 16564656 |
| US Treasury Bonds 2.375% 5/15/2051  | 2.40 to 4.96 | 122368700 | 79597015 |
| US Treasury Bonds 2.5% 2/15/2045  | 4.04 to 4.73 | 12494500 | 9055584 |
| US Treasury Bonds 2.75% 11/15/2047  | 4.43 to 4.73 | 8364000 | 6113888 |
| US Treasury Bonds 2.75% 8/15/2047  | 4.28 to 4.42 | 8730000 | 6399499 |
| US Treasury Bonds 2.875% 5/15/2049  | 4.17 to 4.99 | 10053000 | 7410161 |
| US Treasury Bonds 2.875% 5/15/2052  | 3.16 to 3.45 | 154200000 | 111132421 |
| US Treasury Bonds 3% 11/15/2044  | 4.47 to 5.06 | 53190000 | 42076199 |
| US Treasury Bonds 3% 2/15/2047  | 4.38 to 4.91 | 9789000 | 7556267 |
| US Treasury Bonds 3% 2/15/2048  | 4.42 to 4.73 | 33151500 | 25323343 |
| US Treasury Bonds 3% 5/15/2042  | 4.54 to 4.67 | 990000 | 812535 |
| US Treasury Bonds 3% 5/15/2047  | 4.44 to 4.73 | 4722000 | 3635940 |
| US Treasury Bonds 3% 8/15/2048  | 4.29 to 4.91 | 7662500 | 5822901 |
| US Treasury Bonds 3% 8/15/2052  | 3.84 to 3.94 | 994000 | 734318 |
| US Treasury Bonds 3.125% 11/15/2041  | 3.99 to 4.20 | 4804100 | 4047642 |
| US Treasury Bonds 3.125% 5/15/2048  | 4.17 to 4.73 | 2553000 | 1990442 |
| US Treasury Bonds 3.125% 8/15/2044  | 4.45 to 4.73 | 3222000 | 2608184 |
| US Treasury Bonds 3.25% 5/15/2042  | 4.53 to 4.95 | 118880000 | 101052643 |
| US Treasury Bonds 3.375% 11/15/2048 (v)(w) | 4.19 to 4.88 | 22847000 | 18543553 |
| US Treasury Bonds 3.375% 5/15/2044  | 5.03 | 3476000 | 2931789 |
| US Treasury Bonds 3.625% 2/15/2053 (v) | 4.39 to 5.06 | 96651000 | 80631852 |
| US Treasury Bonds 3.625% 8/15/2043  | 4.01 to 4.87 | 46538200 | 41015424 |
| US Treasury Bonds 3.75% 11/15/2043  | 4.02 to 4.25 | 3648600 | 3264784 |
| US Treasury Bonds 3.75% 8/15/2041  | 4.45 | 353000 | 323905 |
| US Treasury Bonds 3.875% 2/15/2043  | 4.34 to 4.66 | 10713000 | 9830851 |
| US Treasury Bonds 4% 11/15/2042  | 3.84 to 4.65 | 8947700 | 8362255 |
| US Treasury Bonds 4% 11/15/2052 (v) | 3.91 to 5.14 | 172445000 | 153954316 |
| US Treasury Bonds 4.125% 8/15/2044  | 4.23 to 4.63 | 12070600 | 11316659 |
| US Treasury Bonds 4.125% 8/15/2053  | 4.36 to 5.01 | 78159600 | 71274838 |
| US Treasury Bonds 4.25% 2/15/2054  | 4.62 to 4.81 | 37800000 | 35199774 |
| US Treasury Bonds 4.25% 8/15/2054  | 4.47 to 4.62 | 101653000 | 94668327 |
| US Treasury Bonds 4.375% 11/15/2039  | 4.42 | 3840000 | 3846450 |
| US Treasury Bonds 4.375% 5/15/2041  | 3.90 to 4.56 | 3420100 | 3389640 |
| US Treasury Bonds 4.375% 8/15/2043  | 4.64 | 5985000 | 5834206 |
| US Treasury Bonds 4.5% 11/15/2054  | 4.60 to 4.95 | 51799100 | 50309876 |
| US Treasury Bonds 4.5% 2/15/2044 (w) | 4.94 | 1940000 | 1916811 |
| US Treasury Bonds 4.5% 8/15/2039  | 4.23 to 4.52 | 4348000 | 4424090 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.59 to 4.97 | 29200000 | 29211406 |
| US Treasury Bonds 4.625% 11/15/2045 (f) | 4.72 | 13970000 | 13959086 |
| US Treasury Bonds 4.625% 11/15/2055  | 4.68 to 4.74 | 107366000 | 106594307 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.62 to 4.84 | 31338000 | 31080891 |
| US Treasury Bonds 4.625% 5/15/2044  | 4.66 to 4.78 | 10900000 | 10930656 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.52 to 5.01 | 74541000 | 73894589 |
| US Treasury Bonds 4.75% 11/15/2043  | 4.57 to 4.95 | 13934000 | 14220300 |
| US Treasury Bonds 4.75% 11/15/2053  | 4.40 to 4.81 | 34730000 | 35082727 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.97 to 5.08 | 20226100 | 20469445 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.89 to 4.94 | 38500000 | 38981250 |
| US Treasury Bonds 4.875% 8/15/2045  | 4.61 to 4.91 | 85107000 | 87766594 |
| US Treasury Bonds 5% 5/15/2045  | 4.54 to 4.99 | 7249000 | 7598991 |
| US Treasury Bonds 6.25% 5/15/2030 (v)(x) | 4.41 to 4.46 | 2860000 | 3172254 |
| US Treasury Bonds Inflation-Indexed 0.125% 2/15/2051 (v)(w) | 2.06 to 2.35 | 49402584 | 27534989 |
| US Treasury Bonds Inflation-Indexed 0.125% 2/15/2052 (v)(w) | 2.36 to 2.40 | 5600496 | 3056780 |
| US Treasury Bonds Inflation-Indexed 2.125% 2/15/2054 (v)(w) | 1.91 to 2.15 | 91649646 | 84672323 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.47 to 2.66 | 10560823 | 10313708 |
| US Treasury Notes 0.375% 9/30/2027  | 4.15 to 4.50 | 4571000 | 4318345 |
| US Treasury Notes 0.5% 10/31/2027  | 3.56 | 10580000 | 9994381 |
| US Treasury Notes 0.5% 5/31/2027  | 4.15 to 4.53 | 15788000 | 15091108 |
| US Treasury Notes 0.5% 8/31/2027  | 3.87 to 4.51 | 23311000 | 22124506 |
| US Treasury Notes 0.625% 7/31/2026  | 4.20 to 4.66 | 1664000 | 1630390 |
| US Treasury Notes 0.75% 4/30/2026  | 3.90 | 3946200 | 3896842 |
| US Treasury Notes 0.75% 5/31/2026  | 3.91 to 4.85 | 19455000 | 19168039 |
| US Treasury Notes 1.125% 10/31/2026  | 4.22 to 4.46 | 8797500 | 8597975 |
| US Treasury Notes 1.125% 8/31/2028  | 3.83 to 4.23 | 2215000 | 2078639 |
| US Treasury Notes 1.25% 11/30/2026  | 1.23 to 4.74 | 80300000 | 78433025 |
| US Treasury Notes 1.25% 3/31/2028  | 3.90 to 4.22 | 2036400 | 1935375 |
| US Treasury Notes 1.25% 5/31/2028  | 4.17 to 4.37 | 6857000 | 6492186 |
| US Treasury Notes 1.25% 9/30/2028  | 4.20 | 3299000 | 3100802 |
| US Treasury Notes 1.375% 10/31/2028  | 3.49 to 3.63 | 76870000 | 72377909 |
| US Treasury Notes 1.5% 11/30/2028  | 3.03 to 4.47 | 31605000 | 29818577 |
| US Treasury Notes 1.5% 2/15/2030  | 4.13 to 4.38 | 4824000 | 4438645 |
| US Treasury Notes 1.875% 2/28/2027  | 4.15 to 4.58 | 5213000 | 5105075 |
| US Treasury Notes 2.25% 8/15/2027  | 3.88 to 4.19 | 10019000 | 9806879 |
| US Treasury Notes 2.375% 3/31/2029  | 3.90 to 4.94 | 10054300 | 9693366 |
| US Treasury Notes 2.75% 5/31/2029  | 3.78 to 4.34 | 64460000 | 62815767 |
| US Treasury Notes 2.75% 7/31/2027  | 2.97 to 4.77 | 70935000 | 70031687 |
| US Treasury Notes 2.75% 8/15/2032  | 3.79 to 4.53 | 59738000 | 56142053 |
| US Treasury Notes 2.875% 4/30/2029  | 3.82 to 4.23 | 4072000 | 3986902 |
| US Treasury Notes 2.875% 5/15/2028  | 2.00 to 3.99 | 93050000 | 91701502 |
| US Treasury Notes 2.875% 5/15/2032  | 4.10 to 4.33 | 4230000 | 4019161 |
| US Treasury Notes 3 month U.S. Treasury Bill + 0.159%, 3.9394% 7/31/2027 (c)(d)(v)(w) | 3.94 | 159300000 | 159251351 |
| US Treasury Notes 3.125% 8/31/2029  | 4.26 to 4.65 | 26356600 | 25966399 |
| US Treasury Notes 3.25% 6/30/2029  | 4.18 to 4.68 | 3150100 | 3119460 |
| US Treasury Notes 3.375% 11/30/2027  | 3.49 | 7045000 | 7029589 |
| US Treasury Notes 3.375% 5/15/2033  | 4.26 to 4.89 | 41033000 | 39827656 |
| US Treasury Notes 3.375% 9/15/2027  | 3.88 to 3.92 | 9780000 | 9754404 |
| US Treasury Notes 3.375% 9/15/2028  | 3.62 | 1266000 | 1262044 |
| US Treasury Notes 3.5% 1/31/2030  | 4.03 | 10480000 | 10452572 |
| US Treasury Notes 3.5% 10/31/2027  | 3.50 to 3.60 | 73737000 | 73719718 |
| US Treasury Notes 3.5% 11/15/2028  | 3.56 to 3.61 | 85975000 | 85995151 |
| US Treasury Notes 3.5% 11/30/2030 (v) | 3.60 | 26185000 | 26068395 |
| US Treasury Notes 3.5% 2/15/2033  | 3.37 to 4.32 | 193100000 | 189305886 |
| US Treasury Notes 3.625% 10/31/2030  | 3.62 to 3.73 | 275674000 | 275910909 |
| US Treasury Notes 3.625% 5/31/2028  | 4.16 to 4.42 | 9741000 | 9772582 |
| US Treasury Notes 3.625% 8/31/2029  | 3.57 to 3.66 | 41962300 | 42070484 |
| US Treasury Notes 3.625% 9/30/2030  | 3.75 to 3.78 | 86900000 | 86981469 |
| US Treasury Notes 3.625% 9/30/2031  | 3.97 to 4.23 | 67794000 | 67555662 |
| US Treasury Notes 3.75% 10/31/2032  | 3.77 to 3.90 | 205099000 | 204618299 |
| US Treasury Notes 3.75% 12/31/2030  | 4.10 to 4.29 | 36000 | 36206 |
| US Treasury Notes 3.75% 4/15/2028  | 3.92 | 4691000 | 4717937 |
| US Treasury Notes 3.75% 5/15/2028  | 4.03 | 701000 | 705340 |
| US Treasury Notes 3.75% 6/30/2030  | 3.93 to 4.04 | 81200000 | 81748734 |
| US Treasury Notes 3.75% 8/15/2027  | 3.89 | 6790000 | 6814136 |
| US Treasury Notes 3.75% 8/31/2031  | 3.74 to 4.31 | 1279000 | 1283447 |
| US Treasury Notes 3.875% 11/30/2027  | 4.19 to 4.82 | 8522000 | 8581920 |
| US Treasury Notes 3.875% 3/15/2028  | 3.96 | 459000 | 462891 |
| US Treasury Notes 3.875% 8/15/2033 (v) | 3.83 to 4.91 | 59511000 | 59622583 |
| US Treasury Notes 3.875% 8/15/2034  | 3.82 to 4.43 | 157370000 | 156749600 |
| US Treasury Notes 3.875% 8/31/2032  | 3.77 to 3.94 | 65990000 | 66379238 |
| US Treasury Notes 3.875% 9/30/2032  | 3.96 | 13700000 | 13774922 |
| US Treasury Notes 4% 1/31/2029  | 4.34 | 845000 | 857147 |
| US Treasury Notes 4% 1/31/2031  | 4.08 to 4.29 | 125000 | 127147 |
| US Treasury Notes 4% 11/15/2035  | 4.01 to 4.15 | 50428000 | 50349206 |
| US Treasury Notes 4% 2/29/2028  | 3.69 | 3359000 | 3395214 |
| US Treasury Notes 4% 6/30/2032  | 4.02 to 4.21 | 2200000 | 2231023 |
| US Treasury Notes 4% 7/31/2030  | 4.20 to 4.29 | 130000 | 132244 |
| US Treasury Notes 4% 7/31/2032  | 4.12 to 4.14 | 42900000 | 43484848 |
| US Treasury Notes 4.125% 10/31/2027  | 4.14 to 4.83 | 2393000 | 2420015 |
| US Treasury Notes 4.125% 10/31/2031 (v)(w) | 4.17 to 4.26 | 52500000 | 53677149 |
| US Treasury Notes 4.125% 11/30/2029  | 4.40 | 800000 | 816688 |
| US Treasury Notes 4.125% 11/30/2031  | 4.22 to 4.55 | 33481000 | 34230399 |
| US Treasury Notes 4.125% 3/31/2029  | 4.61 to 4.67 | 10900000 | 11103949 |
| US Treasury Notes 4.125% 3/31/2031  | 4.22 to 4.70 | 46000 | 47063 |
| US Treasury Notes 4.125% 7/31/2031  | 3.75 to 4.17 | 232900000 | 238219343 |
| US Treasury Notes 4.25% 11/15/2034 (w) | 4.43 to 4.62 | 195609500 | 199995433 |
| US Treasury Notes 4.25% 11/30/2026  | 4.01 | 11817300 | 11886173 |
| US Treasury Notes 4.25% 2/15/2028  | 3.46 to 4.29 | 29703000 | 30174808 |
| US Treasury Notes 4.25% 2/28/2029  | 4.31 | 1930000 | 1972897 |
| US Treasury Notes 4.25% 2/28/2031  | 3.61 to 4.57 | 59100000 | 60824520 |
| US Treasury Notes 4.25% 5/15/2035  | 4.46 to 4.59 | 10330000 | 10543056 |
| US Treasury Notes 4.25% 6/30/2031  | 4.06 to 4.42 | 7542400 | 7763663 |
| US Treasury Notes 4.25% 8/15/2035 (w) | 4.10 to 4.35 | 147871000 | 150736001 |
| US Treasury Notes 4.375% 12/15/2026  | 4.04 | 3153800 | 3177825 |
| US Treasury Notes 4.375% 12/31/2029  | 4.60 | 800000 | 824406 |
| US Treasury Notes 4.375% 7/15/2027  | 3.59 to 4.23 | 45460000 | 46053976 |
| US Treasury Notes 4.375% 8/31/2028  | 3.81 | 12335000 | 12616392 |
| US Treasury Notes 4.5% 11/15/2033  | 4.27 to 4.63 | 175900000 | 183575011 |
| US Treasury Notes 4.5% 12/31/2031  | 4.10 to 4.50 | 54278600 | 56585441 |
| US Treasury Notes 4.5% 5/15/2027  | 4.15 to 4.61 | 4760000 | 4823033 |
| US Treasury Notes 4.5% 7/15/2026  | 3.98 to 4.24 | 10019000 | 10066794 |
| US Treasury Notes 4.625% 10/15/2026  | 4.15 to 5.01 | 34854000 | 35137529 |
| US Treasury Notes 4.625% 2/15/2035  | 4.09 to 4.53 | 49585000 | 52093287 |
| US Treasury Notes 4.625% 3/15/2026  | 3.71 to 4.28 | 7341000 | 7358894 |
| US Treasury Notes 4.625% 4/30/2029  | 4.71 to 4.72 | 2800000 | 2898219 |
| US Treasury Notes 4.625% 5/31/2031  | 3.92 | 3320000 | 3478608 |
| US Treasury Notes 4.625% 6/15/2027  | 4.59 | 3477000 | 3532279 |
| US Treasury Notes 4.625% 9/30/2028  | 4.19 to 4.85 | 95000 | 97886 |
| US Treasury Notes 4.625% 9/30/2030  | 3.97 to 4.65 | 56145000 | 58658366 |
| US Treasury Notes 4.75% 2/15/2045  | 4.67 to 4.93 | 15510000 | 15754767 |
| US Treasury Notes 4.875% 10/31/2030 (v) | 4.02 to 4.91 | 109029600 | 115179551 |
| US Treasury Notes Inflation-Indexed 1.625% 4/15/2030  | 1.24 | 16688517 | 16888623 |
| US Treasury Strip Coupon 0% 11/15/2033 (h)(n) | 3.84 to 4.15 | 2471933 | 1798874 |
| US Treasury Strip Coupon 0% 11/15/2041 (h)(n) | 4.42 to 4.78 | 19370000 | 9090709 |
| US Treasury Strip Coupon 0% 11/15/2042 (h)(n) | 4.47 | 229800 | 101901 |
| US Treasury Strip Coupon 0% 11/15/2043 (h)(n) | 4.21 to 4.45 | 1570738 | 657754 |
| US Treasury Strip Coupon 0% 11/15/2045 (h)(n) | 4.53 | 4155000 | 1564328 |
| US Treasury Strip Coupon 0% 2/15/2042 (h)(n) | 4.15 to 4.80 | 9703646 | 4497698 |
| US Treasury Strip Coupon 0% 2/15/2045 (h)(n) | 4.85 to 5.06 | 36190000 | 14166690 |
| US Treasury Strip Coupon 0% 5/15/2031 (h)(n) | 4.48 to 4.49 | 9460000 | 7714449 |
| US Treasury Strip Coupon 0% 5/15/2039 (h)(n)(v) | 3.74 to 5.45 | 35395000 | 19214388 |
| US Treasury Strip Coupon 0% 5/15/2040 (h)(n) | 4.70 | 4427000 | 2266135 |
| US Treasury Strip Coupon 0% 5/15/2041 (h)(n) | 2.12 to 2.38 | 41450000 | 20051015 |
| US Treasury Strip Coupon 0% 5/15/2042 (h)(n) | 4.41 | 557284 | 254518 |
| US Treasury Strip Coupon 0% 5/15/2043 (h)(n) | 4.80 to 4.83 | 5430000 | 2340160 |
| US Treasury Strip Coupon 0% 5/15/2044 (h)(n) | 2.36 to 4.85 | 14845000 | 6038209 |
| US Treasury Strip Coupon 0% 8/15/2039 (h)(n) | 3.73 to 4.29 | 8745000 | 4681622 |
| US Treasury Strip Coupon 0% 8/15/2040 (h)(n) | 1.89 to 4.39 | 28492494 | 14360451 |
| US Treasury Strip Coupon 0% 8/15/2041 (h)(n) | 3.28 to 4.39 | 5739205 | 2737479 |
| US Treasury Strip Coupon 0% 8/15/2042 (h)(n) | 4.78 to 4.80 | 29505000 | 13272803 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $6,140,534,431) |  |  | **6102287974** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 1.8%** | &nbsp;&nbsp;**Money Market Funds - 1.8%** | &nbsp;&nbsp;**Money Market Funds - 1.8%** | &nbsp;&nbsp;**Money Market Funds - 1.8%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (Ad) | 4.02 | 302837918 | 302898486 |
| Fidelity Investments Money Market Government Portfolio - Institutional Class (q)(Ae) | 3.90 | 35660499 | 35660499 |
| Fidelity Securities Lending Cash Central Fund (u)(Ad) | 4.02 | 127789064 | 127801843 |
| State Street Institutional U.S. Government Money Market Fund Premier Class (Ae) | 3.94 | 320364337 | 320364337 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $786,721,520) |  |  | **786725165** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.95% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 04/2030 | 4640000 | 148545 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.03% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 04/2030 | 10100000 | 309215 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.804% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 08/2026 | 5980000 | 106538 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.887% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 09/2030 | 8600000 | 295779 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.874% and receive annually a floating rate based on US SOFR Index, expiring October 2035 | 10/2030 | 680000 | 24045 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 3.753% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 10/2029 | 7700000 | 249738 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.853% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 09/2030 | 8380000 | 293315 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring December 2034 | 12/2029 | 2500000 | 72235 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.08% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 04/2030 | 6340000 | 189125 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 3.855% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 09/2030 | 8870000 | 310485 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.065% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 05/2030 | 3970000 | 120121 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.8% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 08/2026 | 16240000 | 278072 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.9025% and receive annually a floating rate based on US SOFR Index, expiring April 2036 | 04/2026 | 5100000 | 37484 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.55% and receive annually a floating rate based on US SOFR Index, expiring May 2056 | 04/2026 | 12838000 | 123314 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 4.075% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 04/2030 | 10760000 | 322018 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 3.853% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 09/2030 | 11800000 | 413402 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 05/2030 | 6510000 | 203265 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.837% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 07/2026 | 7140000 | 106486 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.585% and receive annually a floating rate based on US SOFR Index, expiring May 2036 | 04/2026 | 2920000 | 54327 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 3.646% and receive annually a floating rate based on US SOFR Index, expiring January 2036 | 01/2026 | 7800000 | 49396 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.025% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 04/2030 | 13900000 | 427038 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.565% and receive annually a floating rate based on US SOFR Index, expiring September 2036 | 09/2026 | 8310000 | 234081 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.9% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 07/2026 | 2300000 | 28409 |
| TOTAL PUT SWAPTIONS |  |  | 4396433 |
| Call Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 3.853% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 09/2030 | 11800000 | 374669 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.065% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 05/2030 | 3970000 | 149357 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.855% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 09/2030 | 8870000 | 282259 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.08% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 04/2030 | 6340000 | 240770 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.753% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 10/2029 | 7700000 | 236903 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.887% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 09/2030 | 8600000 | 278745 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 4.075% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 04/2030 | 10760000 | 407549 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.565% and pay annually a floating rate based on US SOFR Index, expiring September 2036 | 09/2026 | 8310000 | 169339 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.9% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 07/2026 | 2300000 | 77692 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.8% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 08/2026 | 16240000 | 479618 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.03% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 04/2030 | 10100000 | 370981 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on the US SOFR Index, expiring December 2034 | 12/2029 | 2500000 | 91377 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.646% and pay annually a floating rate based on US SOFR Index, expiring January 2036 | 01/2026 | 7800000 | 72789 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.874% and pay annually a floating rate based on US SOFR Index, expiring October 2035 | 10/2030 | 680000 | 21897 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.95% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 04/2030 | 4640000 | 162171 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.837% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 07/2026 | 7140000 | 220103 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.853% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 09/2030 | 8380000 | 265807 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.025% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 04/2030 | 13900000 | 510419 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.9025% and pay annually a floating rate based on US SOFR Index, expiring April 2036 | 04/2026 | 5100000 | 156005 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 05/2030 | 6510000 | 236803 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.585% and pay annually a floating rate based on US SOFR Index, expiring May 2036 | 04/2026 | 2920000 | 44404 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.804% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 08/2026 | 5980000 | 180431 |
| TOTAL CALL SWAPTIONS |  |  | 5030088 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $10,995,029) |  |  | <br> **9426521** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 119.4%**<br> (Cost $54,009,998,096)<br>| <br>**52956705914** |
| **NET OTHER ASSETS (LIABILITIES) - (19.4)%** (z)(Aa)(Ab)  | **(8598519861)** |
| **NET ASSETS - 100.0%** | **44358186053** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2% 12/1/2055 | (126000) | (104993) |
| Ginnie Mae II Pool 2.5% 12/1/2055 | (111000) | (96345) |
| Ginnie Mae II Pool 3% 12/1/2055 | (103000) | (92933) |
| Ginnie Mae II Pool 3.5% 12/1/2055 | (30000) | (27515) |
| Ginnie Mae II Pool 4% 12/1/2055 | (17899000) | (16978881) |
| Ginnie Mae II Pool 4.5% 12/1/2055 | (47361000) | (46324978) |
| Ginnie Mae II Pool 5% 12/1/2055 | (147118000) | (146957082) |
| Ginnie Mae II Pool 5.5% 12/1/2055 | (96585000) | (97565937) |
| Ginnie Mae II Pool 6% 1/1/2056 | (21350000) | (21762821) |
| Ginnie Mae II Pool 6% 12/1/2055 | (129059000) | (131509108) |
| Ginnie Mae II Pool 6.5% 12/1/2055 | (3061000) | (3154504) |
| Uniform Mortgage Backed Securities 2% 12/1/2040 | (191000) | (176600) |
| Uniform Mortgage Backed Securities 2% 12/1/2055 | (199044000) | (162034256) |
| Uniform Mortgage Backed Securities 2.5% 12/1/2040 | (60000) | (56714) |
| Uniform Mortgage Backed Securities 2.5% 12/1/2055 | (31615000) | (26907331) |
| Uniform Mortgage Backed Securities 2.5% 12/1/2056 | (2000000) | (1702656) |
| Uniform Mortgage Backed Securities 3% 12/1/2040 | (35000) | (33690) |
| Uniform Mortgage Backed Securities 3% 1/1/2041 | (13000) | (12507) |
| Uniform Mortgage Backed Securities 3% 12/1/2055 | (628000) | (557792) |
| Uniform Mortgage Backed Securities 3.5% 12/1/2040 | (12000) | (11670) |
| Uniform Mortgage Backed Securities 3.5% 1/1/2041 | (20000) | (19427) |
| Uniform Mortgage Backed Securities 3.5% 21/1/2055 | (35485000) | (32823625) |
| Uniform Mortgage Backed Securities 4% 12/1/2040 | 9000 | (8878) |
| Uniform Mortgage Backed Securities 4% 12/1/2055 | 395822336 | (377082602) |
| Uniform Mortgage Backed Securities 4.5% 12/1/2040 | (92000) | (92022) |
| Uniform Mortgage Backed Securities 4.5% 1/1/2056 | (119700000) | (117086243) |
| Uniform Mortgage Backed Securities 4.5% 12/1/2055 | (865940000) | (847741751) |
| Uniform Mortgage Backed Securities 5% 12/1/2055 | (423892436) | (423097638) |
| Uniform Mortgage Backed Securities 5.5% 12/1/2055 | (751649000) | (761162020) |
| Uniform Mortgage Backed Securities 6% 12/1/2055 | (217681000) | (222901948) |
| Uniform Mortgage Backed Securities 6.5% 12/1/2055 | (99979000) | (103564187) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (3541648654) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $3,526,968,123) |  | <br> **(3541648654)** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions |  |  |  |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.535% and pay annually a floating rate based on US SOFR Index, expiring December 2035 | 11/2025 | 7900000 | (1) |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.48% and pay annually a floating rate based on US SOFR Index, expiring December 2035 | 12/2025 | 7650000 | (5038) |
| Option on an interest rate swap with BNP Paribas SA to receive annually a fixed rate of 3.48% and pay annually a floating rate based on US SOFR Index, expiring December 2035 | 12/2025 | 7650000 | (5038) |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.25% and receive annually a floating rate based on US SOFR Index, expiring May 2056 | 04/2026 | 12838000 | (45061) |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.4425% and pay annually a floating rate based on US SOFR Index, expiring December 2035 | 12/2025 | 3400000 | (6259) |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.545% and pay annually a floating rate based on US SOFR Index, expiring December 2035 | 12/2025 | 11800000 | (35730) |
| TOTAL PUT SWAPTIONS |  |  | (97127) |
| Call Swaptions |  |  |  |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.845% and pay annually a floating rate based on US SOFR Index, expiring December 2035 | 12/2025 | 11800000 | (4436) |
| Option on an interest rate swap with BNP Paribas SA to receive annually a fixed rate of 3.78% and pay annually a floating rate based on US SOFR Index, expiring December 2035 | 12/2025 | 7650000 | (1930) |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.7425% and pay annually a floating rate based on US SOFR Index, expiring December 2035 | 12/2025 | 3400000 | (7597) |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.78% and pay annually a floating rate based on US SOFR Index, expiring December 2035 | 12/2025 | 7650000 | (1930) |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.785% and pay annually a floating rate based on US SOFR Index, expiring December 2035 | 11/2025 | 7900000 | (1) |
| TOTAL CALL SWAPTIONS |  |  | (15894) |
| **TOTAL WRITTEN SWAPTIONS** |  |  | **(113021)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value and Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | 1288 | 12/2025 | 94306123 | (1103626) |
| ASX 3Y Australia Treasury Bond Contracts (Australia) | 228 | 12/2025 | 15815280 | (152105) |
| CBOT 10Y US Treasury Notes Contracts (United States) | 10817 | 03/2026 | 1226039344 | 6212109 |
| CBOT 10Y Ultra US Treasury Notes Contracts (United States) | 2107 | 03/2026 | 244872906 | 1583963 |
| CBOT 2Y US Treasury Notes Contracts (United States) | 3949 | 03/2026 | 824754820 | 491760 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 3329 | 03/2026 | 365383758 | 984822 |
| CBOT US Treasury Long Bond Contracts (United States) | 374 | 03/2026 | 43933313 | 328633 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 2098 | 03/2026 | 253923563 | 2283341 |
| Eurex Euro-Bund Contracts (Germany) | 25 | 12/2025 | 3738648 | 15094 |
| Eurex Euro-Bund Contracts (Germany) | 128 | 03/2026 | 19190889 | (19114) |
| ICE Long GILT Futures (United Kingdom) | 122 | 03/2026 | 14789382 | 138778 |
| TMX 10Y Canadian Bond Contracts (Canada) | 336 | 03/2026 | 29571462 | 188166 |
| TOTAL PURCHASED |  |  |  | 10951821 |
| Sold |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | 227 | 12/2025 | 16620722 | 134802 |
| ASX 3Y Australia Treasury Bond Contracts (Australia) | 14 | 12/2025 | 971114 | (86142) |
| CBOT 10Y US Treasury Notes Contracts (United States) | 413 | 03/2026 | 46810969 | (168436) |
| CBOT 10Y Ultra US Treasury Notes Contracts (United States) | 58 | 03/2026 | 6740688 | (45838) |
| CBOT 2Y US Treasury Notes Contracts (United States) | 396 | 03/2026 | 82705219 | (80064) |
| CBOT 5Y US Treasury Notes Contracts (United States) | 1360 | 03/2026 | 149270625 | (228317) |
| CBOT US Treasury Long Bond Contracts (United States) | 18 | 03/2026 | 2114438 | (16173) |
| CBOT US Treasury Ultra Bond Contracts (United States) | 32 | 03/2026 | 3873000 | (32724) |
| Eurex Euro-Bobl Contracts (Germany) | 6 | 12/2025 | 821180 | (1875) |
| Eurex Euro-Bund Contracts (Germany) | 52 | 12/2025 | 7776387 | (4861) |
| Eurex Euro-Buxl Contracts (Germany) | 15 | 12/2025 | 1980717 | (4019) |
| Eurex Euro-Schatz Contracts (Germany) | 1 | 12/2025 | 124128 | 111 |
| ICE Long GILT Futures (United Kingdom) | 21 | 03/2026 | 2545713 | (24449) |
| TOTAL SOLD |  |  |  | (557985) |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **10393836** |
| The notional amount of futures purchased as a percentage of Net Assets is 7.1% | The notional amount of futures purchased as a percentage of Net Assets is 7.1% | The notional amount of futures purchased as a percentage of Net Assets is 7.1% | The notional amount of futures purchased as a percentage of Net Assets is 7.1% | The notional amount of futures purchased as a percentage of Net Assets is 7.1% |
| The notional amount of futures sold as a percentage of Net Assets is 0.6% | The notional amount of futures sold as a percentage of Net Assets is 0.6% | The notional amount of futures sold as a percentage of Net Assets is 0.6% | The notional amount of futures sold as a percentage of Net Assets is 0.6% | The notional amount of futures sold as a percentage of Net Assets is 0.6% |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** |
|  | Counterparty | Number<br> of Contracts | Notional<br> Amount ($) | Exercise<br> Price ($) | Expiration<br> Date | Value ($) |
| Call Options |  |  |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | Chicago Board of Trade | 292 | 3309637500 | 114.00 | 12/2025 | (91250) |
| CBOT 10Y US Treasury Notes Contracts (United States) | Chicago Board of Trade | 387 | 4386403125 | 114.50 | 12/2025 | (72563) |
| Eurex Euro-Bund Contracts (Germany) | Eurex Deutschland | 35 | 452235000 | 130.50 | 01/2026 | (15027) |
|  |  |  |  |  |  | (178840) |
| Put Options |  |  |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | Chicago Board of Trade | 71 | 804740625 | 112.50 | 12/2025 | (16641) |
| CBOT 10Y US Treasury Notes Contracts (United States) | Chicago Board of Trade | 169 | 1915509375 | 111.00 | 12/2025 | (7922) |
| CBOT 10Y US Treasury Notes Contracts (United States) | Chicago Board of Trade | 439 | 4975790625 | 111.50 | 12/2025 | (34297) |
| CBOT 2Y US Treasury Notes Contracts (United States) | Chicago Board of Trade | 88 | 1837893746 | 103.75 | 02/2026 | (8250) |
| Eurex Euro-Bund Contracts (Germany) | Eurex Deutschland | 35 | 452235000 | 127.50 | 01/2026 | (10559) |
|  |  |  |  |  |  | (77669) |
| **TOTAL WRITTEN OPTIONS** |  |  |  |  |  | **(256509)** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| AUD | 18997770 | USD | 12345036 | BNP Paribas SA | 12/2025 | 101353 |
| AUD | 17469230 | USD | 11412124 | JPMorgan Chase Bank NA | 12/2025 | 32842 |
| BRL | 236058 | USD | 43812 | Goldman Sachs Bank USA | 12/2025 | 412 |
| BRL | 127 | USD | 24 | Goldman Sachs Bank USA | 12/2025 | 0 |
| BRL | 66742660 | USD | 12323466 | Goldman Sachs Bank USA | 12/2025 | 180194 |
| BRL | 34659217 | USD | 6265790 | Deutsche Bank AG | 12/2025 | 205505 |
| BRL | 18106441 | USD | 3326555 | Goldman Sachs Bank USA | 01/2026 | 39416 |
| BRL | 1971586 | USD | 365139 | Goldman Sachs International | 01/2026 | (616) |
| BRL | 67970575 | USD | 12365706 | Goldman Sachs Bank USA | 02/2026 | 181121 |
| CAD | 31538257 | USD | 22572471 | Bank of America NA | 12/2025 | (4038) |
| EUR | 174153000 | USD | 201721420 | Barclays Bank PLC | 12/2025 | 357013 |
| EUR | 97681892 | USD | 112600115 | Citibank NA | 12/2025 | 745068 |
| EUR | 7932000 | USD | 9148467 | Morgan Stanley | 12/2025 | 55430 |
| EUR | 1296000 | USD | 1500598 | Morgan Stanley | 12/2025 | 3216 |
| EUR | 440000 | USD | 511025 | BNP Paribas SA | 12/2025 | (208) |
| EUR | 200000 | USD | 232191 | BNP Paribas SA | 12/2025 | (1) |
| EUR | 177000 | USD | 204713 | BNP Paribas SA | 12/2025 | 775 |
| EUR | 40000 | USD | 46368 | Citibank NA | 12/2025 | 70 |
| EUR | 477000 | USD | 561089 | Morgan Stanley & Co International PLC | 12/2025 | (7125) |
| EUR | 507615 | USD | 589594 | BTIG LLC (GB) | 01/2026 | 675 |
| EUR | 770997 | USD | 891924 | BTIG LLC (GB) | 01/2026 | 4613 |
| EUR | 2380064 | USD | 2766244 | Citibank NA | 01/2026 | 1361 |
| EUR | 556313 | USD | 641038 | Citibank NA | 01/2026 | 5859 |
| GBP | 80786334 | USD | 106363287 | Bank of America NA | 12/2025 | 573582 |
| GBP | 1613000 | USD | 2110385 | Barclays Bank PLC | 12/2025 | 24743 |
| GBP | 5170993 | USD | 6769864 | Citibank NA | 12/2025 | 74979 |
| JPY | 644000 | USD | 4128 | STANDARD CHARTERED BANK | 12/2025 | (5) |
| JPY | 797656323 | USD | 5100757 | Morgan Stanley | 12/2025 | 5714 |
| JPY | 56050000 | USD | 366626 | JPMorgan Chase Bank NA | 12/2025 | (7423) |
| MXN | 51396000 | USD | 2654807 | Goldman Sachs Bank USA | 12/2025 | 149098 |
| MXN | 52000878 | USD | 2727872 | UBS AG | 12/2025 | 109032 |
| MXN | 188171717 | USD | 9989474 | UBS AG | 12/2025 | 276219 |
| MXN | 294477111 | USD | 15832954 | JPMorgan Chase Bank NA | 01/2026 | 154528 |
| PEN | 6545123 | USD | 1923000 | Bank of America NA | 12/2025 | 22710 |
| SGD | 1396988 | USD | 1077283 | Goldman Sachs Bank USA | 12/2025 | 765 |
| TRY | 131464566 | USD | 2997505 | Barclays Bank PLC | 12/2025 | 93144 |
| TRY | 43682742 | USD | 992846 | Barclays Bank PLC | 12/2025 | 29882 |
| TRY | 10045551 | USD | 229282 | Barclays Bank PLC | 12/2025 | 5716 |
| TRY | 43979500 | USD | 999035 | Barclays Bank PLC | 12/2025 | 28939 |
| TRY | 90282254 | USD | 2052826 | Barclays Bank PLC | 12/2025 | 53931 |
| TRY | 5115784 | USD | 115899 | Barclays Bank PLC | 12/2025 | 2885 |
| TRY | 2620745 | USD | 58116 | Barclays Bank PLC | 01/2026 | 1456 |
| TRY | 5133231 | USD | 113154 | Barclays Bank PLC | 01/2026 | 2693 |
| TRY | 5412711 | USD | 120000 | Barclays Bank PLC | 01/2026 | 2056 |
| TRY | 564190782 | USD | 12495228 | Barclays Bank PLC | 01/2026 | 186317 |
| TRY | 30360307 | USD | 672864 | Barclays Bank PLC | 01/2026 | 8457 |
| TRY | 35107773 | USD | 773316 | Barclays Bank PLC | 02/2026 | 8177 |
| TRY | 888164514 | USD | 19546519 | Barclays Bank PLC | 02/2026 | 209557 |
| TRY | 50386538 | USD | 1105113 | Goldman Sachs Bank USA | 02/2026 | 9170 |
| TRY | 203103862 | USD | 4449446 | Barclays Bank PLC | 02/2026 | 35586 |
| TRY | 276372443 | USD | 6044627 | Barclays Bank PLC | 02/2026 | 40527 |
| TRY | 45175358 | USD | 988087 | Barclays Bank PLC | 02/2026 | 5853 |
| TRY | 227559587 | USD | 4985422 | Barclays Bank PLC | 02/2026 | 17635 |
| USD | 22074693 | AUD | 33737000 | Bank of America NA | 12/2025 | (28103) |
| USD | 759902 | AUD | 1167000 | Morgan Stanley | 12/2025 | (4658) |
| USD | 1022945 | AUD | 1563000 | State Street Bank & Trust Co | 12/2025 | (1054) |
| USD | 797277 | AUD | 1226000 | Bank of America NA | 12/2025 | (6002) |
| USD | 231272 | AUD | 358000 | JPMorgan Chase Bank NA | 12/2025 | (3291) |
| USD | 71194 | AUD | 109000 | Bank of America NA | 12/2025 | (227) |
| USD | 57159 | AUD | 87000 | Societe Generale SA | 12/2025 | 153 |
| USD | 1041567 | AUD | 1597966 | BTIG LLC (GB) | 01/2026 | (5656) |
| USD | 13486747 | AUD | 20392482 | Citibank NA | 01/2026 | 122590 |
| USD | 12348816 | AUD | 18997770 | BNP Paribas SA | 01/2026 | (101561) |
| USD | 11415827 | AUD | 17469230 | JPMorgan Chase Bank NA | 01/2026 | (32806) |
| USD | 12365706 | BRL | 66978845 | Goldman Sachs Bank USA | 12/2025 | (182201) |
| USD | 6070217 | BRL | 33579771 | JPMorgan Chase Bank NA | 12/2025 | (199533) |
| USD | 365139 | BRL | 1993038 | Morgan Stanley | 12/2025 | (6985) |
| USD | 43812 | BRL | 241026 | Goldman Sachs Bank USA | 03/2026 | (425) |
| USD | 2828953 | BRL | 16200000 | BNP Paribas SA | 04/2026 | (123737) |
| USD | 2800007 | BRL | 16200000 | BNP Paribas SA | 04/2026 | (152684) |
| USD | 4173326 | BRL | 23500000 | BNP Paribas SA | 04/2026 | (109898) |
| USD | 4556567 | BRL | 26000000 | BNP Paribas SA | 04/2026 | (182319) |
| USD | 24672917 | BRL | 137100000 | Goldman Sachs Bank USA | 04/2026 | (315593) |
| USD | 3444070 | BRL | 19200000 | Goldman Sachs Bank USA | 04/2026 | (55415) |
| USD | 14825863 | BRL | 82500000 | Goldman Sachs Bank USA | 04/2026 | (210987) |
| USD | 8325608 | BRL | 47600000 | Goldman Sachs Bank USA | 04/2026 | (350199) |
| USD | 11114376 | BRL | 64300000 | Goldman Sachs Bank USA | 04/2026 | (605254) |
| USD | 11133511 | BRL | 64200000 | Goldman Sachs Bank USA | 04/2026 | (567892) |
| USD | 22753629 | CAD | 31628114 | BNP Paribas SA | 12/2025 | 120896 |
| USD | 42205 | CAD | 59121 | Bank of America NA | 12/2025 | (101) |
| USD | 300072 | CAD | 423000 | Bank of America NA | 12/2025 | (2775) |
| USD | 22572471 | CAD | 31469975 | Bank of America NA | 01/2026 | 1220 |
| USD | 17485838 | EUR | 15150246 | BNP Paribas SA | 12/2025 | (93750) |
| USD | 212597994 | EUR | 183381000 | BNP Paribas SA | 12/2025 | (188148) |
| USD | 3289293 | EUR | 2843355 | BTIG LLC (GB) | 12/2025 | (9994) |
| USD | 996287 | EUR | 863822 | BTIG LLC (GB) | 12/2025 | (6049) |
| USD | 14216861 | EUR | 12314480 | Bank of America NA | 12/2025 | (72245) |
| USD | 77566051 | EUR | 66509989 | Citibank NA | 12/2025 | 391185 |
| USD | 154332 | EUR | 134000 | BNP Paribas SA | 12/2025 | (1235) |
| USD | 49480863 | EUR | 42996000 | Citibank NA | 12/2025 | (435298) |
| USD | 417861 | EUR | 358000 | Deutsche Bank AG | 12/2025 | 2098 |
| USD | 352087 | EUR | 301000 | Deutsche Bank AG | 12/2025 | 2521 |
| USD | 1815065 | EUR | 1541000 | Deutsche Bank AG | 12/2025 | 25428 |
| USD | 16823570 | EUR | 14302000 | Deutsche Bank AG | 12/2025 | 213967 |
| USD | 2545532 | EUR | 2164000 | Deutsche Bank AG | 12/2025 | 32375 |
| USD | 61782 | EUR | 53029 | Deutsche Bank AG | 12/2025 | 197 |
| USD | 1359427 | EUR | 1153000 | Deutsche Bank AG | 12/2025 | 20392 |
| USD | 277073 | EUR | 235000 | JPMorgan Chase Bank NA | 12/2025 | 4156 |
| USD | 716706 | EUR | 606000 | JPMorgan Chase Bank NA | 12/2025 | 12929 |
| USD | 171599 | EUR | 148000 | JPMorgan Chase Bank NA | 12/2025 | (281) |
| USD | 162703 | EUR | 139000 | Morgan Stanley & Co International PLC | 12/2025 | 1276 |
| USD | 28434411 | EUR | 24092089 | BTIG LLC (GB) | 01/2026 | 419453 |
| USD | 378048 | EUR | 325655 | BTIG LLC (GB) | 01/2026 | (634) |
| USD | 623905 | EUR | 535197 | BTIG LLC (GB) | 01/2026 | 1562 |
| USD | 357958 | EUR | 309924 | BTIG LLC (GB) | 01/2026 | (2430) |
| USD | 112848442 | EUR | 97681892 | Citibank NA | 01/2026 | (738807) |
| USD | 510416 | EUR | 440560 | Citibank NA | 01/2026 | (1879) |
| USD | 701247 | EUR | 603342 | Citibank NA | 01/2026 | (336) |
| USD | 202198947 | EUR | 174153000 | Barclays Bank PLC | 01/2026 | (363474) |
| USD | 6903519 | GBP | 5170993 | BTIG LLC (GB) | 12/2025 | 58675 |
| USD | 328330 | GBP | 251000 | Bank of America NA | 12/2025 | (3918) |
| USD | 7416394 | GBP | 5637123 | State Street Bank & Trust Co | 12/2025 | (45466) |
| USD | 432396 | GBP | 329000 | State Street Bank & Trust Co | 12/2025 | (3102) |
| USD | 100850620 | GBP | 76182210 | State Street Bank & Trust Co | 12/2025 | 8228 |
| USD | 12621914 | GBP | 9675000 | Bank of America NA | 12/2025 | (184923) |
| USD | 437775 | GBP | 333000 | JPMorgan Chase Bank NA | 12/2025 | (3018) |
| USD | 835128 | GBP | 620000 | BTIG LLC (GB) | 12/2025 | 14429 |
| USD | 27737 | GBP | 21000 | BTIG LLC (GB) | 12/2025 | (61) |
| USD | 280723 | GBP | 210000 | Deutsche Bank AG | 12/2025 | 2745 |
| USD | 106747 | GBP | 81000 | Deutsche Bank AG | 12/2025 | (473) |
| USD | 170686 | GBP | 128000 | Deutsche Bank AG | 12/2025 | 1251 |
| USD | 253822 | GBP | 193000 | JPMorgan Chase Bank NA | 12/2025 | (1653) |
| USD | 395087 | GBP | 300000 | JPMorgan Chase Bank NA | 12/2025 | (2025) |
| USD | 3593205 | GBP | 2639000 | Morgan Stanley & Co International PLC | 12/2025 | 99943 |
| USD | 273801 | GBP | 208000 | Societe Generale SA | 12/2025 | (1530) |
| USD | 266180 | GBP | 198000 | Societe Generale SA | 12/2025 | 4086 |
| USD | 702453 | GBP | 521000 | Societe Generale SA | 12/2025 | 12802 |
| USD | 2173162 | GBP | 1605600 | Societe Generale SA | 12/2025 | 47818 |
| USD | 719021 | GBP | 547967 | BTIG LLC (GB) | 01/2026 | (6326) |
| USD | 6769921 | GBP | 5170993 | Citibank NA | 01/2026 | (74946) |
| USD | 7913597 | GBP | 5871933 | Citibank NA | 01/2026 | 140892 |
| USD | 106363287 | GBP | 80786334 | Bank of America NA | 01/2026 | (573500) |
| USD | 5254489 | JPY | 797401285 | Bank of America NA | 12/2025 | 149651 |
| USD | 2066188 | JPY | 321750000 | BNP Paribas SA | 12/2025 | 4213 |
| USD | 1467028 | JPY | 225500000 | Goldman Sachs Bank USA | 12/2025 | 21883 |
| USD | 1915964 | JPY | 299250000 | JPMorgan Chase Bank NA | 12/2025 | (1817) |
| USD | 5468888 | JPY | 798239279 | Morgan Stanley | 12/2025 | 349661 |
| USD | 155269 | JPY | 22668000 | Morgan Stanley & Co International PLC | 12/2025 | 9896 |
| USD | 5100757 | JPY | 794193929 | Morgan Stanley | 01/2026 | (7101) |
| USD | 3648543 | JPY | 564979000 | BTIG LLC (GB) | 03/2026 | (4346) |
| USD | 15832954 | MXN | 293083811 | JPMorgan Chase Bank NA | 12/2025 | (156209) |
| USD | 1923000 | PEN | 6699347 | Bank of America NA | 12/2025 | (68557) |
| USD | 1923000 | PEN | 6510509 | JPMorgan Chase Bank NA | 01/2026 | (10135) |
| USD | 1082515 | SGD | 1398313 | Bank of America NA | 12/2025 | 3445 |
| USD | 1077283 | SGD | 1392495 | Goldman Sachs Bank USA | 01/2026 | (874) |
| USD | 20518 | TRY | 884951 | BNP Paribas SA | 12/2025 | (287) |
| USD | 521332 | TWD | 15604509 | Morgan Stanley | 12/2025 | 23548 |
| USD | 214351 | TWD | 6493764 | BNP Paribas SA | 01/2026 | 6642 |
| USD | 580603 | TWD | 17726971 | BNP Paribas SA | 01/2026 | 13590 |
| USD | 428701 | TWD | 12978065 | BNP Paribas SA | 01/2026 | 13586 |
| USD | 379153 | TWD | 11501606 | BNP Paribas SA | 01/2026 | 11264 |
| USD | 245811 | TWD | 7467738 | BNP Paribas SA | 01/2026 | 6949 |
| USD | 912819 | TWD | 27936814 | BNP Paribas SA | 01/2026 | 19234 |
| USD | 1180273 | TWD | 35992425 | Bank of America NA | 01/2026 | 29023 |
| USD | 1082733 | ZAR | 18682558 | Barclays Bank PLC | 12/2025 | (8926) |
| USD | 999624 | ZAR | 17165743 | Goldman Sachs Bank USA | 12/2025 | (3405) |
| USD | 1882530 | ZAR | 32614832 | UBS AG | 12/2025 | (23220) |
| USD | 2488292 | ZAR | 43794000 | BTIG LLC (GB) | 12/2025 | (68096) |
| USD | 2512204 | ZAR | 43668887 | Morgan Stanley | 01/2026 | (28776) |
| ZAR | 64376431 | USD | 3761415 | Goldman Sachs Bank USA | 12/2025 | 229 |
| ZAR | 33462323 | USD | 1947182 | JPMorgan Chase Bank NA | 12/2025 | 8089 |
| ZAR | 43922884 | USD | 2512204 | Morgan Stanley | 12/2025 | 51707 |
| ZAR | 18755209 | USD | 1082733 | Barclays Bank PLC | 01/2026 | 8669 |
| ZAR | 17233838 | USD | 999624 | Goldman Sachs Bank USA | 01/2026 | 3247 |
| ZAR | 32740397 | USD | 1882530 | UBS AG | 01/2026 | 22698 |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **102743** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 6568765 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (6466022) |

---

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty(4) | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(1) | Notional<br> Amount(3)(1) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($)(5) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index |  | 12/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 9000000 | (39745) | (139495) | (179240) |
| CMBX AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 720000 | (3180) | (6255) | (9435) |
| CMBX AAA Series 13 Index |  | 12/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 6000000 | (26497) | (38765) | (65262) |
| CMBX AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 2140000 | (9450) | (22271) | (31721) |
| CMBX BBB- Series 16 Index |  | 04/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 20000 | 3470 | (4875) | (1405) |
| CMBX BBB- Series 16 Index |  | 04/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 20000 | 3470 | (5068) | (1598) |
| CMBX BBB- Series 16 Index |  | 04/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 90000 | 15615 | (22817) | (7202) |
| CMBX BBB- Series 16 Index |  | 04/2065 | JPMorgan Securities LLC | (3%) | Monthly |  | 20000 | 3470 | (5510) | (2040) |
| CMBX BBB- Series 16 Index |  | 04/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 50000 | 8675 | (13916) | (5241) |
| CMBX BBB- Series 16 Index |  | 04/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 60000 | 10410 | (17426) | (7016) |
| CMBX BBB- Series 16 Index |  | 04/2065 | JPMorgan Securities LLC | (3%) | Monthly |  | 370000 | 64195 | (107931) | (43736) |
| CMBX BBB- Series 16 Index |  | 04/2065 | JPMorgan Securities LLC | (3%) | Monthly |  | 120000 | 20820 | (30556) | (9736) |
| CMBX BBB- Series 16 Index |  | 04/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 10000 | 1735 | (2467) | (732) |
| CMBX BBB- Series 16 Index |  | 04/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 150000 | 26025 | (33269) | (7244) |
| CMBX BBB- Series 16 Index |  | 04/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 190000 | 32965 | (30850) | 2115 |
| American Express Co 4.05% 5/3/2029 |  | 12/2029 | Goldman Sachs International | (1%) | Quarterly |  | 540000 | (17188) | 13339 | (3849) |
| American Electric Power Co Inc 3.2% 11/13/2027 |  | 12/2029 | Bank of America NA | (1%) | Quarterly |  | 1267000 | (38615) | 30818 | (7797) |
| Dominion Energy Inc 4.25% 6/1/2028 |  | 12/2029 | Goldman Sachs International | (1%) | Quarterly |  | 734000 | (20597) | 17383 | (3214) |
| CMBX BBB Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 100000 | 15315 | (14602) | 713 |
| CMBX BBB- Series 16 Index |  | 04/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 100000 | 17350 | (15171) | 2179 |
| CMBX BBB Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 600000 | 91892 | (88841) | 3051 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 300000 | 28459 | (11890) | 16569 |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 400000 | (225) | 202 | (23) |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 200000 | (112) | 112 | 0 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 400000 | 37945 | (15089) | 22856 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 200000 | 18972 | (7761) | 11211 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 200000 | 18972 | (7646) | 11326 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 100000 | 9486 | (3823) | 5663 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 900000 | 85376 | (32326) | 53050 |
| CMBX BB Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (5%) | Monthly |  | 100000 | 16707 | (6574) | 10133 |
| CMBX BBB- Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (3%) | Monthly |  | 200000 | 18972 | (9788) | 9184 |
| CMBX BBB Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 300000 | 45946 | (47520) | (1574) |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 1100000 | 104348 | (115978) | (11630) |
| CMBX BB Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (5%) | Monthly |  | 600000 | 100243 | (88317) | 11926 |
| CMBX BB Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly |  | 200000 | 33414 | (29068) | 4346 |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 3500000 | (1968) | (6446) | (8414) |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 100000 | 9486 | (7363) | 2123 |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 5100000 | (2868) | 4895 | 2027 |
| Aviva PLC 6.125% 11/14/2036 |  | 12/2030 | Citibank NA | (1%) | Quarterly | EUR | 1150000 | (6299) | 316 | (5983) |
| Commerzbank AG 4% 12/5/2030 |  | 12/2030 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 1000000 | 1627 | (11977) | (10350) |
| Heidelberg Materials AG 3.75% 5/31/2032 |  | 12/2030 | JPMorgan Chase Bank NA | (5%) | Quarterly | EUR | 1170000 | (294455) | 273435 | (21020) |
| Allianz SE 2.121% 7/8/2050 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 1500000 | (23113) | 16955 | (6158) |
| UniCredit SpA 5.375% 4/16/2034 |  | 12/2030 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 1050000 | (2301) | (6581) | (8882) |
| Societe Generale SA 5.25% 9/6/2032 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 900000 | 3909 | (12452) | (8543) |
| CMBX AAA Series 16 Index |  | 04/2065 | Goldman Sachs & Co LLC | (0.5%) | Monthly |  | 3199332 | 22804 | (30187) | (7383) |
| Deutsche Bank AG 5.625% 5/19/2031 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 900000 | 9263 | (15670) | (6407) |
| Generali 4.125% 5/4/2026 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 1200000 | (7561) | 3304 | (4257) |
| Intesa Sanpaolo SpA 6.184% 2/20/2034 |  | 12/2030 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 1000000 | (7674) | 2201 | (5473) |
| BMW Finance NV 0.75% 7/13/2026 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 2000000 | (60178) | 48759 | (11419) |
| CMBX BBB- Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (3%) | Monthly |  | 500000 | 47431 | (40877) | 6554 |
| CMBX BBB- Series 16 Index |  | 04/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 400000 | 69400 | (68252) | 1148 |
| CMBX AAA Series 16 Index |  | 04/2065 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 4499061 | 32068 | (39594) | (7526) |
| 5Y CDX NA HY Series 45 Index |  | 12/2030 | ICE | (5%) | Quarterly |  | 18660000 | (89517) | 0 | (89517) |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  |  | 378692 | (803545) | (424853) |
| Sell Protection |  |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index | NR | 12/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 7030000 | 31045 | 154389 | 185434 |
| CMBX AAA Series 13 Index | NR | 12/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 10830000 | 47826 | 244600 | 292426 |
| CMBX AAA Series 12 Index | NR | 08/2061 | JPMorgan Securities LLC | 0.5% | Monthly |  | 1000000 | 5667 | 4178 | 9845 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 300000 | (4065) | 6511 | 2446 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 2400000 | (32521) | 58003 | 25482 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 600000 | (8130) | 14398 | 6268 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 300000 | (4065) | 7245 | 3180 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 900000 | (12196) | 23187 | 10991 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 400000 | (5420) | 8042 | 2622 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 900000 | (12196) | 18303 | 6107 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1700000 | (23036) | 34362 | 11326 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 600000 | (8130) | 9308 | 1178 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1000000 | (13551) | 15515 | 1964 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1800000 | (24391) | 23829 | (562) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1500000 | (20326) | 19082 | (1244) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1900000 | (25746) | 24956 | (790) |
| PacifiCorp 3.3% 3/15/2051 | NR | 09/2027 | JPMorgan Chase Bank NA | 1.56197% | Monthly |  | 465000 | (366) | 43 | (323) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 2400000 | (32521) | 35688 | 3167 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 5700000 | (77238) | 88007 | 10769 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 1300000 | (17616) | 31661 | 14045 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 1500000 | (20326) | 40308 | 19982 |
| Petroleos Mexicanos 6.625% 6/15/2035 | NR | 05/2026 | Goldman Sachs International | 4.75% | Monthly |  | 5600000 | 93840 | 0 | 93840 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 3700000 | (50137) | 62822 | 12685 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1000000 | (13551) | 16992 | 3441 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 1700000 | (23036) | 22291 | (745) |
| iTraxx Crossover Series 44 Index | NR | 12/2030 | Goldman Sachs International | 5% | Quarterly | EUR | 227000 | 37685 | (35612) | 2073 |
| SoftBank Group Corp 2.84% 12/14/2029 | NR | 06/2026 | Goldman Sachs International | 1% | Quarterly |  | 2630000 | (1166) | 7019 | 5853 |
| Slovakia Treasury Bill 0.625% 5/22/2026 | NR | 12/2027 | Barclays Bank PLC | 1% | Quarterly |  | 1115000 | 21476 | (19528) | 1948 |
| State of Qatar 9.75% 6/15/2030 | NR | 12/2026 | Barclays Bank PLC | 1% | Quarterly |  | 1585000 | 19050 | (15970) | 3080 |
| Panamanian Republic 8.875% 9/30/2027 | NR | 06/2026 | Citibank NA | 1% | Quarterly |  | 831000 | 3868 | (3310) | 558 |
| Altice France SA 4.75% 10/15/2030 | NR | 06/2027 | JPMorgan Chase Bank NA | 5% | Quarterly | EUR | 57000 | 2587 | (1939) | 648 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 3300000 | (42625) | 42762 | 137 |
| 5Y CDX NA IG Series 41 Index | NR | 12/2028 | ICE | 1% | Quarterly |  | 200000 | (95) | 0 | (95) |
| Boeing Co 2.6% 10/30/2025 | NR | 12/2029 | ICE | 1% | Quarterly |  | 300000 | 11053 | 0 | 11053 |
| 5Y CDX NA IG Series 43 Index | NR | 12/2029 | ICE | 1% | Quarterly |  | 1900000 | 4435 | 0 | 4435 |
| 5Y CDX NA HY Series 43 Index | NR | 12/2029 | ICE | 5% | Quarterly |  | 82900000 | 1017970 | 0 | 1017970 |
| Verizon Communications Inc 4.125% 3/16/2027 | NR | 12/2029 | ICE | 1% | Quarterly |  | 7000000 | 9229 | 0 | 9229 |
| AT&T Inc 3.8% 2/15/2027 | NR | 12/2025 | ICE | 1% | Quarterly |  | 11000000 | (72599) | 0 | (72599) |
| Barclays Bank PLC | NR | 12/2025 | ICE | 1% | Quarterly | EUR | 10600000 | (65658) | 0 | (65658) |
| 5Y CDX NA IG Series 44 Index | NR | 06/2030 | ICE | 1% | Quarterly |  | 218200000 | 1932073 | 0 | 1932073 |
| 5Y CDX NA HY Series 44 Index | NR | 06/2030 | ICE | 5% | Quarterly |  | 13700000 | 839053 | 0 | 839053 |
| Morgan Stanley 7.25% 4/1/2032 | NR | 06/2026 | ICE | 1% | Quarterly |  | 8400000 | (3670) | 0 | (3670) |
| Boeing Co 5.15% 5/1/2030 | NR | 12/2030 | ICE | 1% | Quarterly |  | 9400000 | (24797) | 0 | (24797) |
| 5Y CDX NA IG Series 45 Index | NR | 12/2030 | ICE | 1% | Quarterly |  | 441500000 | 635250 | 0 | 635250 |
| 5Y CDX NA HY Series 45 Index | NR | 12/2030 | ICE | 5% | Quarterly |  | 200000000 | 1248255 | 0 | 1248255 |
| Deutsche Bank AG 3 month EURIBOR + 0.5%, 0.02% 12/7/2020 | NR | 12/2030 | ICE | 1% | Quarterly | EUR | 21500000 | 86292 | 0 | 86292 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  |  | 5407480 | 937142 | 6344622 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  |  | **5786172** | **133597** | **5919769** |

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

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

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

(4)Swaps with Intercontinental Exchange (ICE) are centrally cleared swaps.

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

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| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| 3.75% | Annual | U.S. SOFR Index(4) | Annual | LCH | 12/2034 |  | 16390000 | 127503 | 0 | 127503 |
| U.S. SOFR Index(4) | Annual | 3.69392% | Annual | CME | 04/2031 |  | 8625000 | (29058) | 0 | (29058) |
| ESTR Volume Weighted Trimmed Mean Rate Index(4) | Annual | 2.0628% | Annual | LCH | 10/2029 | EUR | 9300000 | 6552 | 0 | 6552 |
| ESTR Volume Weighted Trimmed Mean Rate Index(4) | Annual | 2.0563% | Annual | LCH | 10/2029 | EUR | 6100000 | 5787 | 0 | 5787 |
| U.S. SOFR Index(4) | Annual | 3.76473% | Annual | LCH | 12/2054 |  | 5900000 | 204492 | 0 | 204492 |
| U.S. SOFR Index(4) | Annual | 3.89548% | Annual | LCH | 11/2054 |  | 24961000 | 300600 | 0 | 300600 |
| Canadian Overnight Repo Rate(4) | Semi-Annual | 3% | Semi-Annual | LCH | 06/2034 | CAD | 14000000 | (131271) | 0 | (131271) |
| 0.9975% | At Maturity | TONAR(4) | At Maturity | LCH | 03/2027 | JPY | 1769432663 | (12662) | 0 | (12662) |
| 1.0265% | At Maturity | TONAR(4) | At Maturity | LCH | 03/2027 | JPY | 4330130334 | (39439) | 0 | (39439) |
| 1.01846% | At Maturity | TONAR(4) | At Maturity | LCH | 03/2027 | JPY | 4011480789 | (34349) | 0 | (34349) |
| 2.52% | Annual | 6M EURIBOR(4) | Semi-Annual | LCH | 03/2035 | EUR | 1600000 | (28453) | 0 | (28453) |
| U.S. SOFR Index(4) | Annual | 3.80662% | Annual | LCH | 02/2055 |  | 2500000 | 68293 | 0 | 68293 |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | 06/2055 |  | 5000000 | 145306 | 0 | 145306 |
| U.S. SOFR Index(4) | Annual | 3.65471% | Annual | LCH | 02/2055 |  | 2300000 | 123602 | 0 | 123602 |
| U.S. SOFR Index(4) | Annual | 3.64159% | Annual | LCH | 02/2055 |  | 4500000 | 252102 | 0 | 252102 |
| 6M EURIBOR(4) | Semi-Annual | 2.4% | Annual | LCH | 04/2030 | EUR | 2500000 | (3702) | 0 | (3702) |
| 0.685% | At Maturity | TONAR(4) | At Maturity | LCH | 04/2027 | JPY | 1717811321 | 28259 | 0 | 28259 |
| 0.683% | At Maturity | TONAR(4) | At Maturity | LCH | 04/2027 | JPY | 1697961056 | 28166 | 0 | 28166 |
| 3.75% | Annual | U.S. SOFR Index(4) | Annual | LCH | 05/2035 |  | 3930000 | 55196 | 0 | 55196 |
| 0.698% | At Maturity | TONAR(4) | At Maturity | LCH | 05/2027 | JPY | 1355925736 | 22955 | 0 | 22955 |
| 13.32% | At Maturity | Brazil CETIP Interbank Deposit Overnight Rate(4) | At Maturity | CME | 01/2029 | BRL | 11500000 | 17416 | 0 | 17416 |
| 13.9271% | At Maturity | Brazil CETIP Interbank Deposit Overnight Rate(4) | At Maturity | CME | 01/2027 | BRL | 198200000 | (27504) | 0 | (27504) |
| 13.9255% | At Maturity | Brazil CETIP Interbank Deposit Overnight Rate(4) | At Maturity | CME | 01/2027 | BRL | 20500000 | (2737) | 0 | (2737) |
| 13.2914% | At Maturity | Brazil CETIP Interbank Deposit Overnight Rate(4) | At Maturity | CME | 01/2029 | BRL | 108900000 | 152423 | 0 | 152423 |
| 13.3537% | At Maturity | Brazil CETIP Interbank Deposit Overnight Rate(4) | At Maturity | CME | 01/2029 | BRL | 15700000 | 26061 | 0 | 26061 |
| 14.0087% | At Maturity | Brazil CETIP Interbank Deposit Overnight Rate(4) | At Maturity | CME | 01/2027 | BRL | 13100000 | 804 | 0 | 804 |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 05/2032 |  | 2600000 | (43765) | 0 | (43765) |
| 0.82331% | At Maturity | TONAR(4) | At Maturity | LCH | 03/2027 | JPY | 1750000000 | 7401 | 0 | 7401 |
| 2.429% | At Maturity | US CPI Urban Consumer NSA Index(4) | At Maturity | LCH | 04/2030 |  | 2137000 | (12061) | 0 | (12061) |
| 2.428% | At Maturity | US CPI Urban Consumer NSA Index(4) | At Maturity | LCH | 04/2030 |  | 4338110 | (24303) | 0 | (24303) |
| 13.4% | At Maturity | Brazil CETIP Interbank Deposit Overnight Rate(4) | At Maturity | CME | 01/2029 | BRL | 148200000 | 310149 | 0 | 310149 |
| Brazil CETIP Interbank Deposit Overnight Rate(4) | At Maturity | 13.0166% | At Maturity | CME | 01/2029 | BRL | 202700000 | (148013) | 0 | (148013) |
| Brazil CETIP Interbank Deposit Rate(4) | At Maturity | 13% | At Maturity | CME | 01/2029 | BRL | 49200000 | (33187) | 0 | (33187) |
| 6M EURIBOR(4) | Semi-Annual | 3% | Annual | LCH | 03/2056 | EUR | 830000 | 30989 | 0 | 30989 |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 12/2027 |  | 190521000 | 430003 | 0 | 430003 |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 12/2028 |  | 188233000 | 753840 | 0 | 753840 |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 12/2029 |  | 63960000 | 330127 | 0 | 330127 |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 12/2032 |  | 22188000 | 117828 | 0 | 117828 |
| 3.75% | Annual | U.S. SOFR Index(4) | Annual | LCH | 12/2035 |  | 4392000 | (32895) | 0 | (32895) |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 12/2045 |  | 1834000 | 29336 | 0 | 29336 |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 12/2030 |  | 5000000 | (2113) | 0 | (2113) |
| 2.6315% | At Maturity | US CPI Urban Consumer NSA Index(4) | At Maturity | LCH | 09/2030 |  | 8928000 | (69228) | 0 | (69228) |
| 1.007% | At Maturity | TONAR(4) | At Maturity | LCH | 09/2027 | JPY | 1104265000 | (5165) | 0 | (5165) |
| SONIA(4) | Annual | 4.5% | Annual | LCH | 03/2056 | GBP | 5600000 | 33285 | 0 | 33285 |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  |  | **2928570** | **0** | **2928570** |

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

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

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

(4)Represents floating rate.

**Currency Abbreviations**

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| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| BRL | - | Brazilian Real |
| CAD | - | Canadian Dollar |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| JPY | - | Japanese Yen |
| MXN | - | Mexican Peso |
| PEN | - | Peruvian New Sol |
| SGD | - | Singapore Dollar |
| TRY | - | New Turkish Lira |
| TWD | - | Taiwan Dollar |
| USD | - | United States Dollar |
| ZAR | - | South African Rand |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $5,062,488,445 or 11.4% of net assets.

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

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

(e) Security exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $362,010,629 or 0.8% of net assets.

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

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

(h) Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(i) Level 3 security.

(j) Principal Only Strips represent the right to receive the monthly principal payments.

(k) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.

(l) A coupon rate of 0% signifies an unsettled loan. The coupon rate will be determined upon settlement of the loan after period end.

(m) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

(n) Zero coupon bond which is issued at a discount.

(o) Non-income producing.

(p) Security or a portion of the security is on loan at period end.

(q) Affiliated fund.

(r) Security is perpetual in nature with no stated maturity date.

(s) Non-income producing - Security is in default.

(t) Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasury Obligations as collateral on settlement date.

(u) Investment made with cash collateral received from securities on loan.

(v) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $42,577,582.

(w) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $84,226,293.

(x) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $3,644,860.

(y) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $113,418.

(z) Includes $11,837,000 of cash collateral to cover margin requirements for futures contracts.

(Aa) Includes $8,822,000 of cash collateral segregated to cover margin requirements for centrally cleared swaps.

(Ab) Includes $2,091,887 of cash collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis.

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

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

(Ae) The rate quoted is the annualized seven-day yield of the fund at period end.

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** |
| **Counterparty** | **Lending Rate (%)** | **Settlement Date** | **Maturity Date** | **Repurchase Agreement**<br> **Value ($)** | **Repurchase Agreement Proceeds ($)** | **Collateralized By** | **Collateral Coupon (%)** | **Collateral Maturity Date** | **Collateral Value Received ($)** |
| Australia & New Zealand Banking Group Ltd | 4.14 | 11/2025 | 12/2025 | 200000000 | 200069000 | U.S. Treasuries (including strips) | 2.375 - 3 | 02/2024 - 08/2052 | 205739852 |
| BofA Securities, Inc. | 4.16 | 11/2025 | 12/2025 | 929100000 | 929422088 | U.S. Treasuries (including strips) | 4 - 4.25 | 02/2028 - 02/2028 | 949448727 |
| Citigroup Global Capital Markets Inc | 4.15 | 11/2025 | 12/2025 | 375000000 | 375129688 | U.S. Treasuries (including strips) | 4 | 05/2030 | 382923929 |
| **Total Repurchase Agreements** |  |  |  | 1504100000 | 1504620776 |  |  |  | 1538112507 |

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**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 145266497 | 1246589574 | 1088956816 | 6114986 | (769) | - | 302898486 | 302837918 | 0.5% |
| Fidelity Securities Lending Cash Central Fund | 181390075 | 3085780467 | 3139369517 | 591108 | 818 | - | 127801843 | 127789064 | 0.4% |
| Total | 326656572 | 4332370041 | 4228326333 | 6706094 | 49 | - | 430700329 |  |  |

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

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

**Affiliated Underlying Funds**

Fiscal year to date information regarding the Fund's investments in affiliated underlying funds is presented below. Exchanges between classes of the same affiliated underlying funds may occur. If an underlying fund changes its name, the name presented below is the name in effect at period end.

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period |
| Fidelity Investments Money Market Government Portfolio - Institutional Class | 8968650 | 1909396771 | 1882704922 | 8968940 | - | - | 35660499 | 35660499 |
| Fidelity SAI Long-Term Treasury Bond Index Fund | 349521367 | 1459128 | 339870499 | 1459167 | (169037600) | 158888508 | 960904 | 138659 |
| Fidelity SAI Total Bond Fund | 3263760840 | 106401346 | 213351740 | 106406660 | (18737560) | 60950305 | 3199023191 | 346589728 |
| Fidelity SAI U.S. Treasury Bond Index Fund | 549138019 | 254320580 | 691452482 | 4319666 | 3411039 | (244395) | 115172761 | 12811208 |
| Fidelity U.S. Bond Index Fund | 222747313 | 306394324 | 503842390 | 6393523 | 4318109 | 2590192 | 32207548 | 3032726 |
|  | 4394136189 | 2577972149 | 3631222033 | 127547956 | (180046012) | 222184610 | 3383024903 |  |

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

**Investment Valuation**

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

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

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

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

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

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

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Commercial Paper, U.S. Treasury Obligations, Bank Loan Obligations, Bank Notes, Convertible Corporate Bonds, Foreign Government and Government Agency Obligations, Municipal Securities, Non-Convertible Corporate Bonds, Preferred Securities and U.S. Government Agency Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset-Backed Securities, Collateralized Mortgage Obligations, Commercial Mortgage Securities and U.S. Government Agency - Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

Exchange-Traded Funds (ETFs) and Exchange-Traded Notes (ETNs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs and ETNs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs and ETNs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy.

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

Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy.

Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy.

Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

**Derivative Instruments**

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

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

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

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

Equity Risk - Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.

Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.

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

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

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

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

Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.

The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.

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

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

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

Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.

The Fund used exchange-traded options to manage its exposure to the stock market.

The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and/or potential credit events.

Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

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

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

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

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

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

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

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Rutland Square Trust II

- **b. Investment Company Act file number:** 811-21991

- **c. CIK number of Registrant:** 0001364924

- **d. LEI of Registrant:** 1KZ3JN58GDRI3EZKKG06

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

- **a. Name of Series:** Strategic Advisers Core Income Fund

- **b. EDGAR series identifier (if any):** S000029150

- **c. LEI of Series:** JIULD0UMK13CI0PIUL16

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2025-11-30

**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:** $52725517241.68

**Total Liabilities:** $8539057388.73

**Net Assets:** $44186459852.95

**Delayed Delivery Securities:** $7020163230.80

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 274825.38479580 | **1-Year:** 1737631.80438481 | **5-Year:** 3743349.43024461 | **10-Year:** 3978600.37575781 | **30-Year:** 2365643.73488887

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

- **3-Month:** 37928.91277078 | **1-Year:** 132775.10014166 | **5-Year:** 148100.68599806 | **10-Year:** 169461.32181349 | **30-Year:** 71366.21459221

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000089632 | 1.01%                | 0.79%                | 0.67%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $39710280.89             | $253099887.00                              |
| Month 2  | $7471742.41              | $145158365.17                              |
| Month 3  | $7518478.42              | $117464645.47                              |

**Designated Index Information**

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

- **Index Identifier:** 19808143

### Schedule of Portfolio Investments

| Name                                                                                                        | Title                                                                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AT and T INC                                                                                                | AT and T INC 4.5% 05/15/2035                                                                                                     | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     1980000 | PA      | $1923386.41    | 0.00%             | 2035-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                                                | AT and T INC 4.75% 05/15/2046                                                                                                    | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     5130000 | PA      | $4560085.88    | 0.01%             | 2046-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                                                  | ABBVIE INC 4.7% 05/14/2045                                                                                                       | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     4915000 | PA      | $4527689.15    | 0.01%             | 2045-05-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST                                                                              | ACCREDITED MORTGAGE LOAN TRUST TSFR1M+44.448 04/25/2036                                                                          | CUSIP: 004375EX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1072698 | PA      | $1027251.20    | 0.00%             | 2036-04-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| AETNA INC                                                                                                   | AETNA INC 4.5% 05/15/2042                                                                                                        | CUSIP: 00817YAJ7<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |        6000 | PA      | $5207.16       | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AETNA INC                                                                                                   | AETNA INC 4.75% 03/15/2044                                                                                                       | CUSIP: 00817YAP3<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |       95000 | PA      | $83835.11      | 0.00%             | 2044-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                                                     | ALABAMA POWER CO 6.125% 05/15/2038                                                                                               | CUSIP: 010392EZ7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      835000 | PA      | $920892.09     | 0.00%             | 2038-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                                                     | ALABAMA POWER CO 5.5% 03/15/2041                                                                                                 | CUSIP: 010392FD5<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |       36000 | PA      | $36359.40      | 0.00%             | 2041-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                                                     | ALABAMA POWER CO 4.1% 01/15/2042                                                                                                 | CUSIP: 010392FG8<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      225000 | PA      | $195082.58     | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                                                     | ALABAMA POWER CO 3.85% 12/01/2042                                                                                                | CUSIP: 010392FJ2<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      700000 | PA      | $583741.98     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                                                        | CREDIT SUISSE GRP AG 7.5%/VAR PERP REGS                                                                                          | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | EP               | CORP              | CH        |     2750000 | PA      | $742500.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| ALTRIA GROUP INC                                                                                            | ALTRIA GROUP INC 4.25% 08/09/2042                                                                                                | CUSIP: 02209SAM5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      490000 | PA      | $416182.04     | 0.00%             | 2042-08-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                                                   | HESS CORP 7.875% 10/01/2029                                                                                                      | CUSIP: 023551AF1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     5583000 | PA      | $6348314.51    | 0.01%             | 2029-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                                                   | HESS CORP 7.3% 08/15/2031                                                                                                        | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     2018000 | PA      | $2335516.80    | 0.01%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                                                   | HESS CORP 7.125% 03/15/2033                                                                                                      | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     1335000 | PA      | $1560008.47    | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN MUN PWR REV                                                                                        | AMERICAN MUN OH 8.084% 2/15/50                                                                                                   | CUSIP: 02765UEK6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      435000 | PA      | $560695.51     | 0.00%             | 2050-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                                                                               | ANGLIAN WATER SVCS FINANC PLC 6.293% 07/30/2030 REGS                                                                             | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |      150000 | PA      | $209278.39     | 0.00%             | 2030-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARGENT SECS INC                                                                                             | ARSI TSFR1M+75.448 01/25/2036                                                                                                    | CUSIP: 040104QP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2082849 | PA      | $1972161.74    | 0.00%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE CO                                                                                   | ARIZONA PUBLIC SERVICE CO 4.7% 01/15/2044                                                                                        | CUSIP: 040555CP7<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |        4000 | PA      | $3481.29       | 0.00%             | 2044-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                                                           | ATMOS ENERGY CORP 5.5% 06/15/2041                                                                                                | CUSIP: 049560AK1<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |       57000 | PA      | $59217.02      | 0.00%             | 2041-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                                                       | BBCCRE TRUST 2015-GTP A 3.966% 08/10/2033 144A                                                                                   | CUSIP: 05490TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      274000 | PA      | $253524.83     | 0.00%             | 2033-08-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAIRD FDS INC                                                                                               | Baird Aggregate Bond Inst                                                                                                        | CUSIP: 057071854<br>LEI: 5493001CJOVRFMYFIJ62 | Long             | EC               | RF                | US        |   115377851 | NS      | $1156086065.87 | 2.62%             |  |  |  | No            |                  1 | On Loan: No      |
| BAIRD FDS INC                                                                                               | Baird Core Plus Bond Inst                                                                                                        | CUSIP: 057071870<br>LEI: 5493001CJOVRFMYFIJ62 | Long             | EC               | RF                | US        |   108244875 | NS      | $1122499349.96 | 2.54%             |  |  |  | No            |                  1 | On Loan: No      |
| BAKER HUGHES A GE CO LLC                                                                                    | BAKER HUGHES A GE CO LLC 5.125% 09/15/2040                                                                                       | CUSIP: 057224AZ0<br>LEI: 549300XU3XH6F05YEQ93 | Long             | DBT              | CORP              | US        |       26000 | PA      | $25745.91      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP                                                                                | BAFC 2005-7 30PO 0% 11/35                                                                                                        | CUSIP: 05946XV83<br>LEI: 54930034NF48M07EOO61 | Long             | ABS-CBDO         | CORP              | US        |         528 | PA      | $475.75        | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BANC AMER MTG SECS INC                                                                                      | BOAMS 2004-F 1A1 CSTR 7/34                                                                                                       | CUSIP: 05949AHR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1041 | PA      | $1004.76       | 0.00%             | 2034-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 4.25% 10/22/2026                                                                                     | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    10727000 | PA      | $10749873.50   | 0.02%             | 2026-10-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARRICK NORTH AMERICA FINANCE LLC                                                                           | BARRICK NORTH AMER FIN LLC 5.7% 05/30/2041                                                                                       | CUSIP: 06849RAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2830000 | PA      | $2912755.40    | 0.01%             | 2041-05-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARRICK NORTH AMERICA FINANCE LLC                                                                           | BARRICK NORTH AMER FIN LLC 5.75% 05/01/2043                                                                                      | CUSIP: 06849RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      475000 | PA      | $490464.37     | 0.00%             | 2043-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARRICK PD AUSTRALIA FIN PTY LTD                                                                            | BARRICK PD AUSTRALIA FIN P LTD 5.95% 10/15/2039                                                                                  | CUSIP: 06849UAD7<br>LEI: 5493008DX0TK7OFLV260 | Long             | DBT              | CORP              | AU        |     1340000 | PA      | $1431490.43    | 0.00%             | 2039-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAY AREA TOLL AU CA BRIDGE REV                                                                              | BAY AREA TA CA 6.263% 4/1/49                                                                                                     | CUSIP: 072024ND0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     3565000 | PA      | $3840311.76    | 0.01%             | 2049-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAY AREA TOLL AU CA BRIDGE REV                                                                              | BAY AREA TOLL AUTH CALIF TOLL BRDG REV BUILD AMERICA BONDS-SER S1                                                                | CUSIP: 072024NV0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      540000 | PA      | $629734.50     | 0.00%             | 2050-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                                                       | BAYVIEW COML ASSET TR TSFR1M+71.448 11/25/2035 144A                                                                              | CUSIP: 07324SCC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9988 | PA      | $9836.94       | 0.00%             | 2035-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                                                       | BAYVIEW COML ASSET TR TSFR1M+69.948 01/25/2036 144A                                                                              | CUSIP: 07324SCS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23507 | PA      | $22502.99      | 0.00%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                                                       | BAYVIEW COML ASSET TR TSFR1M+78.948 01/25/2036 144A                                                                              | CUSIP: 07324SCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7588 | PA      | $7271.30       | 0.00%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 06 4                                                                                  | BAYVIEW COML ASSET TR 06 4 TSFR1M+51.948 12/25/2036 144A                                                                         | CUSIP: 07325BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       51387 | PA      | $49213.19      | 0.00%             | 2036-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 1                                                                                | BAYVIEW COML ASSET TR 2007 1 TSFR1M+51.948 03/25/2037 144A                                                                       | CUSIP: 07325MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12641 | PA      | $12133.60      | 0.00%             | 2037-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASST TR 2007 2                                                                                 | BAYVIEW COML ASST TR 2007 2 TSFR1M+38.448 07/25/2037 144A                                                                        | CUSIP: 07325XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       42543 | PA      | $39940.79      | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASST TR 2007 2                                                                                 | BAYVIEW COML ASST TR 2007 2 TSFR1M+43.448 07/25/2037 144A                                                                        | CUSIP: 07325XAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39318 | PA      | $36247.43      | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASST TR 2007 2                                                                                 | BAYVIEW COML ASST TR 2007 2 TSFR1M+48.448 07/25/2037 144A                                                                        | CUSIP: 07325XAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13383 | PA      | $12697.44      | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                                                | BAYVIEW COML ASSET TR 2007 3 TSFR1M+54.948 07/25/2037 144A                                                                       | CUSIP: 07325YAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13935 | PA      | $13280.00      | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                                                | BAYVIEW COML ASSET TR 2007 3 TSFR1M+57.948 07/25/2037 144A                                                                       | CUSIP: 07325YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7385 | PA      | $6822.16       | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                                                | BAYVIEW COML ASSET TR 2007 3 TSFR1M+62.448 07/25/2037 144A                                                                       | CUSIP: 07325YAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7899 | PA      | $7224.62       | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                                                | BAYVIEW COML ASSET TR 2007 3 TSFR1M+66.948 07/25/2037 144A                                                                       | CUSIP: 07325YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12650 | PA      | $11780.59      | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                                                | BAYVIEW COML ASSET TR 2007 3 TSFR1M+86.448 07/25/2037 144A                                                                       | CUSIP: 07325YAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19971 | PA      | $18841.28      | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                                                | BAYVIEW COML ASSET TR 2007 3 TSFR1M+101.448 07/25/2037 144A                                                                      | CUSIP: 07325YAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13359 | PA      | $14841.86      | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR                                                                                         | BSARM 03-7 3A CSTR 10/33                                                                                                         | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         242 | PA      | $242.69        | 0.00%             | 2033-10-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BCKD SEC TR                                                                              | BSABS 2003-SD2 2A CSTR 6/43                                                                                                      | CUSIP: 07384YLJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        2683 | PA      | $2639.61       | 0.00%             | 2043-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BOND FUND AMERICA INC                                                                                       | American Funds Bond Fund of Amer F2                                                                                              | CUSIP: 097873822<br>LEI: F2Q0NH642XF1RP5YCC95 | Long             | EC               | RF                | US        |   127234399 | NS      | $1464467936.96 | 3.31%             |  |  |  | No            |                  1 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                                              | BRANDYWINE OPER PARTNERSHIP LP 4.55% 10/01/2029                                                                                  | CUSIP: 105340AP8<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |     1707000 | PA      | $1640873.89    | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAZIL MINAS SPE                                                                                            | BRAZIL MINAS SPE 5.333% 02/15/2028 REGS                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | KY        |     1194000 | PA      | $1195540.26    | 0.00%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                                              | BURLINGTON NORTHN SANTA FE LLC 5.4% 06/01/2041                                                                                   | CUSIP: 12189LAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      150000 | PA      | $153559.89     | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                                              | BURLINGTON NORTHN SANTA FE LLC 4.375% 09/01/2042                                                                                 | CUSIP: 12189LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       73000 | PA      | $65901.63      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                                            | PARAMOUNT GLOBAL 4.9% 08/15/2044                                                                                                 | CUSIP: 124857AK9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       43000 | PA      | $33598.06      | 0.00%             | 2044-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                                            | PARAMOUNT GLOBAL 4.6% 01/15/2045                                                                                                 | CUSIP: 124857AN3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      676000 | PA      | $513597.98     | 0.00%             | 2045-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES INC                                                                                           | CF INDUSTRIES INC 4.95% 06/01/2043                                                                                               | CUSIP: 12527GAD5<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |      422000 | PA      | $382768.44     | 0.00%             | 2043-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHL MTG PASS THRU TR 2007 16                                                                                | CWHL 2007-16 A1 6.5% 10/37                                                                                                       | CUSIP: 12544MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      213988 | PA      | $83908.92      | 0.00%             | 2037-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHL MTG PASS THRU TR 2007-9                                                                                 | CWHL 2007-9 A11 5.75% 7/37                                                                                                       | CUSIP: 12544XAV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       28756 | PA      | $12902.47      | 0.00%             | 2037-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                                                    | CSX CORP 6.15% 05/01/2037                                                                                                        | CUSIP: 126408GK3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     1475000 | PA      | $1637769.85    | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CSMC TR 2014-USA                                                                                            | CSMC TR 2014-USA 3.953% 09/15/2037 144A                                                                                          | CUSIP: 12649AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5001000 | PA      | $4625086.83    | 0.01%             | 2037-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC TR 2014-USA                                                                                            | CSMC TR 2014-USA 4.3733% 09/15/2037 144A                                                                                         | CUSIP: 12649AAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3944000 | PA      | $3270713.06    | 0.01%             | 2037-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC SER 2015-1R                                                                                            | CSMC SER 2015-1R TSFR1M+39.448 05/27/2037 144A                                                                                   | CUSIP: 12649MBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       37347 | PA      | $37192.10      | 0.00%             | 2037-05-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                                             | CVS HEALTH CORP 5.773% 01/10/2033 144A                                                                                           | CUSIP: 126650BV1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |        6581 | PA      | $6754.03       | 0.00%             | 2033-01-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                                             | CVS HEALTH CORP 5.125% 07/20/2045                                                                                                | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     1834000 | PA      | $1679818.66    | 0.00%             | 2045-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BD CTF 06-11 TR                                                                           | CWL 2006-11 1AF4 CSTR 9/46                                                                                                       | CUSIP: 12666TAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      901245 | PA      | $878937.81     | 0.00%             | 2035-12-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CWABS INC                                                                                                   | CWL 2004-1 3A TSFR1M+67.448 4/34                                                                                                 | CUSIP: 126671Y91<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        8675 | PA      | $8285.30       | 0.00%             | 2034-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CWABS INC                                                                                                   | CWL 2004-6 M1 TSFR1M+101.448 10/34                                                                                               | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        2301 | PA      | $2291.54       | 0.00%             | 2034-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CWALT INC                                                                                                   | CWALT 2005-11CB 2A6 5.5 6/35                                                                                                     | CUSIP: 12667GJJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       18519 | PA      | $14986.21      | 0.00%             | 2025-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CWALT INC                                                                                                   | CWALT 2005-59 1A1 TSFR1M+66 11/35                                                                                                | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       23914 | PA      | $22640.63      | 0.00%             | 2035-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CWALT INC                                                                                                   | CWALT 2005-54CB 1A11 5.5 11/35                                                                                                   | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       13096 | PA      | $9953.11       | 0.00%             | 2035-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CWMBS INC                                                                                                   | CWHL 05-22 2A1 CSTR 11/35                                                                                                        | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        3664 | PA      | $3074.84       | 0.00%             | 2035-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CWMBS INC                                                                                                   | CWALT 06-OA2 A5 TSFR1M+57.448 5/46                                                                                               | CUSIP: 126694S41<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      532945 | PA      | $469689.27     | 0.00%             | 2046-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CWMBS INC PASS THRU CTFS                                                                                    | CWALT 03-J3 2A1 6.25 12/33                                                                                                       | CUSIP: 12669FFD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         273 | PA      | $278.93        | 0.00%             | 2033-12-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS                                                                                      | CWHL 05-R2 1AF1 TSFR1M+34 6/35                                                                                                   | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       32799 | PA      | $30786.86      | 0.00%             | 2035-06-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                                               | CALIFORNIA ST BUILD AMERICA BONDS-TAXABLE-VA                                                                                     | CUSIP: 13063A5E0<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |      205000 | PA      | $241369.03     | 0.00%             | 2034-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                                               | CALIFORNIA ST BUILD AMERICA BONDS-TAXABLE-VA                                                                                     | CUSIP: 13063A5G5<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |      290000 | PA      | $357021.78     | 0.00%             | 2039-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                                                    | DUKE ENERGY PROGRESS LLC 4.1% 05/15/2042                                                                                         | CUSIP: 144141DB1<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |        8000 | PA      | $6927.14       | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHASE MTG FIN TR SER 2007 A1                                                                                | CHASE 2007-A1 3A1 CSTR 2/37                                                                                                      | CUSIP: 161630AL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      298237 | PA      | $288749.12     | 0.00%             | 2037-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CHASE MTG FIN TR SER 2007 A2                                                                                | CHASE 2007-A2 2A1 CSTR 7/37                                                                                                      | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        5322 | PA      | $5231.63       | 0.00%             | 2035-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CHUBB CORP                                                                                                  | CHUBB CORP 6% 05/11/2037                                                                                                         | CUSIP: 171232AQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      130000 | PA      | $142696.02     | 0.00%             | 2037-05-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 4.45% 09/29/2027                                                                                                   | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     4630000 | PA      | $4652708.81    | 0.01%             | 2027-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR                                                                                         | CMLTI 2004-UST1 A3 CSTR 8/34                                                                                                     | CUSIP: 17307GLA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         687 | PA      | $666.11        | 0.00%             | 2034-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COLUMBIA FDS TR II                                                                                          | Columbia Mortgage Opportunities A                                                                                                | CUSIP: 19764F813<br>LEI: N/A                  | Long             | EC               | RF                | US        |    58102326 | NS      | $497355907.02  | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 7.75% 07/15/2036                                                                                                         | CUSIP: 19767QAS4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     2675000 | PA      | $3143005.86    | 0.01%             | 2036-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                                                | COMCAST CORP 4.4% 08/15/2035                                                                                                     | CUSIP: 20030NBP5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      112000 | PA      | $107658.87     | 0.00%             | 2035-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                                                      | COMMONWEALTH EDISON CO 3.7% 03/01/2045                                                                                           | CUSIP: 202795JF8<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     1190000 | PA      | $946789.79     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                                                      | COMMONWEALTH EDISON CO 4.35% 11/15/2045                                                                                          | CUSIP: 202795JG6<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |      415000 | PA      | $358207.68     | 0.00%             | 2045-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                                                      | CONSOLIDATED EDISON CO OF NY 6.2% 06/15/2036                                                                                     | CUSIP: 209111EM1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     1325000 | PA      | $1471179.59    | 0.00%             | 2036-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                                                         | CONSUMERS ENERGY CO 3.95% 05/15/2043                                                                                             | CUSIP: 210518CU8<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |      225000 | PA      | $188443.27     | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                                                         | CONSUMERS ENERGY CO 4.35% 08/31/2064                                                                                             | CUSIP: 210518CX2<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |       14000 | PA      | $11188.30      | 0.00%             | 2064-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COX ENTERPRISES INC                                                                                         | COX ENTERPRISES INC 7.375% 07/15/2027 144A                                                                                       | CUSIP: 224050AE4<br>LEI: TVRMNZKRGA8LPW6XPG60 | Long             | DBT              | CORP              | US        |     1945000 | PA      | $2023796.15    | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                                                  | DCP MIDSTREAM OPER LP 5.6% 04/01/2044                                                                                            | CUSIP: 23311VAF4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     3773000 | PA      | $3661754.49    | 0.01%             | 2044-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DTE ELEC CO                                                                                                 | DTE ELEC CO 4% 04/01/2043                                                                                                        | CUSIP: 23338VAA4<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |      142000 | PA      | $120826.48     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DTE ELEC CO                                                                                                 | DTE ELEC CO 3.95% 06/15/2042                                                                                                     | CUSIP: 250847EK2<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |       11000 | PA      | $9260.61       | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM INTL FIN BV                                                                                | DEUTSCHE TELEKOM INTL FIN BV VAR 06/15/2030                                                                                      | CUSIP: 25156PAC7<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |     2300000 | PA      | $2702112.89    | 0.01%             | 2030-06-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                                                         | DOMINION ENERGY INC 7% 06/15/2038                                                                                                | CUSIP: 25746UBD0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      150000 | PA      | $173026.22     | 0.00%             | 2038-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                                                         | DOMINION ENERGY INC 4.9% 08/01/2041                                                                                              | CUSIP: 25746UBM0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |        1000 | PA      | $934.18        | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DOUBLELINE FDS TR                                                                                           | DoubleLine Total Return Bond N                                                                                                   | CUSIP: 258620202<br>LEI: 54930080M2JY1L0IFX13 | Long             | EC               | RF                | US        |   149156649 | NS      | $1336443579.43 | 3.02%             |  |  |  | No            |                  1 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                                          | DOMINICAN REPUBLIC 7.45% 04/30/2044 REGS                                                                                         | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |      100000 | PA      | $109725.00     | 0.00%             | 2044-04-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                                                   | DUKE ENERGY CAROLINAS LLC 6.1% 06/01/2037                                                                                        | CUSIP: 26442CAA2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      775000 | PA      | $846095.73     | 0.00%             | 2037-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                                                   | DUKE ENERGY CAROLINAS LLC 4.25% 12/15/2041                                                                                       | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     2545000 | PA      | $2273814.34    | 0.01%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                                                                                  | EATON CORP 4.15% 11/02/2042                                                                                                      | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |       73000 | PA      | $64553.31      | 0.00%             | 2042-11-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHN LEWIS PLC                                                                                              | JOHN LEWIS PLC 4.25% 12/18/2034 REGS                                                                                             | CUSIP: N/A<br>LEI: 213800JSUFNZLZLCVJ25       | Long             | DBT              | CORP              | GB        |      498000 | PA      | $556153.09     | 0.00%             | 2034-12-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EMBARQ CORP                                                                                                 | EMBARQ CORP 7.995% 06/01/2036                                                                                                    | CUSIP: 29078EAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      119000 | PA      | $47043.08      | 0.00%             | 2036-06-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                                                 | OVINTIV INC 5.15% 11/15/2041                                                                                                     | CUSIP: 292505AK0<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2631521.85    | 0.01%             | 2041-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 6.625% 10/15/2036                                                                                             | CUSIP: 29273RAF6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      900000 | PA      | $983906.75     | 0.00%             | 2036-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 4.75% 01/15/2026                                                                                              | CUSIP: 29273RBG3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      850000 | PA      | $850092.68     | 0.00%             | 2026-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 6.125% 12/15/2045                                                                                             | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2635000 | PA      | $2628055.56    | 0.01%             | 2045-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                                                   | ONEOK INC 5.6% 04/01/2044                                                                                                        | CUSIP: 682680CW1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      630000 | PA      | $600745.10     | 0.00%             | 2044-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EQUITY ONE ABS INC                                                                                          | EQABS 2003-3 M2 5.459 12/33                                                                                                      | CUSIP: 294751CU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      836576 | PA      | $764486.27     | 0.00%             | 2033-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                                                         | CONSTELLATION ENERGY GENERATION LLC 6.25% 10/01/2039                                                                             | CUSIP: 30161MAG8<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |      245000 | PA      | $268444.46     | 0.00%             | 2039-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                                                         | CONSTELLATION ENERGY GENERATION LLC 5.75% 10/01/2041                                                                             | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |      830000 | PA      | $854238.91     | 0.00%             | 2041-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                                                         | CONSTELLATION ENERGY GENERATION LLC 5.6% 06/15/2042                                                                              | CUSIP: 30161MAN3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101304.14     | 0.00%             | 2042-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP II                                                                                     | FARMERS EXCHANGE CAP II 6.151%/VAR 11/01/2053 144A                                                                               | CUSIP: 30958PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1000000 | PA      | $994101.10     | 0.00%             | 2053-11-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP III                                                                                    | FARMERS EXCHANGE CAP III 5.454%/VAR 10/15/2054 144A                                                                              | CUSIP: 30958QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3335000 | PA      | $3144894.66    | 0.01%             | 2054-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 25YRS 7.50% 12/36 #G20028                                                                                                   | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1294 | PA      | $1340.17       | 0.00%             | 2036-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6.0% 02/01/2038#A73397                                                                                                 | CUSIP: 3128L6X20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17932 | PA      | $19056.75      | 0.00%             | 2038-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 6.00% 7/37 #G03508                                                                                                          | CUSIP: 3128M5GR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1027 | PA      | $1088.65       | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 5.00% 2/38 #G03854                                                                                                          | CUSIP: 3128M5TK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      132196 | PA      | $135387.59     | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 09/01/2038#                                                                                                         | CUSIP: 3128M6MZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31344 | PA      | $33309.48      | 0.00%             | 2038-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 5.00% 3/38 #G04668                                                                                                          | CUSIP: 3128M6QV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       58210 | PA      | $59594.57      | 0.00%             | 2038-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 5.00% 9/38 #G04817                                                                                                          | CUSIP: 3128M6VJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       45067 | PA      | $46147.83      | 0.00%             | 2038-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 5.00% 6/40 #G05898                                                                                                          | CUSIP: 3128M73F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48125 | PA      | $49338.43      | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 5.00% 8/40 #G05969                                                                                                          | CUSIP: 3128M76E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48526 | PA      | $49715.16      | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 5.00% 9/38 #G05188                                                                                                          | CUSIP: 3128M7CZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30132 | PA      | $30852.10      | 0.00%             | 2038-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 6.00% 8/37 #G06089                                                                                                          | CUSIP: 3128M8C28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21334 | PA      | $22557.29      | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 5.50% 12/38 #G06172                                                                                                         | CUSIP: 3128M8FM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15248 | PA      | $15913.82      | 0.00%             | 2038-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 05/01/2041#G06493                                                                                                 | CUSIP: 3128M8RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5912 | PA      | $5960.61       | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 5.00% 6/41 #G06596                                                                                                          | CUSIP: 3128M8UV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      243036 | PA      | $249312.58     | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 6.50% 9/39 #G06670                                                                                                          | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      181893 | PA      | $195131.72     | 0.00%             | 2039-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 4.50% 9/41 #G06719                                                                                                          | CUSIP: 3128M8YQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      805711 | PA      | $812336.16     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 5.00% 1/35 #G06928                                                                                                          | CUSIP: 3128M9A51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5675 | PA      | $5788.20       | 0.00%             | 2035-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.0% 06/01/2042#G07032                                                                                                 | CUSIP: 3128M9ED0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      202651 | PA      | $188583.94     | 0.00%             | 2042-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 05/01/2043#G07388                                                                                                 | CUSIP: 3128M9RH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      141971 | PA      | $135098.15     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 5.00% 8/40 #G08417                                                                                                          | CUSIP: 3128MJPB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       88919 | PA      | $91177.33      | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.0% 08/01/2043#G08540                                                                                                 | CUSIP: 3128MJS68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      234560 | PA      | $217007.76     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 01/01/2044#G08567                                                                                                 | CUSIP: 3128MJTZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      144173 | PA      | $141377.95     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 03/01/2044#G08578                                                                                                 | CUSIP: 3128MJUC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43903 | PA      | $44176.92      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 05/01/2044#G08587                                                                                                 | CUSIP: 3128MJUM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60529 | PA      | $60921.48      | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 07/01/2044#G08597                                                                                                 | CUSIP: 3128MJUX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39123 | PA      | $37090.94      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 04/01/2045#G08636                                                                                                 | CUSIP: 3128MJV64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       68615 | PA      | $64865.98      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 10/01/2045#G08671                                                                                                 | CUSIP: 3128MJW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      381144 | PA      | $359843.28     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 07/01/45#G08654                                                                                                   | CUSIP: 3128MJWQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      273283 | PA      | $258155.40     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 08/01/45#G08659                                                                                                   | CUSIP: 3128MJWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      160808 | PA      | $151813.26     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 10/45#G08672                                                                                                      | CUSIP: 3128MJXA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       50873 | PA      | $49725.97      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 3.5% 12/01/2033#C91737                                                                                                 | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       61659 | PA      | $60880.26      | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 3.5% 10/01/2034#C91793                                                                                                 | CUSIP: 3128P77E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4094249 | PA      | $4027097.17    | 0.01%             | 2034-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 03/01/2032#C91403                                                                                                 | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1635272 | PA      | $1618330.82    | 0.00%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 3.5% 01/01/2032#C91417                                                                                                 | CUSIP: 3128P7SE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       61490 | PA      | $60859.70      | 0.00%             | 2032-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM ARM 5.78% 10/35 #1N0063                                                                                                     | CUSIP: 3128QGB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          19 | PA      | $19.40         | 0.00%             | 2035-10-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 5.00% 11/35 #A80290                                                                                                         | CUSIP: 312926KB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      712219 | PA      | $727513.49     | 0.00%             | 2035-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 09/01/2040#C03520                                                                                                 | CUSIP: 31292K4D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       90365 | PA      | $89157.37      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.0% 12/01/2042#C04422                                                                                                 | CUSIP: 31292L4F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      450580 | PA      | $418437.08     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 04/01/2042#C03792                                                                                                 | CUSIP: 31292LF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      205052 | PA      | $196159.93     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 04/01/2042#C03901                                                                                                 | CUSIP: 31292LKN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      202948 | PA      | $194830.12     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 06/01/2042#C04038                                                                                                 | CUSIP: 31292LPX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      295010 | PA      | $282128.96     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.0% 10/01/2042#C04272                                                                                                 | CUSIP: 31292LW92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      273156 | PA      | $253166.42     | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 02/01/2043#C09031                                                                                                 | CUSIP: 31292SA83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      109631 | PA      | $98327.62      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.0% 01/01/2043#C09022                                                                                                 | CUSIP: 31292SAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      247866 | PA      | $229936.55     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 12/01/2043#C09055                                                                                                 | CUSIP: 31292SBY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      134052 | PA      | $131463.39     | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 05/01/2039#                                                                                                       | CUSIP: 312933G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      137495 | PA      | $138653.09     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 06/01/2039#A86705                                                                                                 | CUSIP: 312933NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       94605 | PA      | $95399.95      | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 10/01/2039#                                                                                                         | CUSIP: 312936EZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      149123 | PA      | $147246.71     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 5.00% 1/40 #A90893                                                                                                          | CUSIP: 3129387E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12799 | PA      | $13116.22      | 0.00%             | 2040-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 5.00% 4/40 #A91937                                                                                                          | CUSIP: 312940EJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18678 | PA      | $19155.34      | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 5.00% 6/40 #A92350                                                                                                          | CUSIP: 312940TF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7002 | PA      | $7179.29       | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 5.00% 7/40 #A92914                                                                                                          | CUSIP: 312941GX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11337 | PA      | $11610.96      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 4.0% 09/01/2040#A93824                                                                                                 | CUSIP: 312942G90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      388360 | PA      | $382894.56     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 10/01/2040#                                                                                                         | CUSIP: 312943B28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      198398 | PA      | $195647.41     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 4.00% 10/40 #A94605                                                                                                         | CUSIP: 312943DJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      156614 | PA      | $154538.58     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 4.50% 10/40 #A94662                                                                                                         | CUSIP: 312943FB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9086 | PA      | $9159.10       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 12/01/2040#A95561                                                                                                 | CUSIP: 312944FA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      139664 | PA      | $137807.38     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 4.50% 12/40 #A95831                                                                                                         | CUSIP: 312944PQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      440944 | PA      | $444591.33     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 4.50% 2/41 #A97152                                                                                                          | CUSIP: 3129455M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       46774 | PA      | $47161.30      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 01/01/2041#A96537                                                                                                 | CUSIP: 312945HN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12254 | PA      | $12572.71      | 0.00%             | 2041-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 4.50% 2/41 #A96766                                                                                                          | CUSIP: 312945QT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22814 | PA      | $22995.54      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 4.50% 2/41 #A96876                                                                                                          | CUSIP: 312945T99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       52525 | PA      | $52963.41      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 02/01/2041#A96961                                                                                                 | CUSIP: 312945WW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27545 | PA      | $28268.77      | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 4.50% 2/41 #A97047                                                                                                          | CUSIP: 312945ZL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      101472 | PA      | $102311.93     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 03/01/2041#A97520                                                                                                 | CUSIP: 312946K96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       56472 | PA      | $57923.90      | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 4.50% 3/41 #A97528                                                                                                          | CUSIP: 312946LH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43111 | PA      | $43466.05      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 03/01/2041#A97673                                                                                                 | CUSIP: 312946Q25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      134627 | PA      | $135737.68     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 4.50% 3/41 #A97661                                                                                                          | CUSIP: 312946QN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      108005 | PA      | $108897.92     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 03/01/2041#A97686                                                                                                 | CUSIP: 312946RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       55900 | PA      | $57366.42      | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 03/01/2041#A97717                                                                                                 | CUSIP: 312946SE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7328 | PA      | $7391.13       | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 4.50% 4/41 #A97942                                                                                                          | CUSIP: 312946ZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      203316 | PA      | $204994.70     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 4.50% 4/41 #A97945                                                                                                          | CUSIP: 312946ZJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      315792 | PA      | $318395.89     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 10/1/33 #A14237                                                                                                   | CUSIP: 31296NV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       92160 | PA      | $93986.61      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2.5% 3/1/28 #J22814                                                                                                    | CUSIP: 31307BDT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       85349 | PA      | $84193.13      | 0.00%             | 2028-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3.0% 04/01/2029#J27984                                                                                                 | CUSIP: 31307G2R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      198133 | PA      | $195587.59     | 0.00%             | 2029-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3.5% 02/01/2029#J27464                                                                                                 | CUSIP: 31307GJH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       70159 | PA      | $69754.85      | 0.00%             | 2029-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3.0% 06/01/2029#J28440                                                                                                 | CUSIP: 31307HLV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49597 | PA      | $48998.13      | 0.00%             | 2029-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3.0% 8/29#J29007                                                                                                       | CUSIP: 31307JAG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       67600 | PA      | $66648.60      | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 04/01/2041#Q00409                                                                                                 | CUSIP: 3132GDN24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23057 | PA      | $23662.52      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 05/01/2041#Q00557                                                                                                 | CUSIP: 3132GDTN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49729 | PA      | $51035.06      | 0.00%             | 2041-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 06/01/2041#Q01604                                                                                                 | CUSIP: 3132GEX96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       61859 | PA      | $63484.46      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 07/01/2041#Q01871                                                                                                 | CUSIP: 3132GFCG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       38795 | PA      | $39811.44      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 07/01/2041#Q01985                                                                                                 | CUSIP: 3132GFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41094 | PA      | $42083.64      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 07/01/2041#Q02020                                                                                                 | CUSIP: 3132GFG50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25653 | PA      | $26314.42      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 07/01/2041#Q02067                                                                                                 | CUSIP: 3132GFJL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25527 | PA      | $26198.12      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 07/01/2041#Q02130                                                                                                 | CUSIP: 3132GFLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       45299 | PA      | $46487.66      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 07/01/2041#Q02189                                                                                                 | CUSIP: 3132GFNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22775 | PA      | $23168.61      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 07/01/2041#Q02345                                                                                                 | CUSIP: 3132GFTA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12431 | PA      | $12701.22      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 4.00% 9/41 #Q03295                                                                                                          | CUSIP: 3132GJKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      109443 | PA      | $107840.37     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 4.50% 10/41 #Q03643                                                                                                         | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      225462 | PA      | $227252.19     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 11/01/2041#Q04673                                                                                                 | CUSIP: 3132GK2E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      139993 | PA      | $138098.94     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 4.00% 2/42 #Q06088                                                                                                          | CUSIP: 3132GRCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       46300 | PA      | $45647.66      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 02/01/2042#Q06232                                                                                                 | CUSIP: 3132GRHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      143640 | PA      | $141256.78     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 4.00% 4/42 #Q07441                                                                                                          | CUSIP: 3132GSS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9658 | PA      | $9478.76       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 06/01/2042#U90690                                                                                                 | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22175 | PA      | $21234.71      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 06/01/2042#U90975                                                                                                 | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5082 | PA      | $4985.40       | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 12/01/2043#U99076                                                                                                 | CUSIP: 3132H7CN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       51895 | PA      | $52007.00      | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 02/01/2044#U99084                                                                                                 | CUSIP: 3132H7CW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       40767 | PA      | $40851.62      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 08/01/2042#Q10047                                                                                                 | CUSIP: 3132HLBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      284949 | PA      | $272100.24     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 09/01/2042#Q11218                                                                                                 | CUSIP: 3132HMK75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1975032 | PA      | $1885146.24    | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 10/01/2042#Q11868                                                                                                 | CUSIP: 3132HNCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16168 | PA      | $15990.20      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 10/01/42 #Q12052                                                                                                  | CUSIP: 3132HNH51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      131447 | PA      | $125401.31     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 10/01/2042#Q12215                                                                                                 | CUSIP: 3132HNN88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11288 | PA      | $11072.41      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 11/01/2042#Q13381                                                                                                 | CUSIP: 3132HPXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3004 | PA      | $2982.98       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 11/1/42 #Q13634                                                                                                     | CUSIP: 3132HQBB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       69499 | PA      | $65335.79      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 1/1/43 #Q14326                                                                                                    | CUSIP: 3132HQYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      109626 | PA      | $98633.47      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 1/1/43 #Q14696                                                                                                      | CUSIP: 3132HRGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       89002 | PA      | $82837.08      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.0% 02/01/2043#Q15786                                                                                                 | CUSIP: 3132J62U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       53306 | PA      | $49524.43      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 3% 2/1/43 #Q15788                                                                                                           | CUSIP: 3132J62W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       29960 | PA      | $27908.85      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.0% 02/01/2043#Q15789                                                                                                 | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       62912 | PA      | $58803.53      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 3.5% 02/43 #Q15871                                                                                                          | CUSIP: 3132J66H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41214 | PA      | $39528.16      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 02/01/2043#Q15107                                                                                                 | CUSIP: 3132J6DM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26652 | PA      | $26133.27      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 3% 2/43 #Q15438                                                                                                             | CUSIP: 3132J6PY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      317116 | PA      | $295738.64     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.0% 02/01/2043#Q15767                                                                                                 | CUSIP: 3132J6Z98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       47546 | PA      | $44559.34      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.0% 03/01/2043#Q16673                                                                                                 | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      359441 | PA      | $333384.32     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 04/01/2043#Q16749                                                                                                 | CUSIP: 3132J75K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21526 | PA      | $21286.61      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 3.0% 2/01/43 #Q15926                                                                                                        | CUSIP: 3132J7A44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      135354 | PA      | $126900.40     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 3.5% 01/43 #Q16224                                                                                                          | CUSIP: 3132J7LE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8914 | PA      | $8466.81       | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.0% 03/01/2043#Q16470                                                                                                 | CUSIP: 3132J7T44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       75116 | PA      | $69939.09      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 04/01/2043#Q17605                                                                                                 | CUSIP: 3132J83P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19673 | PA      | $18962.20      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 04/01/2043#Q17612                                                                                                 | CUSIP: 3132J83W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5435 | PA      | $5165.60       | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 04/01/2043#Q16893                                                                                                 | CUSIP: 3132J8C73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1489271 | PA      | $1417000.84    | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 04/01/2043#Q16935                                                                                                 | CUSIP: 3132J8EH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      184664 | PA      | $176085.38     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 04/01/2043#Q17518                                                                                                 | CUSIP: 3132J8YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43039 | PA      | $42288.45      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 05/01/2043#Q18136                                                                                                 | CUSIP: 3132J9PW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5756 | PA      | $5651.57       | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 07/01/2043#Q20358                                                                                                 | CUSIP: 3132JMMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27507 | PA      | $26947.42      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 07/01/2043#Q20534                                                                                                 | CUSIP: 3132JMSX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       57433 | PA      | $54653.36      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 09/01/2043#Q21524                                                                                                 | CUSIP: 3132JNVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2005 | PA      | $1991.44       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3.0% 10/01/2028#V60298                                                                                                 | CUSIP: 3132KEKK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       75711 | PA      | $74836.69      | 0.00%             | 2028-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2.5% 03/01/30#V60745                                                                                                   | CUSIP: 3132KEZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       78599 | PA      | $76872.47      | 0.00%             | 2030-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 01/01/2044#Q24165                                                                                                 | CUSIP: 3132M4JJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      166247 | PA      | $163059.96     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 02/01/2044#Q24546                                                                                                 | CUSIP: 3132M4WF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48653 | PA      | $47702.99      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 04/01/2044#Q25598                                                                                                 | CUSIP: 3132M53F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1492868 | PA      | $1502091.39    | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 02/01/2044#Q24973                                                                                                 | CUSIP: 3132M5FN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34497 | PA      | $33754.63      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 03/01/2044#Q25069                                                                                                 | CUSIP: 3132M5JN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       62486 | PA      | $62874.20      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 03/01/2044#Q25146                                                                                                 | CUSIP: 3132M5L34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       57041 | PA      | $57403.11      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 02/01/2044#Q25157                                                                                                 | CUSIP: 3132M5ME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       63083 | PA      | $63474.48      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 03/01/2044#Q25265                                                                                                 | CUSIP: 3132M5QS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       38554 | PA      | $38790.82      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 03/01/2044#Q25336                                                                                                 | CUSIP: 3132M5SZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23366 | PA      | $23506.10      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 08/01/2044#Q27808                                                                                                 | CUSIP: 3132M8KV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12690 | PA      | $12475.10      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 08/01/2044#Q28059                                                                                                 | CUSIP: 3132M8TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12788 | PA      | $12522.94      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 11/01/2044#Q29975                                                                                                 | CUSIP: 3132MAXC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      687455 | PA      | $648936.02     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 12/01/2044#Q30880                                                                                                 | CUSIP: 3132QL6S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       88205 | PA      | $88828.32      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.0% 03/01/2045#Q31980                                                                                                 | CUSIP: 3132QNFW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       85982 | PA      | $78694.13      | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 05/01/2045#Q33547                                                                                                 | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      361987 | PA      | $342225.59     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 3.0% 4/45#Q32729                                                                                                            | CUSIP: 3132QPA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      569764 | PA      | $524721.68     | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 06/01/2045#Q33724                                                                                                 | CUSIP: 3132QQD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      134657 | PA      | $127744.56     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 06/01/2045#Q33791                                                                                                 | CUSIP: 3132QQF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       71785 | PA      | $68087.98      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.0% 06/01/2045#Q33871                                                                                                 | CUSIP: 3132QQJR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      212689 | PA      | $195999.44     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.0% 06/01/2045#Q34156                                                                                                 | CUSIP: 3132QQTN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      573852 | PA      | $527546.71     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 06/01/2045#Q34164                                                                                                 | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      441341 | PA      | $417646.23     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.0% 07/45#Q34946                                                                                                      | CUSIP: 3132QRP87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      537727 | PA      | $492898.48     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 10/45#Q36614                                                                                                      | CUSIP: 3132QTK47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7016 | PA      | $6628.21       | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 10/45#Q36893                                                                                                      | CUSIP: 3132QTUT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      184355 | PA      | $174005.94     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 10/44#G60153                                                                                                      | CUSIP: 31335AE20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      212335 | PA      | $213719.73     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHR 2430 WF 6.5 3/32                                                                                                             | CUSIP: 31339NW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        3898 | PA      | $4070.45       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHR 2091 PG 6% 11/28                                                                                                             | CUSIP: 3133TGT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1180 | PA      | $1203.38       | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHR 2201 C 8 11/29                                                                                                               | CUSIP: 3133TMGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         132 | PA      | $135.63        | 0.00%             | 2029-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FREDDIE MAC 6.75% 03/15/2031                                                                                                     | CUSIP: 3134A4AA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |     2560000 | PA      | $2937253.96    | 0.01%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FREDDIE MAC 6.25% 07/15/2032                                                                                                     | CUSIP: 3134A4KX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |      400000 | PA      | $456802.24     | 0.00%             | 2032-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIE MAE 6.625% 11/15/2030                                                                                                     | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |     1290000 | PA      | $1463884.44    | 0.00%             | 2030-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNR 2001-14 Z 6% 5/31                                                                                                            | CUSIP: 31359SWU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         427 | PA      | $437.79        | 0.00%             | 2031-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.50% 5/37 #190379                                                                                                          | CUSIP: 31368HM42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82533 | PA      | $85833.30      | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNR 2011-126 KB 4% 12/41                                                                                                         | CUSIP: 3136A2WC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      144283 | PA      | $141594.83     | 0.00%             | 2041-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 3.092% 04/25/2027                                                                                 | CUSIP: 3136AN6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      112108 | PA      | $111032.54     | 0.00%             | 2027-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNR 2015-70 JC 3% 10/45                                                                                                          | CUSIP: 3136AQCV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      264589 | PA      | $254169.77     | 0.00%             | 2045-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                                                   | FNS 313 1 0% 6/31                                                                                                                | CUSIP: 3136FAAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        4754 | PA      | $4272.37       | 0.00%             | 2031-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.00% 10/33 #254903                                                                                                         | CUSIP: 31371LDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56236 | PA      | $57255.44      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.50% 3/37 #256636                                                                                                          | CUSIP: 31371NBD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87607 | PA      | $91077.27      | 0.00%             | 2037-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 07/01/2037#310068                                                                                                 | CUSIP: 31374CMR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24152 | PA      | $24652.16      | 0.00%             | 2037-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 06/01/2035#310165                                                                                                 | CUSIP: 31374CQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      803618 | PA      | $819567.94     | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 7/35 #357843                                                                                                          | CUSIP: 31376KP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22278 | PA      | $23453.34      | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 8/35 #357953                                                                                                          | CUSIP: 31376KTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12020 | PA      | $12615.36      | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHR 3980 EP 5% 1/42                                                                                                              | CUSIP: 3137AKL66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1171320 | PA      | $1209302.91    | 0.00%             | 2042-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                                      | FEDERAL HOME LN MTG CORP 4.5% 11/15/2040                                                                                         | CUSIP: 3137BE3R3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      339717 | PA      | $335742.30     | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040                                                                                   | CUSIP: 3137BJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       68711 | PA      | $68427.69      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 02/01/2041#AH0064                                                                                                 | CUSIP: 3138A1CA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21773 | PA      | $21924.86      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 2/41 #AH0067                                                                                                          | CUSIP: 3138A1CD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      616245 | PA      | $620582.27     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 12/01/2040#AH0944                                                                                                 | CUSIP: 3138A2BN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90804 | PA      | $89465.66      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 1/41 #AH1274                                                                                                          | CUSIP: 3138A2MY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       76716 | PA      | $77253.21      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 1/41 #AH1563                                                                                                          | CUSIP: 3138A2WZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      439195 | PA      | $432979.51     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 01/01/2041#AH1582                                                                                                 | CUSIP: 3138A2XL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3074 | PA      | $3033.67       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 1/41 #AH2689                                                                                                          | CUSIP: 3138A37B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       83456 | PA      | $84043.69      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 1/41 #AH2367                                                                                                          | CUSIP: 3138A3TZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      383984 | PA      | $378332.03     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 1/41 #AH4404                                                                                                          | CUSIP: 3138A53N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      273630 | PA      | $269430.42     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 4/41 #AH3843                                                                                                          | CUSIP: 3138A5HV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13587 | PA      | $13675.57      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 01/01/2041#AH3933                                                                                                 | CUSIP: 3138A5LP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      149638 | PA      | $147297.73     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 03/01/2041#AH4123                                                                                                 | CUSIP: 3138A5SM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12838 | PA      | $12929.75      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 3/41 #AH6219                                                                                                          | CUSIP: 3138A74D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      219664 | PA      | $216227.52     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 02/01/2041#AH5574                                                                                                 | CUSIP: 3138A7FQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      147662 | PA      | $145427.90     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 2/41 #AH5581                                                                                                          | CUSIP: 3138A7FX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      335794 | PA      | $338150.49     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 05/01/2041#AH6648                                                                                                 | CUSIP: 3138A8L61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17992 | PA      | $18109.73      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 4/41 #AH8029                                                                                                          | CUSIP: 3138A94P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60498 | PA      | $60924.19      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 06/01/2041#AH7450                                                                                                 | CUSIP: 3138A9H49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25775 | PA      | $26337.33      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 4/41 #AH9861                                                                                                          | CUSIP: 3138AB5X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         947 | PA      | $953.45        | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 04/01/2041#AH9677                                                                                                 | CUSIP: 3138ABXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14664 | PA      | $15017.57      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 4/41 #AI1116                                                                                                          | CUSIP: 3138AEG23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       70680 | PA      | $71131.46      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 04/01/2041#AI1360                                                                                                 | CUSIP: 3138AEQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73728 | PA      | $75525.75      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 06/01/2041#AI3533                                                                                                 | CUSIP: 3138AG4T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21818 | PA      | $21980.99      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 06/01/2041#AI3724                                                                                                 | CUSIP: 3138AHD60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37046 | PA      | $37937.69      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 06/01/2041#AI5034                                                                                                 | CUSIP: 3138AJSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11138 | PA      | $11407.68      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 08/01/2041#AI5189                                                                                                 | CUSIP: 3138AJXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2879 | PA      | $2949.86       | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 07/01/2041#AI5633                                                                                                 | CUSIP: 3138AKHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18308 | PA      | $18764.81      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 07/01/2041#AI6550                                                                                                 | CUSIP: 3138ALH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       70196 | PA      | $70694.36      | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 8/41 #AI7910                                                                                                          | CUSIP: 3138AMYG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36747 | PA      | $37003.56      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 8/1/41 #AI8194                                                                                                    | CUSIP: 3138ANC84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      143691 | PA      | $144675.79     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/01/2041#AI8715                                                                                                 | CUSIP: 3138ANVH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55368 | PA      | $55715.95      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 03/01/2042#AI9097                                                                                                 | CUSIP: 3138APDB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      239899 | PA      | $228594.24     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 10/01/2041#AJ0998                                                                                                 | CUSIP: 3138ASDC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44621 | PA      | $44919.61      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 9/41 #AJ1131                                                                                                          | CUSIP: 3138ASHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16333 | PA      | $16431.85      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 10/41 #AJ1224                                                                                                         | CUSIP: 3138ASLE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53704 | PA      | $54086.30      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 10/41 #AJ1242                                                                                                         | CUSIP: 3138ASLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44232 | PA      | $44549.57      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 10/01/2041#AJ1874                                                                                                 | CUSIP: 3138ATCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      196946 | PA      | $189125.61     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 02/01/2042#AJ1884                                                                                                 | CUSIP: 3138ATCW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      316186 | PA      | $302063.29     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 10/01/2041#AJ2399                                                                                                 | CUSIP: 3138ATUZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17673 | PA      | $17795.22      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 02/01/2042#AJ2880                                                                                                 | CUSIP: 3138AUFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11494 | PA      | $11560.22      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 11/41 #AJ3402                                                                                                         | CUSIP: 3138AUX85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99601 | PA      | $100309.78     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 10/41 #AJ4047                                                                                                         | CUSIP: 3138AVP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      212488 | PA      | $209113.02     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 12/41 #AJ4198                                                                                                         | CUSIP: 3138AVUY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      134692 | PA      | $132538.40     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 11/41 #AJ5385                                                                                                         | CUSIP: 3138AW6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      220764 | PA      | $217154.62     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 01/01/2042#AJ5571                                                                                                 | CUSIP: 3138AXFM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44966 | PA      | $44228.74      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 01/01/2042#AJ5572                                                                                                 | CUSIP: 3138AXFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11851 | PA      | $11674.05      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 12/41 #AJ8098                                                                                                         | CUSIP: 3138E07L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35423 | PA      | $34830.51      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 3.50% 12/41 #AJ7680                                                                                                         | CUSIP: 3138E0RA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10319 | PA      | $9871.58       | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 12/01/2041#AJ7688                                                                                                 | CUSIP: 3138E0RJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82396 | PA      | $81097.81      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 12/01/2041#AJ8343                                                                                                 | CUSIP: 3138E1HV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1989 | PA      | $1956.36       | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 01/01/2042#AJ9317                                                                                                 | CUSIP: 3138E2K79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      346391 | PA      | $340614.08     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 08/01/2042#AJ9982                                                                                                 | CUSIP: 3138E3CU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      753375 | PA      | $718613.05     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 02/01/2042#AK2415                                                                                                 | CUSIP: 3138E6VH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      248883 | PA      | $244383.13     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 11/01/2041#AK4260                                                                                                 | CUSIP: 3138E8WW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23702 | PA      | $23882.01      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 03/01/2042#AK4683                                                                                                 | CUSIP: 3138E9FZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13752 | PA      | $13830.18      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 3.50% 4/42 #AK6572                                                                                                          | CUSIP: 3138EBJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35764 | PA      | $34112.38      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 07/01/2042#AK7569                                                                                                 | CUSIP: 3138ECMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18357 | PA      | $18477.93      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 4/42 #AK8228                                                                                                          | CUSIP: 3138EDEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       66677 | PA      | $65597.76      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 4/42 #AK8237                                                                                                          | CUSIP: 3138EDEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      103933 | PA      | $102242.35     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 04/01/2042#AK8453                                                                                                 | CUSIP: 3138EDMB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      177365 | PA      | $178489.25     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 4/42 #AK9019                                                                                                          | CUSIP: 3138EEAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54900 | PA      | $54013.28      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 4/42 #AK9701                                                                                                          | CUSIP: 3138EEX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40706 | PA      | $39982.63      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 02/01/2041#AL0038                                                                                                 | CUSIP: 3138EGBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54124 | PA      | $55450.15      | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 7/38 #AL0095                                                                                                          | CUSIP: 3138EGC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      516226 | PA      | $546998.07     | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 8/40 #AL0145                                                                                                          | CUSIP: 3138EGET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      156421 | PA      | $157539.82     | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 10/01/2041#AL0762                                                                                                 | CUSIP: 3138EGZ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54472 | PA      | $54850.10      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 11/41 #AL1193                                                                                                         | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      127596 | PA      | $125555.82     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 11/41#AL1431                                                                                                      | CUSIP: 3138EHSV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      256227 | PA      | $257947.75     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 3/42 #AL1521                                                                                                          | CUSIP: 3138EHVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101421 | PA      | $99586.54      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 1/42 #AL2128                                                                                                          | CUSIP: 3138EJLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2636 | PA      | $2798.74       | 0.00%             | 2042-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 5/40 #AL2129                                                                                                          | CUSIP: 3138EJLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37877 | PA      | $40115.40      | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 10/34 #AL2130                                                                                                         | CUSIP: 3138EJLL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9932 | PA      | $10405.01      | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 09/01/2042#AL2782                                                                                                 | CUSIP: 3138EKCU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79327 | PA      | $79835.12      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 12/01/2042#AL2950                                                                                                 | CUSIP: 3138EKH40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      162081 | PA      | $150385.37     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 10/01/2041#AL4242                                                                                                 | CUSIP: 3138ELWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      191009 | PA      | $195653.18     | 0.00%             | 2041-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/01/2044#AL6223                                                                                                 | CUSIP: 3138EN4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      116522 | PA      | $117135.81     | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 09/01/2044 #AL5713                                                                                                | CUSIP: 3138ENK32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      879517 | PA      | $885742.59     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 05/01/2042#AL5788                                                                                                 | CUSIP: 3138ENNE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      313774 | PA      | $321309.20     | 0.00%             | 2042-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 09/01/2042#AL5881                                                                                                 | CUSIP: 3138ENRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      832509 | PA      | $838377.09     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% AL6167 01/45                                                                                                      | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      234536 | PA      | $223970.33     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 02/01/2045#AL7147                                                                                                 | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      407720 | PA      | $409732.87     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 2.5% 10/01/2043#AL6851                                                                                                      | CUSIP: 3138EPTH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      262715 | PA      | $235343.48     | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 11/01/2042#AL6997                                                                                                 | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1051235 | PA      | $1058608.90    | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 08/01/43#AL7261                                                                                                   | CUSIP: 3138EQB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      574506 | PA      | $548539.07     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 11/01/2044#AL7307                                                                                                 | CUSIP: 3138EQDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      319049 | PA      | $325035.89     | 0.00%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 06/01/2039#AL7550                                                                                                 | CUSIP: 3138EQL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      656307 | PA      | $668441.15     | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 09/01/2033#AL7521                                                                                                 | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5860178 | PA      | $5969331.19    | 0.01%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 05/01/2042#AO2961                                                                                                 | CUSIP: 3138LTJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3062 | PA      | $3006.49       | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 05/01/2042#AO2993                                                                                                 | CUSIP: 3138LTKF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      602867 | PA      | $575641.06     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 05/01/2042#AO3037                                                                                                 | CUSIP: 3138LTLT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9042 | PA      | $9092.71       | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 07/01/2042#AO3740                                                                                                 | CUSIP: 3138LUEN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13256 | PA      | $13329.99      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 07/01/2042#AO5544                                                                                                 | CUSIP: 3138LWES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98461 | PA      | $99020.02      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 06/01/2042#AO5578                                                                                                 | CUSIP: 3138LWFU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7724 | PA      | $7769.79       | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 09/01/2042#AO7372                                                                                                 | CUSIP: 3138LYFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19802 | PA      | $18872.96      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 07/01/2042#AO7760                                                                                                 | CUSIP: 3138LYTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      110483 | PA      | $111164.10     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 3.50% 7/42 #AO9368                                                                                                          | CUSIP: 3138M1MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14949 | PA      | $14248.55      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 08/01/2042#AP0495                                                                                                 | CUSIP: 3138M3RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1444320 | PA      | $1375079.19    | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 10/01/2042#AP3667                                                                                                 | CUSIP: 3138M7CD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      406067 | PA      | $389043.99     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 8/42#AP4263                                                                                                         | CUSIP: 3138M7WZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22581 | PA      | $21309.72      | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 09/01/2042#AP4786                                                                                                 | CUSIP: 3138M8J87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      140714 | PA      | $130632.93     | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 09/01/2042#AP5143                                                                                                 | CUSIP: 3138M8WD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      135236 | PA      | $125621.48     | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 09/01/2042#AP6425                                                                                                 | CUSIP: 3138MAD70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68931 | PA      | $63571.50      | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.0% 10/01/2027#AP6647                                                                                                 | CUSIP: 3138MAL55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68948 | PA      | $68283.52      | 0.00%             | 2027-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 3% 09/42 #AP8070                                                                                                            | CUSIP: 3138MB6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      165214 | PA      | $154232.90     | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 3.50% 10/42 #AP7882                                                                                                         | CUSIP: 3138MBXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13416 | PA      | $12789.63      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 10/01/2042#AP8745                                                                                                 | CUSIP: 3138MCWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82811 | PA      | $83284.51      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 10/01/2042#AP9743                                                                                                 | CUSIP: 3138MDZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      155952 | PA      | $156813.09     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 01/01/2043#AQ5065                                                                                                 | CUSIP: 3138MLTX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      147198 | PA      | $136149.79     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 11/01/42 #AQ5136                                                                                                  | CUSIP: 3138MLV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      256745 | PA      | $244695.85     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 12/01/42#AQ8665                                                                                                   | CUSIP: 3138MQTX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1277704 | PA      | $1220955.00    | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 12/01/2042#AQ8684                                                                                                 | CUSIP: 3138MQUJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      279827 | PA      | $259437.45     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 01/01/2043#AQ9328                                                                                                 | CUSIP: 3138MRLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      478249 | PA      | $455790.67     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 01/01/2043#AR1458                                                                                                 | CUSIP: 3138NXTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      112398 | PA      | $104678.74     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 02/01/2043#AR4159                                                                                                 | CUSIP: 3138W1TR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      463276 | PA      | $455041.51     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 05/01/2043#AR5169                                                                                                 | CUSIP: 3138W2W76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      236160 | PA      | $217311.81     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 04/01/2043#AR6071                                                                                                 | CUSIP: 3138W3W90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5215 | PA      | $4855.53       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 02/01/2043#AR6381                                                                                                 | CUSIP: 3138W4CT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13505 | PA      | $12556.47      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/01/2043#AR6931                                                                                                 | CUSIP: 3138W4VZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      148139 | PA      | $134203.12     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/01/2043#AR9126                                                                                                 | CUSIP: 3138W7D84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61285 | PA      | $54847.91      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2043#AR9512                                                                                                 | CUSIP: 3138W7SA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53659 | PA      | $48909.70      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 07/01/2043#AS0038                                                                                                 | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      267571 | PA      | $247302.79     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 07/01/2043#AS0044                                                                                                 | CUSIP: 3138W9BN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      199296 | PA      | $184138.61     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 08/01/2043#AS0203                                                                                                 | CUSIP: 3138W9GM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       50192 | PA      | $46517.62      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/01/2043#AS0255                                                                                                 | CUSIP: 3138W9H94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      194826 | PA      | $195889.30     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 08/01/2028#AS0290                                                                                                 | CUSIP: 3138W9KC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32834 | PA      | $32285.18      | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.0% 08/01/2028#AS0294                                                                                                 | CUSIP: 3138W9KG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51165 | PA      | $50543.84      | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 08/01/2043#AS0305                                                                                                 | CUSIP: 3138W9KT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      264905 | PA      | $244555.01     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 12/01/2043#AS1380                                                                                                 | CUSIP: 3138WARA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11060 | PA      | $11115.23      | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.5% 05/01/2029#AS2369                                                                                                 | CUSIP: 3138WBT39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       71092 | PA      | $70597.54      | 0.00%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 3.5% 8/44#AS3037                                                                                                            | CUSIP: 3138WCLT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14272 | PA      | $13503.62      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 09/01/2044#AS3293                                                                                                 | CUSIP: 3138WCUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       72937 | PA      | $71397.09      | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 10/01/2044#AS3651                                                                                                 | CUSIP: 3138WDBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1249185 | PA      | $1255786.01    | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 04/01/2030#AS4752                                                                                                 | CUSIP: 3138WEH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      237118 | PA      | $231510.97     | 0.00%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/01/2043#AT0162                                                                                                 | CUSIP: 3138WMFC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      468423 | PA      | $419441.86     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 05/01/2043#AT2724                                                                                                 | CUSIP: 3138WQA28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      108530 | PA      | $100393.04     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 04/01/2043#AT2887                                                                                                 | CUSIP: 3138WQF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      327633 | PA      | $311978.10     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2043#AT2998                                                                                                 | CUSIP: 3138WQKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      584757 | PA      | $520955.22     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2043#AT3094                                                                                                 | CUSIP: 3138WQNL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5524 | PA      | $4959.50       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2043#AT3712                                                                                                 | CUSIP: 3138WRDS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6255 | PA      | $5550.10       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 04/01/2043#AT4017                                                                                                 | CUSIP: 3138WRPB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      194684 | PA      | $179922.40     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 06/01/2043#AT5225                                                                                                 | CUSIP: 3138WSYX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      155705 | PA      | $138054.94     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 06/01/2043#AT5890                                                                                                 | CUSIP: 3138WTRL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12266 | PA      | $11061.18      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 05/01/2043#AT5989                                                                                                 | CUSIP: 3138WTUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      212817 | PA      | $196870.34     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 06/01/2028#AT7761                                                                                                 | CUSIP: 3138WVTT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57211 | PA      | $56278.89      | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 07/01/2043#AT9528                                                                                                 | CUSIP: 3138WXSS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      509515 | PA      | $470440.77     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 06/01/2043#AT9645                                                                                                 | CUSIP: 3138WXWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8533 | PA      | $7996.94       | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 07/01/2043#AU1628                                                                                                 | CUSIP: 3138X0Y28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      210340 | PA      | $194628.82     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 07/01/2028#AU1660                                                                                                 | CUSIP: 3138X0Z27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46113 | PA      | $45381.25      | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 07/01/2028#AU1659                                                                                                 | CUSIP: 3138X0ZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47840 | PA      | $47060.49      | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 08/01/2028#AU2696                                                                                                 | CUSIP: 3138X17J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30425 | PA      | $29929.85      | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 08/01/2028#AU2296                                                                                                 | CUSIP: 3138X1RS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98855 | PA      | $97203.08      | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 10/01/2043#AU4405                                                                                                 | CUSIP: 3138X33P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      243765 | PA      | $225112.81     | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 08/01/2043#AU3735                                                                                                 | CUSIP: 3138X3EH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      206128 | PA      | $190511.23     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 08/01/2043#AU3742                                                                                                 | CUSIP: 3138X3EQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4354 | PA      | $4144.37       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 08/01/2043#AU4585                                                                                                 | CUSIP: 3138X4CX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31236 | PA      | $28858.77      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.0% 11/01/2028#AU6440                                                                                                 | CUSIP: 3138X6EN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6878 | PA      | $6790.61       | 0.00%             | 2028-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 09/01/2043#AU7317                                                                                                 | CUSIP: 3138X7DX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46941 | PA      | $43334.06      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.0% 12/01/2028#AU9683                                                                                                 | CUSIP: 3138X9XM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14916 | PA      | $14718.89      | 0.00%             | 2028-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 11/01/2043#AV0893                                                                                                 | CUSIP: 3138XB7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7685 | PA      | $7116.73       | 0.00%             | 2043-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 12/01/2043#AV2959                                                                                                 | CUSIP: 3138XEJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4620 | PA      | $4646.93       | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 03/01/45#AX9566                                                                                                   | CUSIP: 3138YBTY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1220122 | PA      | $1193026.33    | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 02/01/2045#AY2848                                                                                                 | CUSIP: 3138YGEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      280459 | PA      | $256988.67     | 0.00%             | 2045-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 11/01/2045#AZ3743                                                                                                 | CUSIP: 3138YVER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      751594 | PA      | $709066.22     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNW 2001-W3 A 7% 9/41                                                                                                            | CUSIP: 3139216F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2336 | PA      | $2321.05       | 0.00%             | 2041-09-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 7.50% 1/32 #B90491                                                                                                          | CUSIP: 313929RL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1157 | PA      | $1202.71       | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNR 02-56 PE 6% 9/32                                                                                                             | CUSIP: 31392ERB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        6161 | PA      | $6387.46       | 0.00%             | 2032-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNGT 2002-T16 A2 7 7/42                                                                                                          | CUSIP: 31392FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        8020 | PA      | $8435.59       | 0.00%             | 2042-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNGT 02-T19 A1 6.5% 7/42                                                                                                         | CUSIP: 31392GVP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        6531 | PA      | $6756.19       | 0.00%             | 2042-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHR 2466 DH 6.5 6/32                                                                                                             | CUSIP: 31392MM82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         422 | PA      | $441.50        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNW 2003-W4 2A 5.805% 10/42                                                                                                      | CUSIP: 31393AP68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        1213 | PA      | $1231.46       | 0.00%             | 2042-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNR 2003-25 KP 5 4/33                                                                                                            | CUSIP: 31393APU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       11956 | PA      | $12128.81      | 0.00%             | 2033-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNR 2003-47 PE 5.75 6/33                                                                                                         | CUSIP: 31393CRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        3654 | PA      | $3773.93       | 0.00%             | 2033-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNR 03-64 SX INSF 7/33                                                                                                           | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         232 | PA      | $232.40        | 0.00%             | 2033-07-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHR 2543 YX 6 12/32                                                                                                              | CUSIP: 31393HGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        2419 | PA      | $2509.29       | 0.00%             | 2032-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNGT 2004-T2 1A4 7.5 11/43                                                                                                       | CUSIP: 31393X7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2286 | PA      | $2317.21       | 0.00%             | 2043-11-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNGT 04-T1 1A1 6 1/44                                                                                                            | CUSIP: 31393XFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2868 | PA      | $2936.85       | 0.00%             | 2044-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNW 2004-W2 2A2 7% 2/44                                                                                                          | CUSIP: 31393XGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         416 | PA      | $431.94        | 0.00%             | 2044-02-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNW 04-W9 1A3 6.05 2/44                                                                                                          | CUSIP: 31394ACG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        3839 | PA      | $3968.88       | 0.00%             | 2044-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNW 2004-W8 3A 7.5% 6/44                                                                                                         | CUSIP: 31394ALN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         833 | PA      | $860.56        | 0.00%             | 2044-06-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNR 2005-84 XM 5.75 10/35                                                                                                        | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         627 | PA      | $649.67        | 0.00%             | 2035-10-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHR 2733 SB -0 SOFR30A+790.697 10/33                                                                                             | CUSIP: 31394NUY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        2643 | PA      | $2650.17       | 0.00%             | 2033-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNW 2005-W4 1A1 6 8/35                                                                                                           | CUSIP: 31394VPT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        1600 | PA      | $1644.76       | 0.00%             | 2045-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHR 2912 EH 5.5% 1/35                                                                                                            | CUSIP: 31395LFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        9310 | PA      | $9603.29       | 0.00%             | 2035-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHR 2980 QB 6.5% 5/35                                                                                                            | CUSIP: 31395UEH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         365 | PA      | $381.77        | 0.00%             | 2035-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNR 2006-77 PC 6.5 8/36                                                                                                          | CUSIP: 31396KGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        1180 | PA      | $1230.10       | 0.00%             | 2036-08-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNR 2009-52 PI 5 7/39                                                                                                            | CUSIP: 31396QKF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2676 | PA      | $367.40        | 0.00%             | 2039-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNR 2007-71 GZ 6 7/47                                                                                                            | CUSIP: 31396WMD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        1574 | PA      | $1645.12       | 0.00%             | 2047-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHR 3202 HI IO INVF 8/36                                                                                                         | CUSIP: 31397ABD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        8141 | PA      | $694.63        | 0.00%             | 2036-08-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHR 3274 B 6 2/37                                                                                                                | CUSIP: 31397F5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1330 | PA      | $1401.10       | 0.00%             | 2037-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FSPC T-76 2A CSTR 10/37                                                                                                          | CUSIP: 31397KYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        5024 | PA      | $4643.54       | 0.00%             | 2037-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHR 3546 A VAR 2/39                                                                                                              | CUSIP: 31398E3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         789 | PA      | $798.64        | 0.00%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNR 2009-112 ST INVF 1/40                                                                                                        | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        4707 | PA      | $450.56        | 0.00%             | 2040-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FNR 2010-35 SB SOFR30A+630.552 4/40                                                                                              | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        4450 | PA      | $443.70        | 0.00%             | 2040-04-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHR 3653 HJ 5% 4/40                                                                                                              | CUSIP: 31398VXZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1059 | PA      | $1079.00       | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.00% 11/33 #725027                                                                                                         | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30440 | PA      | $30991.78      | 0.00%             | 2033-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 2/34 #725162                                                                                                          | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35010 | PA      | $36575.28      | 0.00%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 3/34 #725228                                                                                                          | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34294 | PA      | $35812.93      | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 3/34 #725229                                                                                                          | CUSIP: 31402CVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9346 | PA      | $9755.91       | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.00% 3/35 #735288                                                                                                          | CUSIP: 31402Q2V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      418189 | PA      | $426650.24     | 0.00%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 4/35 #735503                                                                                                          | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         968 | PA      | $1014.19       | 0.00%             | 2035-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.00% 6/35 #735580                                                                                                          | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34718 | PA      | $35398.18      | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.00% 7/35 #735676                                                                                                          | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      330739 | PA      | $337264.52     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.00% 9/33 #739821                                                                                                          | CUSIP: 31402V4E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36236 | PA      | $36899.81      | 0.00%             | 2033-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.50% 2/36 #745578                                                                                                          | CUSIP: 31403DJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         623 | PA      | $664.25        | 0.00%             | 2036-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 6/36 #745640                                                                                                          | CUSIP: 31403DLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47572 | PA      | $50131.00      | 0.00%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.00% 12/33 #745944                                                                                                         | CUSIP: 31403DWD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17868 | PA      | $18188.91      | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA ARM 4.60% 2/35 #779905                                                                                                      | CUSIP: 31404VNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17611 | PA      | $18220.97      | 0.00%             | 2035-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA ARM 2.47% 5/35 #823660                                                                                                      | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1055 | PA      | $1083.50       | 0.00%             | 2035-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 6/35 #828385                                                                                                          | CUSIP: 31407EJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18513 | PA      | $19400.64      | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 07/01/2035#843431                                                                                                 | CUSIP: 31407XA84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      695807 | PA      | $709695.49     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 10/01/45#AZ7723                                                                                                   | CUSIP: 3140E0SM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3236 | PA      | $3232.26       | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 12/01/2045#BA4584                                                                                                 | CUSIP: 3140E9CW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      419519 | PA      | $409023.89     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA ARM 6.25% 6/36 #886983                                                                                                      | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         945 | PA      | $970.86        | 0.00%             | 2036-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 3/36 #888342                                                                                                          | CUSIP: 31410F5B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74199 | PA      | $77617.39      | 0.00%             | 2036-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 3/38 #889219                                                                                                          | CUSIP: 31410G4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10217 | PA      | $10834.94      | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.50% 8/37 #888817                                                                                                          | CUSIP: 31410GPA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       70865 | PA      | $73458.51      | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 1/38 #889371                                                                                                          | CUSIP: 31410KCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27198 | PA      | $28780.67      | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.50% 6/38 #889705                                                                                                          | CUSIP: 31410KNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38294 | PA      | $39851.13      | 0.00%             | 2038-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 7/38 #889733                                                                                                          | CUSIP: 31410KPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4607 | PA      | $4886.02       | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 12/01/2040#890310                                                                                                 | CUSIP: 31410LDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      193594 | PA      | $194965.03     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 12/39 #890385                                                                                                         | CUSIP: 31410LF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      122053 | PA      | $129295.46     | 0.00%             | 2039-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/01/2041#890362                                                                                                 | CUSIP: 31410LFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3656 | PA      | $3681.51       | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 08/01/41#890603                                                                                                   | CUSIP: 31410LNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14903 | PA      | $15248.15      | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.50% 11/36 #904131                                                                                                         | CUSIP: 31411CPQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2379 | PA      | $2476.66       | 0.00%             | 2036-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 2/39 #930610                                                                                                          | CUSIP: 31412N3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      192469 | PA      | $193850.62     | 0.00%             | 2039-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 4/39 #930854                                                                                                          | CUSIP: 31412PE31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20763 | PA      | $20911.88      | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.0% 01/01/2037#932030                                                                                                 | CUSIP: 31412QPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      128206 | PA      | $135293.64     | 0.00%             | 2037-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 06/01/2039#935275                                                                                                 | CUSIP: 31412UQ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8589 | PA      | $8649.46       | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 9/36 #938577                                                                                                          | CUSIP: 31412YFS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61215 | PA      | $64297.47      | 0.00%             | 2036-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 6/37 #939637                                                                                                          | CUSIP: 31413ALS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2933 | PA      | $3112.59       | 0.00%             | 2037-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA ARM 5.65% 7/37 #942609                                                                                                      | CUSIP: 31413DVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5504 | PA      | $5723.88       | 0.00%             | 2037-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 9/37 #942981                                                                                                          | CUSIP: 31413ECS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2059 | PA      | $2182.17       | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.50% 12/37 #967254                                                                                                         | CUSIP: 31414JBX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27469 | PA      | $28569.93      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 05/01/2037#969230                                                                                                 | CUSIP: 31414LHF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42967 | PA      | $44652.80      | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 10/37 #995073                                                                                                         | CUSIP: 31416BMW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27795 | PA      | $29361.29      | 0.00%             | 2037-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.00% 7/35 #995203                                                                                                          | CUSIP: 31416BRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32350 | PA      | $32966.09      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 7.00% 6/33 #995656                                                                                                          | CUSIP: 31416CBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1249 | PA      | $1312.22       | 0.00%             | 2033-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 09/01/2034#AA0918                                                                                                 | CUSIP: 31416JAU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1911 | PA      | $1979.88       | 0.00%             | 2034-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 5/39 #AA7165                                                                                                          | CUSIP: 31416Q6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7857 | PA      | $7913.14       | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 6/39 #AA7681                                                                                                          | CUSIP: 31416RRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      110236 | PA      | $111026.16     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 06/01/2039#AA8725                                                                                                 | CUSIP: 31416SVT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7659 | PA      | $7838.69       | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 11/01/2040#AB1801                                                                                                 | CUSIP: 31416XAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1418657 | PA      | $1397760.28    | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 1/41 #AB2086                                                                                                          | CUSIP: 31416XJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      260995 | PA      | $257247.90     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 3.50% 1/41 #AB2068                                                                                                          | CUSIP: 31416XJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6009 | PA      | $5765.26       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 1/41 #AB2079                                                                                                          | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      655153 | PA      | $645435.31     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/01/2041#AB3419                                                                                                 | CUSIP: 31416YYR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47939 | PA      | $48272.19      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.00% 2/27 #AB4420                                                                                                     | CUSIP: 31417A4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40315 | PA      | $40002.52      | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 10/01/2041#AB3738                                                                                                 | CUSIP: 31417AEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      332856 | PA      | $318201.95     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 12/01/2041#AB4058                                                                                                 | CUSIP: 31417AQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      226067 | PA      | $222066.95     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 12/41 #AB4115                                                                                                         | CUSIP: 31417ASD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2582 | PA      | $2540.18       | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 03/01/2042#AB4590                                                                                                 | CUSIP: 31417BC47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      641400 | PA      | $611440.86     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 3.50% 3/42 #AB4684                                                                                                          | CUSIP: 31417BF28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      441074 | PA      | $420393.76     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 09/01/2042#AB6181                                                                                                 | CUSIP: 31417C2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90036 | PA      | $83769.22      | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 3.50% 6/42 #AB5423                                                                                                          | CUSIP: 31417CAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      254873 | PA      | $243215.76     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 07/01/2042 #AB5652                                                                                                | CUSIP: 31417CH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      305014 | PA      | $282803.95     | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 10/01/2042#AB6390                                                                                                 | CUSIP: 31417DC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100104 | PA      | $92728.36      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 10/01/2042#AB6685                                                                                                 | CUSIP: 31417DNB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      190482 | PA      | $176464.22     | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 10/01/2042#AB6694                                                                                                 | CUSIP: 31417DNL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      138302 | PA      | $127983.73     | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 11/01/2042#AB6903                                                                                                 | CUSIP: 31417DU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      105165 | PA      | $97821.69      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 12/01/2042#AB7271                                                                                                 | CUSIP: 31417ECH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93106 | PA      | $86551.78      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 12/01/42 #AB7276                                                                                                  | CUSIP: 31417ECN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      282522 | PA      | $261304.76     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 12/42#AB7319                                                                                                      | CUSIP: 31417EDZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       86002 | PA      | $84332.27      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 12/01/42 #AB7410                                                                                                  | CUSIP: 31417EGU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      258057 | PA      | $238979.45     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 01/01/2043#AB7457                                                                                                 | CUSIP: 31417EJB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      216726 | PA      | $201544.52     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 01/01/2043#AB7458                                                                                                 | CUSIP: 31417EJC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      235655 | PA      | $219124.45     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 01/01/2043#AB7567                                                                                                 | CUSIP: 31417EMR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      196740 | PA      | $183001.44     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 1/1/43 #AB7568                                                                                                    | CUSIP: 31417EMS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49870 | PA      | $46223.61      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 1/1/43 #AB7570                                                                                                    | CUSIP: 31417EMU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      140458 | PA      | $130238.27     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 01/01/2043#AB7738                                                                                                 | CUSIP: 31417ES44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      514928 | PA      | $476711.55     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 01/01/2043#AB7741                                                                                                 | CUSIP: 31417ES77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      752174 | PA      | $696629.98     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 01/01/2043#AB7755                                                                                                 | CUSIP: 31417ETM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      154497 | PA      | $143572.61     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 02/01/2043#AB7964                                                                                                 | CUSIP: 31417EZ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1677685 | PA      | $1603851.85    | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 02/01/2043#AB7936                                                                                                 | CUSIP: 31417EZA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      920629 | PA      | $851974.72     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 04/01/2043#AB8897                                                                                                 | CUSIP: 31417F3F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      494855 | PA      | $458113.09     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 02/01/2043#AB8463                                                                                                 | CUSIP: 31417FMM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      132728 | PA      | $118987.63     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 02/01/43#AB8499                                                                                                     | CUSIP: 31417FNR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37601 | PA      | $34956.21      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 2/43 #AB8500                                                                                                        | CUSIP: 31417FNS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      276129 | PA      | $256961.40     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 3 4/43 #AB9025                                                                                                              | CUSIP: 31417GA30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      406969 | PA      | $376151.84     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 05/01/43#AB9339                                                                                                     | CUSIP: 31417GLV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38630 | PA      | $35905.74      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 05/01/2043#AB9376                                                                                                 | CUSIP: 31417GM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      247337 | PA      | $235070.63     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 05/01/2043#AB9361                                                                                                 | CUSIP: 31417GMK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96817 | PA      | $92312.10      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/01/2043#AB9432                                                                                                 | CUSIP: 31417GPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      218361 | PA      | $195755.11     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 06/01/2043#AB9749                                                                                                 | CUSIP: 31417GZP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      168343 | PA      | $155646.77     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2043#AB9757                                                                                                 | CUSIP: 31417GZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      654547 | PA      | $621809.30     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 12/39 #AC4467                                                                                                         | CUSIP: 31417N6D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11020 | PA      | $11098.73      | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 07/01/2039#AC4562                                                                                                 | CUSIP: 31417QB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1354 | PA      | $1357.47       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 12/39 #AC8512                                                                                                         | CUSIP: 31417VN66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      203225 | PA      | $204674.57     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 01/01/2040#AC8577                                                                                                 | CUSIP: 31417VQ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      125231 | PA      | $130755.52     | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 07/01/2041#AC9301                                                                                                 | CUSIP: 31417WKP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14387 | PA      | $14734.08      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 5.0% 06/01/2031#MA0777                                                                                                 | CUSIP: 31417Y2K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21118 | PA      | $21461.71      | 0.00%             | 2031-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.00% 7/29 #MA0130                                                                                                          | CUSIP: 31417YEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21616 | PA      | $21829.77      | 0.00%             | 2029-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.00% 1/30 #MA0295                                                                                                          | CUSIP: 31417YKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2015 | PA      | $2037.90       | 0.00%             | 2030-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 5.00% 2/30 #MA0320                                                                                                     | CUSIP: 31417YLA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73154 | PA      | $74011.78      | 0.00%             | 2030-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YRS 3.50% 12/30 #MA0602                                                                                                   | CUSIP: 31417YU47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1406 | PA      | $1391.49       | 0.00%             | 2030-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 12/01/2043#MA1711                                                                                                 | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31126 | PA      | $31158.73      | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 01/01/2044#MA1749                                                                                                 | CUSIP: 31418A5K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5624 | PA      | $5191.79       | 0.00%             | 2044-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 04/01/2042#MA1028                                                                                                 | CUSIP: 31418AEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18441 | PA      | $18110.03      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 7/42 #MA1125                                                                                                          | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22248 | PA      | $21804.79      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/01/2042#MA1159                                                                                                 | CUSIP: 31418AJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6356 | PA      | $6396.92       | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 3.50% 10/42 #MA1213                                                                                                         | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      105216 | PA      | $100635.56     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 12/01/2042#MA1283                                                                                                 | CUSIP: 31418AM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16488 | PA      | $15754.87      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 02/01/2043#MA1340                                                                                                 | CUSIP: 31418AP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      187552 | PA      | $168395.02     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 01/01/2043#MA1328                                                                                                 | CUSIP: 31418APN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56013 | PA      | $53500.72      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 04/01/2043#MA1404                                                                                                 | CUSIP: 31418AR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29978 | PA      | $28612.97      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2043#MA1463                                                                                                 | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42209 | PA      | $40235.43      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% #MA1546                                                                                                           | CUSIP: 31418AWG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67598 | PA      | $64486.88      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.0% 12/01/2029#MA2149                                                                                                 | CUSIP: 31418BL79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      389111 | PA      | $382897.01     | 0.00%             | 2030-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.0% 02/01/2045#MA2189                                                                                                 | CUSIP: 31418BNF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15433 | PA      | $14138.71      | 0.00%             | 2045-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 3.0% 07/01/2035#MA2320                                                                                                 | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13824 | PA      | $13345.24      | 0.00%             | 2035-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 12/01/45#MA2495                                                                                                   | CUSIP: 31418BXZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      461600 | PA      | $435407.78     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.50% 9/39 #AD0242                                                                                                          | CUSIP: 31418MHU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      165044 | PA      | $172039.09     | 0.00%             | 2039-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6% 11/35 #AD0687                                                                                                            | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      170337 | PA      | $178384.37     | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.0% 07/37#AD0688                                                                                                      | CUSIP: 31418MXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40797 | PA      | $42691.07      | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 1/40 #AD0732                                                                                                          | CUSIP: 31418MY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27402 | PA      | $29053.45      | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 5.00% 6/40 #AD7859                                                                                                          | CUSIP: 31418VWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74604 | PA      | $76403.60      | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 07/01/2040#AD9214                                                                                                 | CUSIP: 31418XGY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34842 | PA      | $35688.43      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 2/40 #AE0061                                                                                                          | CUSIP: 31419AB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      147464 | PA      | $156561.05     | 0.00%             | 2040-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 6.00% 8/37 #AE0265                                                                                                          | CUSIP: 31419AJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      207271 | PA      | $216539.05     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 12/01/2040#AE0675                                                                                                 | CUSIP: 31419AXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      325433 | PA      | $327704.86     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 3.50% 6/39 #AE0967                                                                                                          | CUSIP: 31419BCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       86420 | PA      | $83286.51      | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 02/01/2041#AE0972                                                                                                 | CUSIP: 31419BCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39048 | PA      | $39995.92      | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 9/40 #AE1526                                                                                                          | CUSIP: 31419BVU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18565 | PA      | $18695.06      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 9/40 #AE3095                                                                                                          | CUSIP: 31419DNM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11906 | PA      | $11988.18      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 09/01/2040#AE4424                                                                                                 | CUSIP: 31419E4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11509 | PA      | $11759.73      | 0.00%             | 2040-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 10/40 #AE3832                                                                                                         | CUSIP: 31419EHJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6756 | PA      | $6804.09       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 11/40 #AE3886                                                                                                         | CUSIP: 31419EJ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14293 | PA      | $14393.07      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 11/40 #AE3874                                                                                                         | CUSIP: 31419EJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18348 | PA      | $18477.28      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 11/40 #AE6344                                                                                                         | CUSIP: 31419HBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40907 | PA      | $41193.55      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.00% 2/41 #AE6390                                                                                                          | CUSIP: 31419HC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      541861 | PA      | $533876.13     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 2/41 #AE6394                                                                                                          | CUSIP: 31419HC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      260111 | PA      | $261948.09     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 4.5% 11/01/2030#AE6799                                                                                                 | CUSIP: 31419HRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1332 | PA      | $1338.32       | 0.00%             | 2030-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 11/40 #AE8956                                                                                                         | CUSIP: 31419K5S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19925 | PA      | $20056.95      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 11/01/2040#AE8265                                                                                                 | CUSIP: 31419KFF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7421 | PA      | $7329.73       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 4.50% 12/40 #AE8843                                                                                                         | CUSIP: 31419KZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42662 | PA      | $42956.56      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 11/01/2040#AE9547                                                                                                 | CUSIP: 31419LTD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64046 | PA      | $64462.09      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Colchester Street Trust                                                                            | FIMM MM Government Portfolio - Instl Cl                                                                                          | CUSIP: 31607A703<br>LEI: 549300SHPEJB1OPRCV46 | Long             | EC               | RF                | US        |    30095270 | NS      | $30095269.84   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Salem Street Trust                                                                                 | FIDELITY US BOND INDEX FUNDFIDELITY ADV                                                                                          | CUSIP: 316146356<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |     2966577 | NS      | $31505044.21   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Revere Street Trust                                                                                | Fidelity Cash Central Fund                                                                                                       | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   296356317 | NS      | $296415587.82  | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Revere Street Trust                                                                                | Fidelity Securities Lending Cash Central Fund                                                                                    | CUSIP: 31635A303<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   145473996 | NS      | $145488543.17  | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Salem Street Trust                                                                                 | Fidelity Sai Long-Term Treasury Bond Index Fund                                                                                  | CUSIP: 31635V851<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |      138209 | NS      | $957786.33     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST HORIZON MTG PASSTHRU TR                                                                               | FHAMS 2004-AA3 A1 CSTR 9/34                                                                                                      | CUSIP: 32051D6B3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         731 | PA      | $733.13        | 0.00%             | 2034-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION LLC                                                                                | FIRSTENERGY TRANSMISSION LLC 5.45% 07/15/2044 144A                                                                               | CUSIP: 33767BAA7<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      430000 | PA      | $420633.67     | 0.00%             | 2044-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                                                       | FLORIDA PWR and LT CO 5.25% 02/01/2041                                                                                           | CUSIP: 341081FD4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      500000 | PA      | $502936.57     | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                                                       | FLORIDA PWR and LT CO 3.8% 12/15/2042                                                                                            | CUSIP: 341081FH5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     1280000 | PA      | $1067953.45    | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                                                     | DUKE ENERGY FLORIDA LLC 6.35% 09/15/2037                                                                                         | CUSIP: 341099CH0<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     2263000 | PA      | $2540786.74    | 0.01%             | 2037-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                                                               | FORD MOTOR CO 4.75% 01/15/2043                                                                                                   | CUSIP: 345370CQ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      340000 | PA      | $273641.10     | 0.00%             | 2043-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 4/41 #762904                                                                                                          | CUSIP: 36176DKR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       37478 | PA      | $37569.39      | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 3.50% 5/42 #766750                                                                                                          | CUSIP: 36176HTF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       79570 | PA      | $75852.16      | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 3.50% 5/42 #766751                                                                                                          | CUSIP: 36176HTG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      106457 | PA      | $101504.64     | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 3.50% 2/42 #766918                                                                                                          | CUSIP: 36176HYP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      161116 | PA      | $152644.18     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 6/41 #768770                                                                                                          | CUSIP: 36176K2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26915 | PA      | $26252.50      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 7/41 #769093                                                                                                          | CUSIP: 36176LGA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9525 | PA      | $9288.39       | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 9/41 #772063                                                                                                          | CUSIP: 36176PQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      116438 | PA      | $113523.70     | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 10/41 #772072                                                                                                         | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       54899 | PA      | $53501.74      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 3.50% 11/41 #772088                                                                                                         | CUSIP: 36176PRH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26859 | PA      | $25582.63      | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 3.50% 3/42 #773363                                                                                                          | CUSIP: 36176Q5Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15246 | PA      | $14515.91      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 3.50% 3/42 #773365                                                                                                          | CUSIP: 36176Q6A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8188 | PA      | $7795.86       | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 9/41 #773113                                                                                                          | CUSIP: 36176QVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1402 | PA      | $1371.35       | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 12/41 #778681                                                                                                         | CUSIP: 36176W2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       79470 | PA      | $77424.99      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 3.50% 1/42 #778793                                                                                                          | CUSIP: 36176W7E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      291586 | PA      | $277289.52     | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 3.50% 2/42 #778862                                                                                                          | CUSIP: 36176XB73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       59458 | PA      | $56668.46      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 3.50% 2/42 #778863                                                                                                          | CUSIP: 36176XB81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43699 | PA      | $41630.68      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4.0% 02/15/2042#778869                                                                                                 | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26812 | PA      | $26126.17      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 10/41 #779846                                                                                                         | CUSIP: 36176YET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9774 | PA      | $9542.40       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 3.50% 1/42 #790493                                                                                                          | CUSIP: 36177JRP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10855 | PA      | $10337.37      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 3.50% 2/42 #793122                                                                                                          | CUSIP: 36177MPG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30895 | PA      | $29481.29      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 3.50% 3/42 #794581                                                                                                          | CUSIP: 36177PCT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30279 | PA      | $28915.35      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 3.50% 3/42 #794582                                                                                                          | CUSIP: 36177PCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       45616 | PA      | $43528.47      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 3.0% 04/15/2043#AA6294                                                                                                 | CUSIP: 36178D7F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      134895 | PA      | $124754.17     | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 3.0% 11/15/2042#AA5821                                                                                                 | CUSIP: 36178DPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      147141 | PA      | $136127.71     | 0.00%             | 2042-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.0% 12/20/2042#AA5872                                                                                                   | CUSIP: 36178DQZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      377284 | PA      | $349423.32     | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 3.0% 12/15/2042#AA8612                                                                                                 | CUSIP: 36178GR97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       42641 | PA      | $39435.39      | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.0% 2/20/43 #MA0782                                                                                                     | CUSIP: 36179M2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      354274 | PA      | $329522.70     | 0.00%             | 2043-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 02/20/2043#MA0783                                                                                                   | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      191349 | PA      | $182110.70     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 01/20/2043#MA0852                                                                                                   | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      154662 | PA      | $147164.90     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 06/20/2042#MA0154                                                                                                   | CUSIP: 36179ME30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      114210 | PA      | $108862.08     | 0.00%             | 2042-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.0% 08/20/2042#MA0317                                                                                                   | CUSIP: 36179MK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      112550 | PA      | $104814.78     | 0.00%             | 2042-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.50% 8/42 #MA0318                                                                                                       | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      177315 | PA      | $168941.71     | 0.00%             | 2042-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.0% 09/20/2042 #MA0391                                                                                                  | CUSIP: 36179MNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      296869 | PA      | $276423.47     | 0.00%             | 2042-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.50% 10/42 #MA0462                                                                                                      | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       64544 | PA      | $61468.69      | 0.00%             | 2042-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.50% 11/42 #MA0534                                                                                                      | CUSIP: 36179MSX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      169909 | PA      | $161779.05     | 0.00%             | 2042-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.0% 12/20/2042#MA0624                                                                                                   | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1007226 | PA      | $937109.02     | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 12/20/2042 #MA0625                                                                                                  | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1946323 | PA      | $1853174.80    | 0.00%             | 2042-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.0% 12/20/2042#MA0626                                                                                                   | CUSIP: 36179MVT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      795416 | PA      | $776977.21     | 0.00%             | 2042-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.0% 01/20/2043#MA0698                                                                                                   | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2924532 | PA      | $2721021.40    | 0.01%             | 2043-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.0% 04/20/2043#MA0933                                                                                                   | CUSIP: 36179NBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      194692 | PA      | $180971.53     | 0.00%             | 2043-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 05/43 #MA1012                                                                                                       | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      236296 | PA      | $223771.11     | 0.00%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 03/20/2043 #MA1090                                                                                                  | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      110959 | PA      | $105513.89     | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.0% 08/20/2043#MA1225                                                                                                   | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       52605 | PA      | $51319.34      | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.0% 10/20/2043#MA1376                                                                                                   | CUSIP: 36179NQ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      191584 | PA      | $186800.86     | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 10/20/2043#MA1377                                                                                                   | CUSIP: 36179NQ68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      610471 | PA      | $611967.41     | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.0% 01/20/2044#MA1599                                                                                                   | CUSIP: 36179NX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      737920 | PA      | $685035.38     | 0.00%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.0% 03/20/45#MA2677                                                                                                     | CUSIP: 36179Q6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      123749 | PA      | $114097.59     | 0.00%             | 2045-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 05/20/2044#MA1921                                                                                                   | CUSIP: 36179QD24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      184035 | PA      | $184487.32     | 0.00%             | 2044-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.0% 07/20/2044#MA2074                                                                                                   | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      351194 | PA      | $341973.43     | 0.00%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.0% 08/20/2044#MA2149                                                                                                   | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      607881 | PA      | $591849.98     | 0.00%             | 2044-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 09/20/2044#MA2225                                                                                                   | CUSIP: 36179QPJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      538413 | PA      | $539392.68     | 0.00%             | 2044-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 10/20/44#MA2305                                                                                                     | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      564337 | PA      | $565236.63     | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 10/20/2044#MA2303                                                                                                   | CUSIP: 36179QRY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      909648 | PA      | $861332.15     | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.0% 10/20/2044#MA2304                                                                                                   | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1682346 | PA      | $1637368.09    | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.0% 11/20/2044#MA2372                                                                                                   | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      761279 | PA      | $740834.42     | 0.00%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.0% 12/20/44#MA2446                                                                                                     | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       62993 | PA      | $61301.64      | 0.00%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 01/20/2045#MA2523                                                                                                   | CUSIP: 36179QYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      163241 | PA      | $163508.37     | 0.00%             | 2045-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.0% 04/20/2045#MA2753                                                                                                   | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63199 | PA      | $58253.72      | 0.00%             | 2045-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 04/20/2045#MA2754                                                                                                   | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1029792 | PA      | $973938.60     | 0.00%             | 2045-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.0% 05/20/2045#MA2825                                                                                                   | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       70389 | PA      | $64844.44      | 0.00%             | 2045-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 05/20/2045#MA2828                                                                                                   | CUSIP: 36179RD97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      117646 | PA      | $117822.30     | 0.00%             | 2045-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.0% 06/20/2045#MA2891                                                                                                   | CUSIP: 36179RF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       67614 | PA      | $62270.92      | 0.00%             | 2045-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.0% 06/20/2045#MA2893                                                                                                   | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3653016 | PA      | $3551805.49    | 0.01%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNMA II 4.5% 6/45#MA2894                                                                                                         | CUSIP: 36179RGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       53160 | PA      | $53255.85      | 0.00%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.0% 07/20/2045#MA2960                                                                                                   | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       72487 | PA      | $66740.07      | 0.00%             | 2045-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.0% 07/20/2045#MA2962                                                                                                   | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      275451 | PA      | $267724.21     | 0.00%             | 2045-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.0% 08/45#MA3033                                                                                                        | CUSIP: 36179RLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      248901 | PA      | $229090.80     | 0.00%             | 2045-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.0% 08/20/2045#MA3035                                                                                                   | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1140310 | PA      | $1108062.06    | 0.00%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5.0% 08/20/2045#MA3037                                                                                                   | CUSIP: 36179RLS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      380629 | PA      | $389251.77     | 0.00%             | 2045-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.0% 08/20/2045#MA3104                                                                                                   | CUSIP: 36179RNV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      239693 | PA      | $220608.06     | 0.00%             | 2045-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.0% 09/45#MA3106                                                                                                        | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5796 | PA      | $5631.57       | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 10/45#MA3173                                                                                                        | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       77681 | PA      | $73366.73      | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.0% 10/45#MA3174                                                                                                        | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6958 | PA      | $6759.11       | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 12/20/2045#MA3311                                                                                                     | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      464734 | PA      | $451477.68     | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 3.5% 5/15/43 #AD2413                                                                                                   | CUSIP: 36180DVE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63161 | PA      | $59915.33      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 3.5% 07/15/2043#AE6719                                                                                                 | CUSIP: 36181APC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      171826 | PA      | $162497.74     | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 3.0% 03/15/2045#AL9337                                                                                                 | CUSIP: 36184HLS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      144465 | PA      | $132551.23     | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GMACM MTG LN TR                                                                                             | GMACM 2005-AR6 2A1 CSTR 11/35                                                                                                    | CUSIP: 36185MBJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1550259 | PA      | $1076931.05    | 0.00%             | 2035-11-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2011-GC5                                                                                     | GS MTG SECS TR 2011-GC5 5.209% 08/10/2044 144A                                                                                   | CUSIP: 36191YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3994582 | PA      | $3952866.38    | 0.01%             | 2044-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5% 6/34 #003568                                                                                                          | CUSIP: 36202D6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15347 | PA      | $15601.43      | 0.00%             | 2034-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5% 1/35 #003664                                                                                                          | CUSIP: 36202EB99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      215568 | PA      | $219311.20     | 0.00%             | 2035-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5% 5/35 #003710                                                                                                          | CUSIP: 36202EDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30546 | PA      | $31088.05      | 0.00%             | 2035-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5% 8/35 #003747                                                                                                          | CUSIP: 36202EEU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19944 | PA      | $20307.22      | 0.00%             | 2035-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5.00% 2/36 #003817                                                                                                       | CUSIP: 36202EG29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20312 | PA      | $20694.15      | 0.00%             | 2036-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5.00% 12/35 #003795                                                                                                      | CUSIP: 36202EGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25842 | PA      | $26319.08      | 0.00%             | 2035-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5% 3/36 #003829                                                                                                          | CUSIP: 36202EHE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13925 | PA      | $14185.00      | 0.00%             | 2036-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5.00% 12/36 #003929                                                                                                      | CUSIP: 36202ELJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       24357 | PA      | $24835.50      | 0.00%             | 2036-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5% 10/37#004037                                                                                                          | CUSIP: 36202EPW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6469 | PA      | $6600.34       | 0.00%             | 2037-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5.00% 6/38 #004168                                                                                                       | CUSIP: 36202ETZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51562 | PA      | $52615.80      | 0.00%             | 2038-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6.00% 9/38 #004245                                                                                                       | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1032 | PA      | $1088.17       | 0.00%             | 2038-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.00% 2/42 #005305                                                                                                       | CUSIP: 36202F3N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       74908 | PA      | $73251.48      | 0.00%             | 2042-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5.00% 3/42 #005334                                                                                                       | CUSIP: 36202F4T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      136031 | PA      | $138947.09     | 0.00%             | 2042-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.50% 12/39 #004598                                                                                                      | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       91860 | PA      | $92163.70      | 0.00%             | 2039-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.00% 5/40 #004695                                                                                                       | CUSIP: 36202FGC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       64348 | PA      | $63092.85      | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.50% 5/40 #004696                                                                                                       | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17602 | PA      | $17659.35      | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.00% 9/40 #004800                                                                                                       | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       54560 | PA      | $53442.90      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.50% 9/40 #004801                                                                                                       | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      254808 | PA      | $255611.64     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 10/40#004832                                                                                                        | CUSIP: 36202FLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      102222 | PA      | $97750.00      | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.00% 10/40 #004833                                                                                                      | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      797540 | PA      | $781236.83     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5.00% 10/40 #004835                                                                                                      | CUSIP: 36202FLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      171909 | PA      | $175608.27     | 0.00%             | 2040-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.00% 12/40 #004882                                                                                                      | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10502 | PA      | $10286.15      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.00% 11/40 #004853                                                                                                      | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      821140 | PA      | $804198.34     | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.00% 2/41 #004945                                                                                                       | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10201 | PA      | $9989.90       | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.50% 1/41 #004946                                                                                                       | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      420177 | PA      | $421474.67     | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.00% 1/41 #004922                                                                                                       | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2108958 | PA      | $2065489.28    | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.00% 3/41 #004977                                                                                                       | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      371871 | PA      | $364158.71     | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.50% 3/41 #004978                                                                                                       | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1557493 | PA      | $1562301.26    | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5.5% 3/20/41 #004984                                                                                                     | CUSIP: 36202FRD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       39641 | PA      | $41189.16      | 0.00%             | 2041-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.50% 4/41 #005017                                                                                                       | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      340195 | PA      | $341238.43     | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.50% 5/41 #005055                                                                                                       | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1049017 | PA      | $1052235.48    | 0.00%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.50% 6/41 #005082                                                                                                       | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      688373 | PA      | $690447.01     | 0.00%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.50% 8/41 #005140                                                                                                       | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       72964 | PA      | $73181.40      | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.50% 10/41 #005202                                                                                                      | CUSIP: 36202FX76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      327016 | PA      | $312129.69     | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.00% 10/41 #005203                                                                                                      | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1297939 | PA      | $1269886.71    | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.50% 10/41 #005204                                                                                                      | CUSIP: 36202FX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      956236 | PA      | $959066.78     | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.00% 11/41 #005233                                                                                                      | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      134653 | PA      | $131711.13     | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 12/20/2041#005258                                                                                                   | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1191698 | PA      | $1137613.40    | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.00% 12/41 #005259                                                                                                      | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      419808 | PA      | $410581.24     | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 8/41 #430354                                                                                                          | CUSIP: 36207FBX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      223475 | PA      | $217913.46     | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 10/41 #479430                                                                                                         | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       93571 | PA      | $91269.20      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 10/41 #479494                                                                                                         | CUSIP: 36209RUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      254036 | PA      | $247534.36     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 10/41 #479596                                                                                                         | CUSIP: 36209RXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7017 | PA      | $6830.52       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 10/41 #479607                                                                                                         | CUSIP: 36209RYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       95600 | PA      | $93296.30      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 7/40 #719228                                                                                                          | CUSIP: 3620A5A58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31837 | PA      | $31923.80      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 7/40 #719230                                                                                                          | CUSIP: 3620A5A74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29749 | PA      | $29829.09      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 7/40 #719232                                                                                                          | CUSIP: 3620A5A90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25177 | PA      | $25243.55      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 8/40 #719262                                                                                                          | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       52939 | PA      | $54089.26      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4.0% 08/15/2040#721759                                                                                                 | CUSIP: 3620A7ZY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       67900 | PA      | $66341.31      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 1/40 #723623                                                                                                          | CUSIP: 3620A94G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15816 | PA      | $15861.37      | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 9/39 #723339                                                                                                          | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22547 | PA      | $23029.63      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 12/39 #728451                                                                                                         | CUSIP: 3620AFH42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33659 | PA      | $34388.28      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 7/40 #733234                                                                                                          | CUSIP: 3620ALSX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2911 | PA      | $2917.75       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 4/40 #733607                                                                                                          | CUSIP: 3620AMAG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3221 | PA      | $3230.13       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 9/40 #733919                                                                                                          | CUSIP: 3620AMK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21805 | PA      | $22283.46      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4.0% 12/15/2040#734089                                                                                                 | CUSIP: 3620AMRJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1519807 | PA      | $1483005.85    | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 3/40 #737104                                                                                                          | CUSIP: 3620AQ3M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19297 | PA      | $19350.39      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 4/40 #737111                                                                                                          | CUSIP: 3620AQ3U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18009 | PA      | $18059.66      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 2/41 #738002                                                                                                          | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       34319 | PA      | $33511.08      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 8/40 #737311                                                                                                          | CUSIP: 3620ARDQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       48053 | PA      | $49102.54      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 9/40 #737454                                                                                                          | CUSIP: 3620ARH79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29273 | PA      | $29906.17      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 10/40 #737532                                                                                                         | CUSIP: 3620ARLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8391 | PA      | $8194.69       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4.0% 12/15/2040#737704                                                                                                 | CUSIP: 3620ARRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43942 | PA      | $42842.11      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 4/41 #738218                                                                                                          | CUSIP: 3620ASDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18082 | PA      | $18485.45      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 4/41 #738229                                                                                                          | CUSIP: 3620ASEA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9822 | PA      | $10032.96      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 4/41 #738240                                                                                                          | CUSIP: 3620ASEM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6278 | PA      | $6417.73       | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 8/40 #741372                                                                                                          | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       56965 | PA      | $57119.63      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 6/40 #743475                                                                                                          | CUSIP: 3620AX6L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18108 | PA      | $18500.49      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 7/40 #743665                                                                                                          | CUSIP: 3620AYFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18386 | PA      | $18786.85      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 7/40 #745236                                                                                                          | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      102337 | PA      | $102619.22     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 6/40 #745068                                                                                                          | CUSIP: 3620C0W53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       56132 | PA      | $56289.47      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 6/40 #745138                                                                                                          | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       42131 | PA      | $42247.92      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4.5% 09/15/2040#748784                                                                                                 | CUSIP: 3620C42R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       37358 | PA      | $37453.78      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 3.50% 11/41 #489787                                                                                                         | CUSIP: 36210ECY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       67735 | PA      | $64732.32      | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 9/41 #489861                                                                                                          | CUSIP: 36210EFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11384 | PA      | $11080.45      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 11/41 #489862                                                                                                         | CUSIP: 36210EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      248301 | PA      | $242156.58     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 12/41 #552552                                                                                                         | CUSIP: 36213EZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       41203 | PA      | $40153.92      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 12/41 #552554                                                                                                         | CUSIP: 36213EZT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      115940 | PA      | $113119.62     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP                                                                                 | GSR 2004-6F 3A4 6.5 5/34                                                                                                         | CUSIP: 36228F2R6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1185 | PA      | $1209.02       | 0.00%             | 2034-05-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TR 2006-18                                                                                 | GSAA 2006-18 AF3A 5.772% 11/36                                                                                                   | CUSIP: 3622ELAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       43073 | PA      | $12104.12      | 0.00%             | 2036-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 6/41 #757631                                                                                                          | CUSIP: 36230SPQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16358 | PA      | $15932.21      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 3.5% 03/15/2043#758871                                                                                                 | CUSIP: 36230T2C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      302860 | PA      | $286999.72     | 0.00%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5.0% 01/20/2035#781859                                                                                                   | CUSIP: 36241KB49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      765763 | PA      | $778978.05     | 0.00%             | 2035-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5.00% 10/38 #782431                                                                                                      | CUSIP: 36241KVY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9794 | PA      | $9990.93       | 0.00%             | 2038-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 9/41 #783501                                                                                                          | CUSIP: 36241L3J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29406 | PA      | $30035.25      | 0.00%             | 2041-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 3.50% 3/42 #783550                                                                                                          | CUSIP: 36241L5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1435381 | PA      | $1364025.41    | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 7/39 #782727                                                                                                          | CUSIP: 36241LA48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19643 | PA      | $20055.98      | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 4/40 #782918                                                                                                          | CUSIP: 36241LG34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      235063 | PA      | $240143.79     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 5/40 #782949                                                                                                          | CUSIP: 36241LH25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31580 | PA      | $32252.15      | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 6/40 #782989                                                                                                          | CUSIP: 36241LKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51567 | PA      | $51706.62      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.00% 10/40 #783143                                                                                                         | CUSIP: 36241LP42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       87791 | PA      | $85765.83      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 3/41 #783276                                                                                                          | CUSIP: 36241LT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8178 | PA      | $8200.19       | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 3/41 #783261                                                                                                          | CUSIP: 36241LTS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      250908 | PA      | $251580.57     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 3/41 #783262                                                                                                          | CUSIP: 36241LTT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21630 | PA      | $21689.25      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 7/40 #783281                                                                                                          | CUSIP: 36241LUE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8693 | PA      | $8716.47       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 3/41 #783295                                                                                                          | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      313079 | PA      | $313790.29     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP                                                                                            | GSR 2005-5F 8A3 TSFR1M+61.448 6/35                                                                                               | CUSIP: 36242D7M9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         118 | PA      | $113.94        | 0.00%             | 2035-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2015-GC34                                                                                    | GS MORTGAGE SECURITIES TRUST 2015-GC34 XA CSTR 10/10/2048                                                                        | CUSIP: 36250VAF9<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |      459408 | PA      | $25.96         | 0.00%             | 2048-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 3.50% 2/42 #616878                                                                                                          | CUSIP: 36290TJX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       69033 | PA      | $65779.97      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.50% 6/36 #651860                                                                                                          | CUSIP: 36292LE91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4780 | PA      | $4918.52       | 0.00%             | 2036-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.50% 1/37 #661586                                                                                                          | CUSIP: 36294V6X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         594 | PA      | $603.12        | 0.00%             | 2037-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.50% 9/38 #677307                                                                                                          | CUSIP: 36295QNY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30066 | PA      | $31082.44      | 0.00%             | 2038-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 5/39 #698329                                                                                                          | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7663 | PA      | $7685.49       | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 8/39 #710776                                                                                                          | CUSIP: 36297FT93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25257 | PA      | $25795.01      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 5.00% 10/39 #710924                                                                                                         | CUSIP: 36297FYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26392 | PA      | $26959.97      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 4.50% 2/40 #711188                                                                                                          | CUSIP: 36297GCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1269 | PA      | $1272.50       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 3.5% 09/15/2043#711804                                                                                                 | CUSIP: 36297GX96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      470580 | PA      | $445130.88     | 0.00%             | 2043-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 3.5% 11/15/2043#711823                                                                                                 | CUSIP: 36297GYU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      309022 | PA      | $292114.79     | 0.00%             | 2043-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                                           | GENERAL MOTORS CO 6.25% 10/02/2043                                                                                               | CUSIP: 37045VAF7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      525000 | PA      | $539058.95     | 0.00%             | 2043-10-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                                                         | GILEAD SCIENCES INC 4.5% 02/01/2045                                                                                              | CUSIP: 375558BA0<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |      190000 | PA      | $171151.02     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 6.75% 10/01/2037                                                                                   | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    50954000 | PA      | $57392801.19   | 0.13%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GNR 2004-90 SI INVF 10/34                                                                                                        | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |        3909 | PA      | $289.57        | 0.00%             | 2034-10-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM TSFR1M+60 08/20/2063                                                                                | CUSIP: 38375B5N8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       62401 | PA      | $62510.17      | 0.00%             | 2063-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GNR 2010-H27 FA TSFR1M+38 12/60                                                                                                  | CUSIP: 38375BJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      168787 | PA      | $168511.22     | 0.00%             | 2060-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM TSFR1M+66.448 09/20/2061                                                                            | CUSIP: 38375BNA6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      418178 | PA      | $418496.62     | 0.00%             | 2061-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM TSFR1M+81.448 02/20/2062                                                                            | CUSIP: 38375BSK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       17097 | PA      | $17151.01      | 0.00%             | 2062-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM TSFR1M+63.448 08/20/2062                                                                            | CUSIP: 38375BUL4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       79470 | PA      | $79453.99      | 0.00%             | 2062-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GNR 2007-9 CI INVF 03/37                                                                                                         | CUSIP: 38375JMV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |        6668 | PA      | $601.99        | 0.00%             | 2037-03-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GNR 2008-40 SA IO INVF 5/38                                                                                                      | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |        6045 | PA      | $392.82        | 0.00%             | 2038-05-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GNR 2015-H13 HA 2.5% 08/64                                                                                                       | CUSIP: 38376RCQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        1372 | PA      | $1297.75       | 0.00%             | 2064-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                                              | HALLIBURTON CO 4.75% 08/01/2043                                                                                                  | CUSIP: 406216BE0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |        7000 | PA      | $6258.48       | 0.00%             | 2043-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HANCOCK JOHN SOVEREIGN BD FD                                                                                | JHancock Bond R6                                                                                                                 | CUSIP: 410223606<br>LEI: WKGWVLWSOXTPDPZACG18 | Long             | EC               | RF                | US        |    58041198 | NS      | $802129358.68  | 1.82%             |  |  |  | No            |                  1 | On Loan: No      |
| HARTFORD MUT FDS INC                                                                                        | Hartford Total Return Bond I                                                                                                     | CUSIP: 416649820<br>LEI: RWDT2URQ448WL7QOZ819 | Long             | EC               | RF                | US        |    43064088 | NS      | $398773456.29  | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: MXN/USD settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $149097.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HESS CORP                                                                                                   | HESS CORP 5.6% 02/15/2041                                                                                                        | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      460000 | PA      | $481679.07     | 0.00%             | 2041-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                                              | HOME DEPOT INC 4.25% 04/01/2046                                                                                                  | CUSIP: 437076BH4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      140000 | PA      | $120785.52     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/BRL settle 2026-04-02                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-182318.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/BRL settle 2026-04-02                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-123737.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                                                      | FX Forward: MXN/USD settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |           1 | NC      | $109031.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/BRL settle 2026-04-02                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-152683.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: USD/BRL settle 2026-04-02                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-567892.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: USD/BRL settle 2026-04-02                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-605253.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: USD/BRL settle 2026-04-02                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-350198.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                                                      | FX Forward: MXN/USD settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |           1 | NC      | $276218.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | FX Forward: USD/TWD settle 2025-12-15                                                                                            | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |           1 | NC      | $23547.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                                            | FX Forward: BRL/USD settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $205505.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                                            | FX Forward: USD/GBP settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $47818.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                                            | FX Forward: USD/EUR settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $32374.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BTIG, LLC                                                                                                   | FX Forward: USD/ZAR settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 549300GTG9PL6WO3EC51       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-68096.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                                            | FX Forward: USD/EUR settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $213967.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY and CO. INTERNATIONAL PLC                                                                    | FX Forward: EUR/USD settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-7125.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | FX Forward: USD/JPY settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |           1 | NC      | $349661.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | FX Forward: USD/BRL settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-199533.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/PEN settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-68556.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                                                                                         | HUNGARY REPUBLIC OF 7.625% 03/29/2041                                                                                            | CUSIP: 445545AF3<br>LEI: 5299008DH62LEB10JK83 | Long             | DBT              | NUSS              | HU        |      170000 | PA      | $200355.20     | 0.00%             | 2041-03-29      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/BRL settle 2026-04-02                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-109897.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | FX Forward: USD/EUR settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $12928.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY and CO. INTERNATIONAL PLC                                                                    | FX Forward: USD/JPY settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $9896.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY and CO. INTERNATIONAL PLC                                                                    | FX Forward: USD/GBP settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $99942.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: USD/BRL settle 2026-04-02                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-210986.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: USD/BRL settle 2026-04-02                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-315593.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: BRL/USD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $180193.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: USD/BRL settle 2026-04-02                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-55415.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BTIG, LLC                                                                                                   | FX Forward: USD/GBP settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 549300GTG9PL6WO3EC51       | N/A              | DFE              | CORP              | US        |           1 | NC      | $14429.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: BRL/USD settle 2026-01-05                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $39415.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2025-12-03                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $93144.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2025-12-08                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $29881.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                                            | FX Forward: USD/AUD settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $152.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2025-12-10                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $28938.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ILFC E CAPITAL TR I                                                                                         | ILFC E CAPITAL TR I TSFR3M+181.161 12/21/2065 144A                                                                               | CUSIP: 44965TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      156000 | PA      | $130957.87     | 0.00%             | 2065-12-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                                            | FX Forward: USD/EUR settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $25427.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2025-12-12                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $53930.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                                            | FX Forward: USD/GBP settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $4086.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BTIG, LLC                                                                                                   | FX Forward: USD/EUR settle 2026-01-09                                                                                            | CUSIP: N/A<br>LEI: 549300GTG9PL6WO3EC51       | N/A              | DFE              | CORP              | US        |           1 | NC      | $419453.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | FX Forward: USD/GBP settle 2026-01-09                                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $140892.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | FX Forward: USD/AUD settle 2026-01-09                                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $122590.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                                            | FX Forward: USD/EUR settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $20392.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                                            | FX Forward: USD/GBP settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $12801.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | FX Forward: USD/EUR settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $4156.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/TWD settle 2026-01-22                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $13585.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2025-12-18                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $2884.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/TWD settle 2026-01-22                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $6642.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                                            | FX Forward: USD/EUR settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $2520.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/TWD settle 2026-01-22                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $6948.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                                            | FX Forward: USD/EUR settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $2098.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                                                 | ILLINOIS ST TXBL                                                                                                                 | CUSIP: 452151LF8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     2159559 | PA      | $2216210.74    | 0.01%             | 2033-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2025-12-09                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $5715.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC CMB TR                                                                                                | IMM 04-10 3A1 TSFR1M+81.448 3/35                                                                                                 | CUSIP: 45254NLM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        2710 | PA      | $2628.42       | 0.00%             | 2035-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2007-A                                                                                         | IMM 2007-A A TSFR1M+61.448 5/37                                                                                                  | CUSIP: 452550AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      133442 | PA      | $127604.60     | 0.00%             | 2037-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/TWD settle 2026-01-22                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $11263.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BTIG, LLC                                                                                                   | FX Forward: EUR/USD settle 2026-01-09                                                                                            | CUSIP: N/A<br>LEI: 549300GTG9PL6WO3EC51       | N/A              | DFE              | CORP              | US        |           1 | NC      | $674.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/TWD settle 2026-01-22                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $29022.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/TWD settle 2026-01-22                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $13589.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | FX Forward: USD/EUR settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-280.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/TWD settle 2026-01-22                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $19234.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BTIG, LLC                                                                                                   | FX Forward: USD/EUR settle 2026-01-09                                                                                            | CUSIP: N/A<br>LEI: 549300GTG9PL6WO3EC51       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1562.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2026-01-13                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $1455.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY and CO. INTERNATIONAL PLC                                                                    | FX Forward: USD/EUR settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $1275.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | FX Forward: USD/BRL settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6985.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | FX Forward: ZAR/USD settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |           1 | NC      | $51707.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: PEN/USD settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $22709.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                                            | FX Forward: USD/GBP settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $2744.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2026-01-22                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $2692.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                                            | FX Forward: USD/EUR settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $196.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BTIG, LLC                                                                                                   | FX Forward: USD/AUD settle 2026-01-09                                                                                            | CUSIP: N/A<br>LEI: 549300GTG9PL6WO3EC51       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5655.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2026-01-23                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $2055.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTG LN TR 2006 AR41                                                                            | INDX 06-AR41 A3 TSFR1M+47.448 1/37                                                                                               | CUSIP: 45668NAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       26958 | PA      | $25495.65      | 0.00%             | 2037-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2026-01-27                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $186317.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BTIG, LLC                                                                                                   | FX Forward: USD/GBP settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: 549300GTG9PL6WO3EC51       | N/A              | DFE              | CORP              | US        |           1 | NC      | $58675.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | FX Forward: USD/EUR settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $391185.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                                            | FX Forward: USD/GBP settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $1251.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/SGD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | FX Forward: MXN/USD settle 2026-01-30                                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $154528.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | FX Forward: USD/MXN settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-156209.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/JPY settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/CAD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $120895.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                                                                         | FX Forward: USD/GBP settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $8228.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/TRY settle 2025-12-03                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-286.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | FX Forward: USD/GBP settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1653.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                                                                         | FX Forward: USD/GBP settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-45466.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BTIG, LLC                                                                                                   | FX Forward: USD/EUR settle 2026-01-09                                                                                            | CUSIP: N/A<br>LEI: 549300GTG9PL6WO3EC51       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-633.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                                                                         | FX Forward: USD/GBP settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3101.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                                                                         | FX Forward: USD/AUD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1054.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/EUR settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-188148.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/AUD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/CAD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2026-01-29                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $8457.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/EUR settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | FX Forward: EUR/USD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |           1 | NC      | $55429.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: USD/JPY settle 2025-12-11                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $21883.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/EUR settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-93749.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BTIG, LLC                                                                                                   | FX Forward: USD/EUR settle 2026-01-09                                                                                            | CUSIP: N/A<br>LEI: 549300GTG9PL6WO3EC51       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2429.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | FX Forward: JPY/USD settle 2025-12-11                                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7422.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | FX Forward: EUR/USD settle 2026-01-09                                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $5858.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/CAD settle 2025-12-11                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2774.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/GBP settle 2025-12-11                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-184922.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | FX Forward: USD/EUR settle 2025-12-11                                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-435297.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/AUD settle 2025-12-11                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6001.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: GBP/USD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $24743.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2026-02-09                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $8177.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BTIG, LLC                                                                                                   | FX Forward: USD/GBP settle 2026-01-09                                                                                            | CUSIP: N/A<br>LEI: 549300GTG9PL6WO3EC51       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6325.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | FX Forward: USD/EUR settle 2026-01-09                                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1879.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2026-02-10                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $209557.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BTIG, LLC                                                                                                   | FX Forward: USD/EUR settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: 549300GTG9PL6WO3EC51       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9994.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                                            | FX Forward: USD/GBP settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-1530.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: EUR/USD settle 2025-12-11                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $774.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/EUR settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/JPY settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/EUR settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-72245.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/JPY settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $149650.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/SGD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/SGD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3445.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/AUD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-28102.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/AUD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/CAD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-101.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/CAD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | FX Forward: ZAR/USD settle 2025-12-04                                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $8088.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: EUR/USD settle 2025-12-11                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-207.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | FX Forward: EUR/USD settle 2026-01-09                                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1360.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | FX Forward: USD/EUR settle 2026-01-09                                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-336.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: ZAR/USD settle 2025-12-04                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $229.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | FX Forward: USD/AUD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4657.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | FX Forward: USD/GBP settle 2025-12-11                                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3018.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | FX Forward: USD/GBP settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2025.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: TRY/USD settle 2026-02-18                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $9170.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | FX Forward: EUR/USD settle 2025-12-11                                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $69.83         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | FX Forward: EUR/USD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3215.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2026-02-20                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $35585.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/GBP settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3918.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2026-02-24                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $40527.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | FX Forward: USD/PEN settle 2026-01-27                                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10135.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                                                 | FX Forward: BRL/USD settle 2026-01-27                                                                                            | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-615.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BTIG, LLC                                                                                                   | FX Forward: USD/EUR settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: 549300GTG9PL6WO3EC51       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6049.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BTIG, LLC                                                                                                   | FX Forward: EUR/USD settle 2026-01-09                                                                                            | CUSIP: N/A<br>LEI: 549300GTG9PL6WO3EC51       | N/A              | DFE              | CORP              | US        |           1 | NC      | $4613.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | FX Forward: USD/EUR settle 2026-01-09                                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-738806.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | FX Forward: GBP/USD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $74979.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | FX Forward: USD/GBP settle 2026-01-09                                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-74946.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | FX Forward: EUR/USD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $745068.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/EUR settle 2025-12-11                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-1235.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | FX Forward: USD/JPY settle 2025-12-11                                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1817.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: USD/BRL settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-182201.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: BRL/USD settle 2026-02-03                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $181121.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                                                      | FX Forward: USD/ZAR settle 2025-12-04                                                                                            | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |           1 | NC      | $-23220.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                                                      | FX Forward: ZAR/USD settle 2026-01-26                                                                                            | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |           1 | NC      | $22697.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2026-02-25                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $5852.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | FX Forward: USD/ZAR settle 2026-01-27                                                                                            | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-28776.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | FX Forward: USD/AUD settle 2025-12-11                                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3290.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Old Name : iShares Ultra Short-Term Bond Active ETF                                                         | iShares Core US Aggregate Bond ETF                                                                                               | CUSIP: 464287226<br>LEI: 549300G3FWQPUM47D181 | Long             | EC               | RF                | US        |      468143 | NS      | $47198177.26   | 0.11%             |  |  |  | No            |                  1 | On Loan: —       |
| Old Name : iShares Ultra Short-Term Bond Active ETF                                                         | iShares iBoxx $ Invmt Grade Corp Bd ETF                                                                                          | CUSIP: 464287242<br>LEI: 549300G3FWQPUM47D181 | Long             | EC               | RF                | US        |        1892 | NS      | $211639.12     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Old Name : iShares Ultra Short-Term Bond Active ETF                                                         | iShares 7-10 Year Treasury Bond ETF                                                                                              | CUSIP: 464287440<br>LEI: 549300G3FWQPUM47D181 | Long             | EC               | RF                | US        |    16973444 | NS      | $1654910790.00 | 3.75%             |  |  |  | No            |                  1 | On Loan: —       |
| Old Name : iShares Ultra Short-Term Bond Active ETF                                                         | iShares 1-5 Year invmt Grd Corp Bd ETF                                                                                           | CUSIP: 464288646<br>LEI: 549300G3FWQPUM47D181 | Long             | EC               | RF                | US        |     2881252 | NS      | $153023293.72  | 0.35%             |  |  |  | No            |                  1 | On Loan: —       |
| BARCLAYS BANK PLC                                                                                           | FX Forward: ZAR/USD settle 2026-01-26                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $8669.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: USD/ZAR settle 2025-12-04                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-8926.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: USD/BRL settle 2026-03-03                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-425.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: BRL/USD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $411.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/JPY settle 2025-12-11                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $4212.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                                            | FX Forward: USD/GBP settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $-473.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: USD/AUD settle 2026-01-14                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-101560.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | FX Forward: AUD/USD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $101353.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: GBP/USD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $573582.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/GBP settle 2026-01-14                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-573500.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: USD/ZAR settle 2025-12-04                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3404.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | FX Forward: ZAR/USD settle 2026-01-26                                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3246.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BTIG, LLC                                                                                                   | FX Forward: USD/JPY settle 2026-03-18                                                                                            | CUSIP: N/A<br>LEI: 549300GTG9PL6WO3EC51       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4345.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: TRY/USD settle 2026-02-26                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $17634.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BTIG, LLC                                                                                                   | FX Forward: USD/GBP settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: 549300GTG9PL6WO3EC51       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-60.72        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: EUR/USD settle 2025-12-02                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $357012.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | FX Forward: USD/EUR settle 2026-01-14                                                                                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-363473.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | FX Forward: USD/AUD settle 2025-12-17                                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-227.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                                            | ISRAEL STATE OF 5.5% 09/18/2033                                                                                                  | CUSIP: 46513EFG2<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     2685000 | PA      | $2960752.67    | 0.01%             | 2033-09-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTG TR                                                                                            | JPMMT 06-A2 4A1 CSTR 8/34                                                                                                        | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1270 | PA      | $1279.59       | 0.00%             | 2034-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTG TR                                                                                            | JPMMT 06-A2 5A3 CSTR 11/33                                                                                                       | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         509 | PA      | $500.33        | 0.00%             | 2033-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN TR II                                                                                              | JPMorgan Core Bond R6                                                                                                            | CUSIP: 4812C0100<br>LEI: DQ695W4P67V7A4LC6I09 | Long             | EC               | RF                | US        |    69516423 | NS      | $730617601.42  | 1.65%             |  |  |  | No            |                  1 | On Loan: No      |
| KENTUCKY UTILITIES CO                                                                                       | KENTUCKY UTILITIES CO 5.125% 11/01/2040                                                                                          | CUSIP: 491674BG1<br>LEI: AGX0G2MXE54NFNNICD28 | Long             | DBT              | CORP              | US        |       35000 | PA      | $34978.24      | 0.00%             | 2040-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                                                       | KINDER MORGAN INC DEL 5.05% 02/15/2046                                                                                           | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      200000 | PA      | $182704.73     | 0.00%             | 2046-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP IND                                                                                   | LINCOLN NATIONAL CORP IND 6.3% 10/09/2037                                                                                        | CUSIP: 534187AW9<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |      110000 | PA      | $118923.52     | 0.00%             | 2037-10-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                                                        | LOCKHEED MARTIN CORP 4.7% 05/15/2046                                                                                             | CUSIP: 539830BL2<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |      145000 | PA      | $133478.76     | 0.00%             | 2046-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LOUISVILLE GAS and ELECTRIC CO                                                                              | LOUISVILLE GAS and ELECTRIC CO 5.125% 11/15/2040                                                                                 | CUSIP: 546676AU1<br>LEI: KO3GRIB3RPH1XDX50U72 | Long             | DBT              | CORP              | US        |      345000 | PA      | $345254.72     | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MAINSTAY FDS                                                                                                | NYLI MacKay U.S. Infrastructure Bd Cl A                                                                                          | CUSIP: 56062F764<br>LEI: 5493003Y7K55IDIMKI62 | Long             | EC               | RF                | US        |    47615858 | NS      | $366165944.78  | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| MASSACHUSETTS INSTITUTE OF TECHNOLOGY                                                                       | MASSACHUSETTS INSTITUTE OF TECHNOLOGY 5.6% 07/01/2111                                                                            | CUSIP: 575718AA9<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |      400000 | PA      | $406521.69     | 0.00%             | 2111-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS INSTITUTE OF TECHNOLOGY                                                                       | MASSACHUSETTS INSTITUTE OF TECHNOLOGY 3.959% 07/01/2038                                                                          | CUSIP: 575718AE1<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |     2125000 | PA      | $2000375.55    | 0.00%             | 2038-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST TRANSN FD REV                                                                              | MASSACHUSETTS ST TRANSN FD REVBUILD AMERICA BONDS-RECOVERY ZONE ECON DEV BONDS                                                   | CUSIP: 57604TAD8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      150000 | PA      | $158660.30     | 0.00%             | 2040-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MASTR ADJ RATE MTGS TR                                                                                      | MARM 2004-13 2A1 CSTR 4/34                                                                                                       | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         336 | PA      | $331.63        | 0.00%             | 2034-04-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MASTER ALTERNATIVE LOAN TRUST                                                                               | MALT 04-6 6A1 6.5% 7/34                                                                                                          | CUSIP: 576434SJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        5901 | PA      | $6016.73       | 0.00%             | 2034-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MASTER ALTERNATIVE LOAN TRUST                                                                               | MALT 2004-6 7A1 6 7/34                                                                                                           | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        4393 | PA      | $4411.78       | 0.00%             | 2034-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MASTR RESECURITIZATION TR                                                                                   | MARS 2005-PO 3PO PO 0% 5/35                                                                                                      | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         215 | PA      | $169.25        | 0.00%             | 2035-05-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR SPECIALIZED LN TR                                                                                     | MARP 2005-1 1A3 7 8/34                                                                                                           | CUSIP: 576436AT6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      932617 | PA      | $637110.47     | 0.00%             | 2034-08-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECS TR 2007-NCW                                                                         | MABS 2007-NCW A1 TSFR1M+41.448 5/37                                                                                              | CUSIP: 576456AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      988795 | PA      | $894797.08     | 0.00%             | 2037-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                                              | MCDONALDS CORP 4.7% 12/09/2035                                                                                                   | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     2880000 | PA      | $2890358.44    | 0.01%             | 2035-12-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEMORIAL SLOAN KETTERING CANCER CTR                                                                         | MEMORIAL SLOAN KTTRNG CNCR CTR 5% 07/01/2042                                                                                     | CUSIP: 586054AA6<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |      350000 | PA      | $340941.29     | 0.00%             | 2042-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVS INC                                                                                 | MLCC 04-C A2 6M+30 7/29                                                                                                          | CUSIP: 59020UDP7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         473 | PA      | $460.87        | 0.00%             | 2029-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN TRANSN AUTH NY RV                                                                              | METROPOLITAN TRANSN AUTH NY REBUILD AMERICA BONDS 6.668% 11/15/39                                                                | CUSIP: 59259YBY4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      380000 | PA      | $421296.01     | 0.00%             | 2039-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MID STATE CAP CORP 05 1 TR                                                                                  | MDST 2005-1 M1 6.106 1/40                                                                                                        | CUSIP: 595481AB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        7172 | PA      | $7172.05       | 0.00%             | 2040-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MID-STATE CAP CORP 2006-1 TR                                                                                | MDST 2006-1 A 5.787% 10/40                                                                                                       | CUSIP: 59548PAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       12987 | PA      | $13057.39      | 0.00%             | 2040-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MID-STATE CAP CORP 2006-1 TR                                                                                | MDST 2006-1 M1 6.083 10/40                                                                                                       | CUSIP: 59548PAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       15757 | PA      | $15851.60      | 0.00%             | 2040-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                                                           | BERKSHIRE HATHAWAY ENERGY COMPANY 5.15% 11/15/2043                                                                               | CUSIP: 59562VBD8<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |       90000 | PA      | $87488.33      | 0.00%             | 2043-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 4.35% 09/08/2026                                                                                                  | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2070000 | PA      | $2075086.92    | 0.00%             | 2026-09-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I INC                                                                                    | MSM 2004-3 4A CSTR 4/34                                                                                                          | CUSIP: 61745MA52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        2378 | PA      | $2342.81       | 0.00%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAP I INC TR 2006 HE8                                                                    | MSAC 2006-HE8 A2FP TSFR1M+7 10/36                                                                                                | CUSIP: 61750SAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      120386 | PA      | $52029.16      | 0.00%             | 2036-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTG LN TR 2007-3XS                                                                           | MSM 2007-3XS 2A4S 5.9631% 1/47                                                                                                   | CUSIP: 61752RAK8<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-CBDO         | CORP              | US        |      792460 | PA      | $282206.83     | 0.00%             | 2047-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAP I INC TR 2007 NC3                                                                    | MSAC 2007-NC3 A2D TSFR1M+37.448 5/37                                                                                             | CUSIP: 61755AAE6<br>LEI: 549300LT6TIGKPKJS707 | Long             | ABS-CBDO         | CORP              | US        |     1732377 | PA      | $1357035.40    | 0.00%             | 2037-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2014-150E                                                                    | MORGAN STANLEY CAPITAL I TRUST 2014-150E 3.912% 09/09/2024 144A                                                                  | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      520000 | PA      | $470682.63     | 0.00%             | 2032-09-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                                                 | PETROBRAS GLOBAL FINANCE BV 6.625% 01/16/2034                                                                                    | CUSIP: N/A<br>LEI: 549300FNENFFSMO3GT38       | Long             | DBT              | CORP              | NL        |      400000 | PA      | $526634.04     | 0.00%             | 2034-01-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GEORGIA MUN ELEC AUTH PWR REV                                                                               | MUNICIPAL EC AT GA 6.637% 4/57TAXABLE-PLT VOGTLE UNITS 3 and 4 PJ J-SER A-BUILD AMER                                             | CUSIP: 626207YF5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      207000 | PA      | $227858.85     | 0.00%             | 2057-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NAAC REPERFORMING LN REMIC TR                                                                               | NAA 2004-R2 A1 CSTR 10/34 144A                                                                                                   | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1609 | PA      | $1396.19       | 0.00%             | 2034-10-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NAKILAT INC                                                                                                 | NAKILAT INC 6.067% 12/31/2033 144A                                                                                               | CUSIP: 62983PAA3<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |      490922 | PA      | $520377.24     | 0.00%             | 2033-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                                                                             | NEVADA POWER CO 6.65% 04/01/2036                                                                                                 | CUSIP: 641423BP2<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |     1550000 | PA      | $1754291.75    | 0.00%             | 2036-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                                                                             | NEVADA POWER CO 5.375% 09/15/2040                                                                                                | CUSIP: 641423BZ0<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |       18000 | PA      | $18293.66      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LN TR                                                                               | NCHET 2003-5 AI6 5.3025% 11/33                                                                                                   | CUSIP: 64352VED9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        4574 | PA      | $4507.74       | 0.00%             | 2033-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TPK AUTH TPK REV                                                                              | NEW JERSEY ST TPK AUTH TPK REVBUILD AMERICA BDS-TAXABLE-SER F 7.414% 1/1/40                                                      | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |     2220000 | PA      | $2677311.12    | 0.01%             | 2040-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TPK AUTH TPK REV                                                                              | NEW JERSEY ST TPK AUTH TPK REVBUILD AMERICA BONDS-TAXABLE-A-ISSUER SUBSIDY                                                       | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |      855000 | PA      | $1000051.95    | 0.00%             | 2041-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW YORK and PRESBYTERIAN HOSP                                                                              | NEW YORK and PRESBYTERIAN HOSP 4.024% 08/01/2045                                                                                 | CUSIP: 649322AA2<br>LEI: 19EOSPKL8HML7MY3UE63 | Long             | DBT              | CORP              | US        |      600000 | PA      | $507228.72     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INSURANCE CO                                                                                  | NEW YORK LIFE INSURANCE CO 5.875% 05/15/2033 144A                                                                                | CUSIP: 64952GAE8<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |     1004000 | PA      | $1071553.28    | 0.00%             | 2033-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEW YORK NY CTY MUN WTR FIN AU                                                                              | NEW YORK CITY NY MUN WTR FIN AUTH W and S 6.011% 06/15/42                                                                        | CUSIP: 64972FL20<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       70000 | PA      | $73760.79      | 0.00%             | 2042-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEW YORK NY CTY MUN WTR FIN AU                                                                              | NEW YORK N Y CITY MUN WTR FIN AUTH WTR and SWR REV TAXABLE-2NDGEN RESOLUTION SER CC-BUILD AB                                     | CUSIP: 64972FY34<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      320000 | PA      | $332198.14     | 0.00%             | 2044-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                                                | NISOURCE INC 5.95% 06/15/2041                                                                                                    | CUSIP: 65473QAX1<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |      640000 | PA      | $671054.92     | 0.00%             | 2041-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUST MTG PASS THRU CTFS SER 2006-AF1                         | NAA 2006-AF1 1A3 6.408% 5/36                                                                                                     | CUSIP: 65536PAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2748012 | PA      | $521998.91     | 0.00%             | 2036-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                                                                       | NORFOLK SOUTHERN CORP 3.95% 10/01/2042                                                                                           | CUSIP: 655844BM9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |      105000 | PA      | $88802.16      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                                                       | NORTHROP GRUMMAN CORP 4.75% 06/01/2043                                                                                           | CUSIP: 666807BH4<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      545000 | PA      | $508157.25     | 0.00%             | 2043-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OHIO EDISON CO                                                                                              | OHIO EDISON CO 6.875% 07/15/2036                                                                                                 | CUSIP: 677347CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1650000 | PA      | $1906187.27    | 0.00%             | 2036-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OHIO ST UNIV GEN RCPTS                                                                                      | OHIO ST UNIV GEN RCPTS BUILD AMERICA BONDS                                                                                       | CUSIP: 677632MV0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      140000 | PA      | $139508.52     | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OHIO ST UNIV GEN RCPTS                                                                                      | OHIO ST UNIV TXBL-SER A                                                                                                          | CUSIP: 677632PA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1503000 | PA      | $1280832.85    | 0.00%             | 2111-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEOK PARTNERS LP                                                                                           | ONEOK PARTNERS LP 6.65% 10/01/2036                                                                                               | CUSIP: 68268NAC7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |      542000 | PA      | $594395.74     | 0.00%             | 2036-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 4.125% 05/15/2045                                                                                                    | CUSIP: 68389XBF1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1025000 | PA      | $773029.16     | 0.00%             | 2045-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 4.375% 05/15/2055                                                                                                    | CUSIP: 68389XBG9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1356000 | PA      | $993222.27     | 0.00%             | 2055-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MTG LN TR 2007 FXD1                                                                              | OOMLT 2007-FXD1 3A4 CSTR 1/37                                                                                                    | CUSIP: 68402VAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       78871 | PA      | $77510.78      | 0.00%             | 2037-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PPL ELEC UTILS CORP                                                                                         | PPL ELEC UTILS CORP 6.25% 05/15/2039                                                                                             | CUSIP: 69351UAM5<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |      350000 | PA      | $391513.45     | 0.00%             | 2039-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PPL ELEC UTILS CORP                                                                                         | PPL ELEC UTILS CORP 4.125% 06/15/2044                                                                                            | CUSIP: 69351UAS2<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |     1890000 | PA      | $1612934.16    | 0.00%             | 2044-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 4.45% 04/15/2042                                                                                     | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       87000 | PA      | $73072.48      | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 3.75% 08/15/2042                                                                                     | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1862000 | PA      | $1427107.61    | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 4.6% 06/15/2043                                                                                      | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       57000 | PA      | $48426.95      | 0.00%             | 2043-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 4.75% 02/15/2044                                                                                     | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      305000 | PA      | $262033.68     | 0.00%             | 2044-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                                                  | PACIFICORP 5.25% 06/15/2035                                                                                                      | CUSIP: 695114BZ0<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     1320000 | PA      | $1329469.89    | 0.00%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                                                  | PACIFICORP 5.75% 04/01/2037                                                                                                      | CUSIP: 695114CD8<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |      900000 | PA      | $925013.75     | 0.00%             | 2037-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                                                          | PANAMA REPUBLIC OF 4.3% 04/29/2053                                                                                               | CUSIP: 698299BB9<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      615000 | PA      | $455100.00     | 0.00%             | 2053-04-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                                         | PETROLEOS MEXICANOS 6.625% 06/15/2038                                                                                            | CUSIP: 706451BR1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      147000 | PA      | $133549.50     | 0.00%             | 2038-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                                                 | PEPSICO INC 3.6% 08/13/2042                                                                                                      | CUSIP: 713448CC0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      580000 | PA      | $478974.57     | 0.00%             | 2042-08-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY INC                                                                                           | SUNCOR ENERGY INC 6.8% 05/15/2038                                                                                                | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |      191000 | PA      | $212406.55     | 0.00%             | 2038-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                                         | PETROLEOS MEXICANOS 2.75% 04/21/2027 REGS                                                                                        | CUSIP: N/A<br>LEI: 549300CAZKPF4HKMPX17       | Long             | DBT              | CORP              | MX        |      339000 | PA      | $388244.99     | 0.00%             | 2027-04-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                                                  | PFIZER INC 4.3% 06/15/2043                                                                                                       | CUSIP: 717081DE0<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      117000 | PA      | $103947.17     | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                                                  | PFIZER INC 4.4% 05/15/2044                                                                                                       | CUSIP: 717081DK6<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      280000 | PA      | $253955.56     | 0.00%             | 2044-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                                             | PHILIP MORRIS INTL INC 4.375% 11/15/2041                                                                                         | CUSIP: 718172AM1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      442000 | PA      | $396631.91     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                                             | PHILIP MORRIS INTL INC 3.875% 08/21/2042                                                                                         | CUSIP: 718172AU3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      830000 | PA      | $692589.50     | 0.00%             | 2042-08-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PIMCO STOCKSPLUS LONG DURATION FUND                                                                         | PIMCO Income Instl                                                                                                               | CUSIP: 72201F490<br>LEI: QUL769QTM8LGBLCNMX95 | Long             | EC               | CORP              | US        |   112820507 | NS      | $1241025580.50 | 2.81%             |  |  |  | No            |                  1 | On Loan: No      |
| PIMCO Mortgage Opportunities and Bond Fund                                                                  | PIMCO Mortgage Opportunities and Bond Fund Instl                                                                                 | CUSIP: 72201U638<br>LEI: 549300PFV1F66T7RF111 | Long             | EC               | CORP              | US        |   219104451 | NS      | $2068346019.16 | 4.68%             |  |  |  | No            |                  1 | On Loan: No      |
| PORT AUTH NY and NJ                                                                                         | NY *PORT AUTH-TXB-165TH 5.647% 11/01/40                                                                                          | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      240000 | PA      | $257714.50     | 0.00%             | 2040-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PORT AUTH NY and NJ                                                                                         | PORT AUTH NY and NJ CONS-ONE HUNDRED SIXTY-EIGHT                                                                                 | CUSIP: 73358WEK6<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |       70000 | PA      | $66835.82      | 0.00%             | 2051-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PORT AUTH NY and NJ                                                                                         | PORT NY NJ 4.458% 10/01/2062                                                                                                     | CUSIP: 73358WJA3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      515000 | PA      | $442551.14     | 0.00%             | 2062-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PORT AUTH NY and NJ                                                                                         | PORT NY NJ 4.96% 8/1/2046                                                                                                        | CUSIP: 73358WRP1<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      280000 | PA      | $268926.03     | 0.00%             | 2046-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRIME MTG TR                                                                                                | PRIME 2004-CL1 1A1 6 2/34                                                                                                        | CUSIP: 74160MDK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         644 | PA      | $645.45        | 0.00%             | 2034-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC AND GAS CO                                                                          | PUBLIC SERVICE ELECTRIC AND GAS CO 3.95% 05/01/2042                                                                              | CUSIP: 74456QAZ9<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |      505000 | PA      | $431851.63     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC AND GAS CO                                                                          | PUBLIC SERVICE ELECTRIC AND GAS CO 3.65% 09/01/2042                                                                              | CUSIP: 74456QBA3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |      625000 | PA      | $512051.44     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUGET SOUND ENERGY INC                                                                                      | PUGET SOUND ENERGY INC 5.764% 07/15/2040                                                                                         | CUSIP: 745332CC8<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |       26000 | PA      | $26835.26      | 0.00%             | 2040-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| QUEBEC PROVINCE CDA                                                                                         | QUEBEC PROVINCE CDA 7.5% 09/15/2029                                                                                              | CUSIP: 748148QR7<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |     1315000 | PA      | $1487807.70    | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REGIONAL TRANSN DIST CO SALES                                                                               | REGIONAL TRANSN DIST COLO SALES TAX REV BUILD AMERICA BONDS-SER B                                                                | CUSIP: 759136QP2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       45000 | PA      | $46393.20      | 0.00%             | 2050-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REGIONS BANK OF ALABAMA                                                                                     | REGIONS BANK OF ALABAMA 6.45% 06/26/2037                                                                                         | CUSIP: 75913MAA7<br>LEI: EQTWLK1G7ODGC2MGLV11 | Long             | DBT              | CORP              | US        |     2533000 | PA      | $2767562.82    | 0.01%             | 2037-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENTAL DEL URUGUAY                                                                              | URUGUAY REPUBLICA ORIENTAL DL 5.1% 06/18/2050                                                                                    | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |      830000 | PA      | $794310.00     | 0.00%             | 2050-06-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENTAL DEL URUGUAY                                                                              | URUGUAY REPUBLICA ORIENTAL DL 4.375% 10/27/2027                                                                                  | CUSIP: 760942BB7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |      100000 | PA      | $100350.00     | 0.00%             | 2027-10-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                                                    | SOUTH AFRICA REPUBLIC OF 8.5% 01/31/2037                                                                                         | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    20925000 | PA      | $1184838.47    | 0.00%             | 2037-01-31      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                                                       | REYNOLDS AMERICAN INC 5.7% 08/15/2035                                                                                            | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |     1189000 | PA      | $1251545.05    | 0.00%             | 2035-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                                                       | REYNOLDS AMERICAN INC 5.85% 08/15/2045                                                                                           | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      269000 | PA      | $268179.50     | 0.00%             | 2045-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FINANCE (USA) LTD                                                                                 | RIO TINTO FINANCE (USA) LTD 5.2% 11/02/2040                                                                                      | CUSIP: 767201AL0<br>LEI: 213800RX94ZKEZXPKH58 | Long             | DBT              | CORP              | AU        |       68000 | PA      | $68650.67      | 0.00%             | 2040-11-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                                                                                       | RIO TINTO FIN USA PLC 4.125% 08/21/2042                                                                                          | CUSIP: 76720AAG1<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |      160000 | PA      | $139268.63     | 0.00%             | 2042-08-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                                                | ROCKIES EXPRESS PIPELINE LLC 7.5% 07/15/2038 144A                                                                                | CUSIP: 77340RAD9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      145000 | PA      | $157053.42     | 0.00%             | 2038-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROWE T PRICE INTL FUNDS INC                                                                                 | T. Rowe Price Emerging Markets Bond I                                                                                            | CUSIP: 77956H534<br>LEI: C339HPVTHLLM709WSU55 | Long             | EC               | RF                | US        |    30411097 | NS      | $298636970.41  | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| SFAVE COML MTG SECS TR 2015-5AVE                                                                            | SFAVE COML MTG SECS TR 15-5AVE VAR 01/05/2035 144A                                                                               | CUSIP: 78413MAA6<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |      740000 | PA      | $641336.10     | 0.00%             | 2043-01-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SFAVE COML MTG SECS TR 2015-5AVE                                                                            | SFAVE COML MTG SECS TR 15-5AVE VAR 01/05/2035 144A                                                                               | CUSIP: 78413MAC2<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |     9930000 | PA      | $8425427.25    | 0.02%             | 2043-01-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SFAVE COML MTG SECS TR 2015-5AVE                                                                            | SFAVE COML MTG SECS TR 15-5AVE VAR 01/05/2035 144A                                                                               | CUSIP: 78413MAE8<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3486377.20    | 0.01%             | 2043-01-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SPDR NYSE TECHNOLOGY ETF                                                                                    | State Street SPDR Portfolio L/T Trs ETF                                                                                          | CUSIP: 78464A664<br>LEI: 549300PS44ZVKSLTMI64 | Long             | EC               | RF                | US        |    21299820 | NS      | $579781100.40  | 1.31%             |  |  |  | No            |                  1 | On Loan: No      |
| SSGA ACTIVE ETF TR                                                                                          | State Street DoubleLine TR Tact ETF                                                                                              | CUSIP: 78467V848<br>LEI: 5493007QJU53DW46ZK83 | Long             | EC               | RF                | US        |    13815794 | NS      | $562302815.80  | 1.27%             |  |  |  | No            |                  1 | On Loan: —       |
| SALT RIVER PROJ AZ AGRIC and PWR                                                                            | SALT RIVER PROJ ARIZ AGRIC IMPT and PWR DIST ELEC SYS REV BUILD AMERICA BONDS                                                    | CUSIP: 79575DE63<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      750000 | PA      | $739565.33     | 0.00%             | 2041-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SAN ANTONIO TX ELEC and GAS REV                                                                             | SAN ANTONIO TEX ELEC and GAS BUILD AMERICA BONDS                                                                                 | CUSIP: 796253Y30<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      230000 | PA      | $240998.39     | 0.00%             | 2041-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS and ELECTRIC CO                                                                               | SAN DIEGO GAS and ELECTRIC CO 4.5% 08/15/2040                                                                                    | CUSIP: 797440BM5<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |        7000 | PA      | $6458.33       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                                                                             | SEALED AIR CORP 6.875% 07/15/2033 144A                                                                                           | CUSIP: 81211KAK6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |       60000 | PA      | $63168.00      | 0.00%             | 2033-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MTG TR                                                                                              | SEMT 2004-6 A3B TSFR6M+130.826 7/34                                                                                              | CUSIP: 81744FCU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         493 | PA      | $461.36        | 0.00%             | 2034-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MTG TR                                                                                              | SEMT 04-8 A2 TSFR6M+116.826 9/34                                                                                                 | CUSIP: 81744FDK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        2971 | PA      | $2747.39       | 0.00%             | 2034-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FINANCE BV                                                                              | SHELL INTL FIN B V 3.625% 08/21/2042                                                                                             | CUSIP: 822582AT9<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      343000 | PA      | $280294.52     | 0.00%             | 2042-08-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME LN TR 2007 OPT1                                                                              | SVHE 07-OPT1 2A1 TSFR1M+19.448 6/37                                                                                              | CUSIP: 83612TAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       19281 | PA      | $12759.71      | 0.00%             | 2037-06-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY SOUTH CAROLINA INC                                                                          | DOMINION ENERGY SOUTH CAROLINA INC 5.45% 02/01/2041                                                                              | CUSIP: 837004CE8<br>LEI: 3QRVFYR22IUIEOORTK28 | Long             | DBT              | CORP              | US        |      285000 | PA      | $289879.44     | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 5.55% 01/15/2037                                                                                   | CUSIP: 842400FF5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      430000 | PA      | $434362.18     | 0.00%             | 2037-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 3.9% 12/01/2041                                                                                    | CUSIP: 842400FT5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      595000 | PA      | $467100.04     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 4.65% 10/01/2043                                                                                   | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      550000 | PA      | $475829.78     | 0.00%             | 2043-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 3.6% 02/01/2045                                                                                    | CUSIP: 842400GE7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     2937000 | PA      | $2152221.00    | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP DEL                                                                                    | SOUTHERN COPPER CORP DEL 5.875% 04/23/2045                                                                                       | CUSIP: 84265VAJ4<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |      455000 | PA      | $469200.55     | 0.00%             | 2045-04-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                                                                           | SOUTHERN POWER CO 5.15% 09/15/2041                                                                                               | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |      150000 | PA      | $145907.76     | 0.00%             | 2041-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER CO                                                                                  | SOUTHWESTERN ELEC POWER CO 3.9% 04/01/2045                                                                                       | CUSIP: 845437BN1<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |       36000 | PA      | $28430.30      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN PUBLIC SERVICE CO                                                                              | SOUTHWESTERN PUBLIC SERVICE CO 4.5% 08/15/2041                                                                                   | CUSIP: 845743BN2<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |       35000 | PA      | $31662.63      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLS INC SAVE PASS THRU CTFS SER 2015-1A                                                            | SPIRIT AIRLS INC SAVE PASS THRU CTFS SER 2015-1A 4.1% 10/01/2029                                                                 | CUSIP: 84858DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      490805 | PA      | $469851.90     | 0.00%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                                                         | SPRINT CAPITAL CORP 6.875% 11/15/2028                                                                                            | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |      304000 | PA      | $327427.81     | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STATE STR INVT TR                                                                                           | State Street Instl US Govt MMkt Premier                                                                                          | CUSIP: 857492706<br>LEI: 549300CCOK7OZZUAS108 | Long             | EC               | RF                | US        |   359753417 | NS      | $359753417.14  | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| EQUINOR ASA                                                                                                 | EQUINOR ASA 3.95% 05/15/2043                                                                                                     | CUSIP: 85771PAL6<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |      300000 | PA      | $257386.07     | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN TR                                                                               | SARM 04-14 1A CSTR 10/34                                                                                                         | CUSIP: 863579CB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         453 | PA      | $445.31        | 0.00%             | 2034-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECS CORP                                                                                  | SASC 2003-37A 2A CSTR 12/33                                                                                                      | CUSIP: 86359BBS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         786 | PA      | $750.91        | 0.00%             | 2033-12-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 5.35% 05/15/2045                                                                                              | CUSIP: 86765BAQ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     3295000 | PA      | $3027484.95    | 0.01%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TCW FDS INC                                                                                                 | TCW Emerging Markets Income N                                                                                                    | CUSIP: 87234N351<br>LEI: 549300RGHXB227I79431 | Long             | EC               | RF                | US        |    36043181 | NS      | $323307330.44  | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| TELECOM ITALIA CAP                                                                                          | TELECOM ITALIA CAP 7.721% 06/04/2038                                                                                             | CUSIP: 87927VAV0<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |      164000 | PA      | $181522.91     | 0.00%             | 2038-06-04      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                                                  | TENNESSEE VALLEY AUTHORITY 7.125% 05/01/2030                                                                                     | CUSIP: 880591DM1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |      390000 | PA      | $444781.73     | 0.00%             | 2030-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                                                  | TENNESSEE VALLEY AUTHORITY 5.25% 09/15/2039                                                                                      | CUSIP: 880591EH1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |      150000 | PA      | $161462.40     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST                                                                                       | TMTS 2003-4HE A TSFR1M+97.448 9/34                                                                                               | CUSIP: 881561BU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        2963 | PA      | $3171.13       | 0.00%             | 2034-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TEXAS STATE                                                                                                 | TEXAS ST BUILD AMERICA BONDS TAXABLE                                                                                             | CUSIP: 882722KF7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      318685 | PA      | $333952.65     | 0.00%             | 2039-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THORNBURG MTG SECS TR                                                                                       | TMST 2003-4 A1 TSFR1M+75.448 9/43                                                                                                | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      721342 | PA      | $700632.78     | 0.00%             | 2043-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                                                       | TIME WARNER CABLE LLC 6.55% 05/01/2037                                                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     8522000 | PA      | $8711794.74    | 0.02%             | 2037-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                                                       | TIME WARNER CABLE LLC 7.3% 07/01/2038                                                                                            | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     6393000 | PA      | $6805639.45    | 0.02%             | 2038-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                                                       | TIME WARNER CABLE LLC 5.875% 11/15/2040                                                                                          | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      930000 | PA      | $863931.71     | 0.00%             | 2040-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                                                       | TIME WARNER CABLE LLC 5.5% 09/01/2041                                                                                            | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     5200000 | PA      | $4608877.57    | 0.01%             | 2041-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANSALTA CORP                                                                                              | TRANSALTA CORP 6.5% 03/15/2040                                                                                                   | CUSIP: 89346DAE7<br>LEI: 984500EE2ADD850F1C96 | Long             | DBT              | CORP              | CA        |      160000 | PA      | $160915.76     | 0.00%             | 2040-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES LTD                                                                                   | TRANSCANADA PIPELINES LTD 4.625% 03/01/2034                                                                                      | CUSIP: 89352HAM1<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |      735000 | PA      | $721486.69     | 0.00%             | 2034-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLS 2014-2 PASS THRU TR                                                                            | UNITED AIRLS 2014-2 PASS THRU TR 3.75% 03/03/2028                                                                                | CUSIP: 90932QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      141165 | PA      | $140438.83     | 0.00%             | 2028-03-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                                                | MEXICO UNITED MEXICAN STATES 6.05% 01/11/2040                                                                                    | CUSIP: 91086QAV0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1600000 | PA      | $1602400.00    | 0.00%             | 2040-01-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                                                | MEXICO UNITED MEXICAN STATES 4.75% 03/08/2044                                                                                    | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      206000 | PA      | $171392.00     | 0.00%             | 2044-03-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| US DEPT VETS AFF GTD REMI PASS                                                                              | VENDE 1996-2 1Z 6.75 6/26                                                                                                        | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |         396 | PA      | $397.57        | 0.00%             | 2026-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| US DEPT VETS AFF GTD REMI PASS                                                                              | US DEPT VETS AFF GTD REMI PASS 7% 03/15/2028                                                                                     | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        3277 | PA      | $3329.42       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 6.25% 05/15/2030                                                                                     | CUSIP: 912810FM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2860000 | PA      | $3172253.91    | 0.01%             | 2030-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.5% 08/15/2039                                                                                      | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4348000 | PA      | $4424090.00    | 0.01%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.375% 11/15/2039                                                                                    | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3840000 | PA      | $3846450.01    | 0.01%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.375% 05/15/2041                                                                                    | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3420100 | PA      | $3389639.73    | 0.01%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3.75% 08/15/2041                                                                                     | CUSIP: 912810QS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      353000 | PA      | $323905.08     | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3.125% 11/15/2041                                                                                    | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4804100 | PA      | $4047641.90    | 0.01%             | 2041-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3% 05/15/2042                                                                                        | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      990000 | PA      | $812534.77     | 0.00%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3.625% 08/15/2043                                                                                    | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    34838200 | PA      | $30703885.31   | 0.07%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3.75% 11/15/2043                                                                                     | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3648600 | PA      | $3264784.39    | 0.01%             | 2043-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3.375% 05/15/2044                                                                                    | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3476000 | PA      | $2931788.75    | 0.01%             | 2044-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3.125% 08/15/2044                                                                                    | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3222000 | PA      | $2608183.84    | 0.01%             | 2044-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3% 11/15/2044                                                                                        | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    53190000 | PA      | $42076198.96   | 0.10%             | 2044-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 2.5% 02/15/2045                                                                                      | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12494500 | PA      | $9055584.04    | 0.02%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 5/15/31                                                                                                                  | CUSIP: 9128337P9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9460000 | PA      | $7714448.84    | 0.02%             | 2031-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 0% 11/15/2033                                                                                                            | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2471933 | PA      | $1798873.53    | 0.00%             | 2033-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 5/15/39                                                                                                                  | CUSIP: 912834DV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    35395000 | PA      | $19214388.12   | 0.04%             | 2039-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 8/15/39                                                                                                                  | CUSIP: 912834EP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8745000 | PA      | $4681622.46    | 0.01%             | 2039-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 5/15/40                                                                                                                  | CUSIP: 912834HV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4427000 | PA      | $2266134.82    | 0.01%             | 2040-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 8/15/40                                                                                                                  | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    28492494 | PA      | $14360451.18   | 0.03%             | 2040-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 5/15/41                                                                                                                  | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    41450000 | PA      | $20051015.12   | 0.05%             | 2041-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 08/15/2041                                                                                                               | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5739205 | PA      | $2737478.60    | 0.01%             | 2041-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 11/15/41                                                                                                                 | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    19370000 | PA      | $9090709.03    | 0.02%             | 2041-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 2/15/42                                                                                                                  | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9703646 | PA      | $4497697.66    | 0.01%             | 2042-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 5/15/42                                                                                                                  | CUSIP: 912834LK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      557284 | PA      | $254518.48     | 0.00%             | 2042-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 8/15/42                                                                                                                  | CUSIP: 912834LR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    29505000 | PA      | $13272803.30   | 0.03%             | 2042-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 0.0% 11/15/42                                                                                                            | CUSIP: 912834LX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      229800 | PA      | $101900.67     | 0.00%             | 2042-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 0.0% 05/15/2043                                                                                                          | CUSIP: 912834MM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5430000 | PA      | $2340159.55    | 0.01%             | 2043-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 0% 11/15/2043                                                                                                            | CUSIP: 912834MZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1570738 | PA      | $657754.45     | 0.00%             | 2043-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 0.0% 05/15/2044                                                                                                          | CUSIP: 912834NP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14845000 | PA      | $6038209.09    | 0.01%             | 2044-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 0.0% 02/15/45                                                                                                            | CUSIP: 912834PH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    36190000 | PA      | $14166689.86   | 0.03%             | 2045-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                                                    | RTX CORP 4.5% 06/01/2042                                                                                                         | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      138000 | PA      | $125923.49     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 5.8% 03/15/2036                                                                                           | CUSIP: 91324PAR3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      820000 | PA      | $882320.02     | 0.00%             | 2036-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 4.625% 11/15/2041                                                                                         | CUSIP: 91324PBU5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      110000 | PA      | $101962.62     | 0.00%             | 2041-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 3.95% 10/15/2042                                                                                          | CUSIP: 91324PCA8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       17000 | PA      | $14341.15      | 0.00%             | 2042-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY CA REVS                                                                                          | UNIV CAL REV 4.767% 5/15/2115                                                                                                    | CUSIP: 91412GC86<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1565000 | PA      | $1305263.68    | 0.00%             | 2115-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY CA REVS                                                                                          | UNIV OF CALIFORNIA CA REVENUESTXBL-GEN-SER AD                                                                                    | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      499000 | PA      | $424155.99     | 0.00%             | 2112-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY CA REVS                                                                                          | UNIV CAL REV 4.131% 5/15/2045                                                                                                    | CUSIP: 91412GXY6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1750000 | PA      | $1625172.50    | 0.00%             | 2045-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                                                  | UNUM GROUP 5.75% 08/15/2042                                                                                                      | CUSIP: 91529YAJ5<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     2123000 | PA      | $2128932.26    | 0.00%             | 2042-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                                                  | VERIZON COMMUNICATIONS INC 4.4% 11/01/2034                                                                                       | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |        9000 | PA      | $8741.50       | 0.00%             | 2034-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                                            | PARAMOUNT GLOBAL 5.85% 09/01/2043                                                                                                | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      189000 | PA      | $170007.12     | 0.00%             | 2043-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                                            | PARAMOUNT GLOBAL 5.25% 04/01/2044                                                                                                | CUSIP: 92553PAW2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       54000 | PA      | $43724.51      | 0.00%             | 2044-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                                              | VIRGINIA ELECTRIC AND POWER CO 6% 01/15/2036                                                                                     | CUSIP: 927804FA7<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      470000 | PA      | $508729.61     | 0.00%             | 2036-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                                              | VIRGINIA ELECTRIC AND POWER CO 6% 05/15/2037                                                                                     | CUSIP: 927804FB5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      930000 | PA      | $1007998.11    | 0.00%             | 2037-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| Voya Funds/USA                                                                                              | Voya Intermediate Bond I                                                                                                         | CUSIP: 92913L684<br>LEI: N/A                  | Long             | EC               | RF                | US        |   164858364 | NS      | $1468888026.17 | 3.32%             |  |  |  | No            |                  1 | On Loan: No      |
| WAMU MTG PASS THROUGH CTFS                                                                                  | WAMU 2003-AR8 A CSTR 8/25/33                                                                                                     | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1317 | PA      | $1258.32       | 0.00%             | 2033-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WAMU MTG PASS THROUGH CTFS                                                                                  | WAMU 2003-AR9 1A6 CSTR 9/33                                                                                                      | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         984 | PA      | $942.61        | 0.00%             | 2033-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WAMU MTG PASS THROUGH CTFS                                                                                  | WAMU 2005-AR2 2A21 TSFR1M+77.448 1/45                                                                                            | CUSIP: 92922FD47<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         313 | PA      | $309.38        | 0.00%             | 2045-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WAMU MTG PASS THROUGH CTFS                                                                                  | WAMU 2004-AR3 A1 CSTR 6/34                                                                                                       | CUSIP: 92922FNH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         369 | PA      | $344.84        | 0.00%             | 2034-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WAMU MTG PASS THROUGH CTFS                                                                                  | WAMU 2004-AR3 A2 CSTR 6/34                                                                                                       | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        3412 | PA      | $3148.67       | 0.00%             | 2034-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WAMU MTG PASS THROUGH CTFS                                                                                  | WAMU 2004-S2 2A4 5.5 6/34                                                                                                        | CUSIP: 92922FQK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        2779 | PA      | $2716.31       | 0.00%             | 2034-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET BACKED CTFS WAMU SER 2007 HE2 TR                                                                 | WMHE 2007-HE2 2A3 TSFR1M+25 4/37                                                                                                 | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2586728 | PA      | $889975.54     | 0.00%             | 2037-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET BACKED CTFS WAMU SER 2007 HE2 TR                                                                 | WMHE 2007-HE2 2A4 TSFR1M+36 4/37                                                                                                 | CUSIP: 92926SAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1183610 | PA      | $402025.77     | 0.00%             | 2037-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2013-C11                                                                                  | WFRBS 2013-C11 D CSTR 3/45                                                                                                       | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      194255 | PA      | $170374.67     | 0.00%             | 2045-03-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CTFS WAMU SER 2007-HE1 TR                                                                 | WMHE 2007-HE1 2A3 TSFR1M+26.448 1/37                                                                                             | CUSIP: 933631AD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1534727 | PA      | $700856.94     | 0.00%             | 2037-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WAMU MTG PASS THRU CTFS SER 2007 HY3 TR                                                                     | WAMU 07-HY3 4A1 CSTR 2/12                                                                                                        | CUSIP: 933634AJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1098 | PA      | $1011.42       | 0.00%             | 2037-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WAMU MTG PASS THROUGH CTF SER 2007 HY4                                                                      | WAMU 07-HY4 1A1 CSTR 4/25/37                                                                                                     | CUSIP: 933636AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      978184 | PA      | $894649.30     | 0.00%             | 2037-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WAMU MTG PASS THROUGH CTFS SER 2007 0A5 TR                                                                  | WAMU 2007-OA5 1A 12MTA+75 6/47                                                                                                   | CUSIP: 93364BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      234995 | PA      | $189206.76     | 0.00%             | 2047-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUT MTG SECS CORP                                                                                | WMALT 2005-4 CB7 5.5 6/35                                                                                                        | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        5790 | PA      | $5412.26       | 0.00%             | 2035-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                                                         | ELEVANCE HEALTH INC 4.625% 05/15/2042                                                                                            | CUSIP: 94973VAY3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     1770000 | PA      | $1603762.89    | 0.00%             | 2042-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 4.65% 11/04/2044                                                                                          | CUSIP: 94974BGE4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1335000 | PA      | $1190190.47    | 0.00%             | 2044-11-04      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 4.3% 07/22/2027                                                                                           | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    21880000 | PA      | $21972834.87   | 0.05%             | 2027-07-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTG BK SEC 04 U TR                                                                              | WFMBS 04-U A1 CSTR 10/34                                                                                                         | CUSIP: 949803AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1424 | PA      | $1401.82       | 0.00%             | 2034-10-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                                            | WILLIAMS COS INC 5.1% 09/15/2045                                                                                                 | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      105000 | PA      | $97648.28      | 0.00%             | 2045-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                                            | WILLIAMS COS INC 6.3% 04/15/2040                                                                                                 | CUSIP: 96950FAF1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     3550000 | PA      | $3875100.73    | 0.01%             | 2040-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                                            | WILLIAMS COS INC 5.8% 11/15/2043                                                                                                 | CUSIP: 96950FAK0<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      400000 | PA      | $404645.33     | 0.00%             | 2043-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                                            | WILLIAMS COS INC 4.9% 01/15/2045                                                                                                 | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     1460000 | PA      | $1330213.83    | 0.00%             | 2045-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WISCONSIN PUBLIC SERVICE CORP                                                                               | WISCONSIN PUBLIC SERVICE CORP 4.752% 11/01/2044                                                                                  | CUSIP: 976843BJ0<br>LEI: 549300BJRHJVYNUMQZ30 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27473.16      | 0.00%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| YORKSHIRE POWER FIN LTD                                                                                     | YORKSHIRE POWER FIN LTD 7.25% 08/04/2028                                                                                         | CUSIP: N/A<br>LEI: 213800USJR8TNU5T6T16       | Long             | DBT              | CORP              | KY        |     4419000 | PA      | $6212177.95    | 0.01%             | 2028-08-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                                                                                  | AUSTRALIA COMMONWEALTH OF 2.75% 06/21/2035 REGS                                                                                  | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    22200000 | PA      | $12574591.37   | 0.03%             | 2035-06-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 12/45#G08681                                                                                                      | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      422058 | PA      | $398571.52     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 06/01/2041#AI4778                                                                                                 | CUSIP: 3138AJJY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98302 | PA      | $100746.08     | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 03/01/2044#AW0779                                                                                                 | CUSIP: 3138XP2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      141247 | PA      | $144709.60     | 0.00%             | 2044-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 03/01/2044#MA1885                                                                                                 | CUSIP: 31418BCX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101664 | PA      | $104156.68     | 0.00%             | 2044-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 05/01/2040#AD4085                                                                                                 | CUSIP: 31418RRF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22150 | PA      | $22684.92      | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 07/01/2040#AD9114                                                                                                 | CUSIP: 31418XDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22048 | PA      | $22576.83      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 05/01/2039#AL0524                                                                                                 | CUSIP: 3138EGSN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47207 | PA      | $48195.91      | 0.00%             | 2039-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 11/01/2045#AZ9524                                                                                                 | CUSIP: 3140E2SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24454 | PA      | $23047.49      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 07/01/2039#AA9716                                                                                                 | CUSIP: 31416TYN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9024 | PA      | $9237.74       | 0.00%             | 2039-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.0% 03/01/2044#MA1852                                                                                                 | CUSIP: 31418BBW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74952 | PA      | $76789.75      | 0.00%             | 2044-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMEREN ILL CO                                                                                               | AMEREN ILL CO 4.15% 03/15/2046                                                                                                   | CUSIP: 02361DAQ3<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |     1135000 | PA      | $958043.24     | 0.00%             | 2046-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 11/01/2045#G08677                                                                                                 | CUSIP: 3128MJXF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      225239 | PA      | $220136.74     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.0% 08/39#A87886                                                                                                      | CUSIP: 312934XP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      253744 | PA      | $260005.10     | 0.00%             | 2039-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GNR 2011-94 SA TSFR1M+598.552 07/41                                                                                              | CUSIP: 38377WN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       53643 | PA      | $5634.14       | 0.00%             | 2041-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.0% 10/01/2042#C04268                                                                                                 | CUSIP: 31292LW50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48343 | PA      | $44856.98      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.0% 04/01/2043#Q16915                                                                                                 | CUSIP: 3132J8DV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30561 | PA      | $28469.09      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                                                       | REYNOLDS AMERICAN INC 8.125% 05/01/2040                                                                                          | CUSIP: 761713BV7<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |       24000 | PA      | $28920.32      | 0.00%             | 2040-05-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 12/01/2045#G08682                                                                                                   | CUSIP: 3128MJXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      244342 | PA      | $238408.77     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 01/01/2046#G08687                                                                                                 | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      315834 | PA      | $298258.69     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2045#AS6350                                                                                                   | CUSIP: 3138WGBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      225669 | PA      | $220288.32     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.0% 04/01/2043#G07345                                                                                                 | CUSIP: 3128M9P63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1699555 | PA      | $1671654.71    | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KOREA DEVELOPMENT BANK                                                                                      | KOREA DEVELOPMENT BANK 3% 01/13/2026                                                                                             | CUSIP: 500630CJ5<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | CORP              | KR        |    13000000 | PA      | $12984813.66   | 0.03%             | 2026-01-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                                                         | INTESA SANPAOLO SPA 5.71% 01/15/2026 144A                                                                                        | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    10048000 | PA      | $10060054.49   | 0.02%             | 2026-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 01/46#AS6520                                                                                                      | CUSIP: 3138WGG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      268873 | PA      | $253616.62     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.264% 08/01/2041#AL6552                                                                                               | CUSIP: 3138EPH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      132634 | PA      | $134637.77     | 0.00%             | 2041-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.0% 01/46#MA3377                                                                                                        | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      120002 | PA      | $116537.98     | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                                                 | Fidelity Sai Us Treasury Bond Index Fund                                                                                         | CUSIP: 31635V786<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |    12758675 | NS      | $114700489.89  | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 10/01/2045#AL7413                                                                                                 | CUSIP: 3138EQGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1195685 | PA      | $1167973.96    | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.0% 09/40#AE4589                                                                                                      | CUSIP: 31419FC38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98107 | PA      | $96668.87      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                                                        | ROYAL BANK OF CANADA 4.65% 01/27/2026                                                                                            | CUSIP: 780082AD5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      127000 | PA      | $127056.90     | 0.00%             | 2026-01-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.5% 01/31#BA4750                                                                                                      | CUSIP: 3140E9H41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      238894 | PA      | $236744.03     | 0.00%             | 2031-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/45#AZ9583                                                                                                        | CUSIP: 3140E2UH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74096 | PA      | $72213.90      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 06/45#AZ3341                                                                                                        | CUSIP: 3138YUWB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97535 | PA      | $95301.75      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 01/01/2042#AJ6217                                                                                                   | CUSIP: 3138AX4B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48652 | PA      | $47840.04      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 04/01/2042#AB5049                                                                                                   | CUSIP: 31417BTF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24105 | PA      | $23677.34      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 10/01/2045#Q37045                                                                                                   | CUSIP: 3132QTZK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       73988 | PA      | $72549.22      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2044#AX8459                                                                                                   | CUSIP: 3138YAMH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      515396 | PA      | $503836.40     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 07/01/2045#AZ9666                                                                                                   | CUSIP: 3140E2W49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28476 | PA      | $27791.12      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 10/45#AY3962                                                                                                        | CUSIP: 3138YHML1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53211 | PA      | $51854.97      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2045#BC0532                                                                                                   | CUSIP: 3140EUSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26108 | PA      | $25444.88      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 01/01/2046#BC1552                                                                                                   | CUSIP: 3140EVWN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40394 | PA      | $39367.31      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC MORTGAGE-BACKED TRUST SERIES 2006-4                                                                    | CSMC MORTGAGE-BACKED TRUST SERIES 2006-4 7% 05/25/2036                                                                           | CUSIP: 12637HAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      345738 | PA      | $86562.21      | 0.00%             | 2036-05-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CWMBS MTG PASS THRU TR 2007-J1                                                                              | CWMBS MTG PASS THRU TR 2007-J1 2A1 6% 02/25/2037                                                                                 | CUSIP: 12669MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      279080 | PA      | $97348.18      | 0.00%             | 2037-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CWHL TR 2007-11                                                                                             | CWHL TR 2007-11 6% 8/37                                                                                                          | CUSIP: 12544LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1420016 | PA      | $574117.51     | 0.00%             | 2037-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALTERNATIVE LOAN TRUST 2006-7                                                               | BOAA 2006-7 A4 VAR 10/25/2036                                                                                                    | CUSIP: 059469AD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       66286 | PA      | $17825.09      | 0.00%             | 2036-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                                                   | APPLE INC 3.25% 02/23/2026                                                                                                       | CUSIP: 037833BY5<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      330000 | PA      | $329474.32     | 0.00%             | 2026-02-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 08/01/2042#AB6017                                                                                                 | CUSIP: 31417CVK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      498985 | PA      | $475588.44     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                                           | GENERAL MOTORS CO 6.6% 04/01/2036                                                                                                | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      775000 | PA      | $848201.21     | 0.00%             | 2036-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                                           | GENERAL MOTORS CO 6.75% 04/01/2046                                                                                               | CUSIP: 37045VAL4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      465000 | PA      | $504293.68     | 0.00%             | 2046-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 09/20/2040#004799                                                                                                   | CUSIP: 36202FKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      249862 | PA      | $238914.29     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2.5% 07/01/2030#V60869                                                                                                 | CUSIP: 3132KE6E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      154809 | PA      | $151299.87     | 0.00%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 04/42#AK5551                                                                                                        | CUSIP: 3138EAEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      256207 | PA      | $251573.70     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                                             | PHILIP MORRIS INTL INC 2.75% 02/25/2026                                                                                          | CUSIP: 718172BT5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     3925000 | PA      | $3912560.46    | 0.01%             | 2026-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMM 2016-787S MTG TR                                                                                       | COMM 2016-787S A CSTR 02/10/2036 144A                                                                                            | CUSIP: 12635WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4035000 | PA      | $4004175.02    | 0.01%             | 2036-02-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 07/01/2042#Q09230                                                                                                   | CUSIP: 3132GUST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      314136 | PA      | $308563.24     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 03/01/2046#G60440                                                                                                 | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4455989 | PA      | $4221198.22    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 4.6% 03/09/2026                                                                                                    | CUSIP: 172967KJ9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     3500000 | PA      | $3503844.58    | 0.01%             | 2026-03-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 02/46#BC1354                                                                                                      | CUSIP: 3140EVQG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      165301 | PA      | $156179.34     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 12/01/2045#BC3688                                                                                                 | CUSIP: 3140EYC25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      103875 | PA      | $98142.67      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 12/01/2034#745318                                                                                                   | CUSIP: 31403DAT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      411785 | PA      | $412614.84     | 0.00%             | 2034-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BATH and BODY WORKS INC                                                                                     | BATH and BODY WORKS INC 6.875% 11/01/2035                                                                                        | CUSIP: 501797AL8<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |      297000 | PA      | $297292.55     | 0.00%             | 2035-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 08/01/2045#AS5645                                                                                                 | CUSIP: 3138WFHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      215210 | PA      | $203017.14     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                                                          | PANAMA REPUBLIC OF 3.875% 03/17/2028                                                                                             | CUSIP: 698299BF0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     1220000 | PA      | $1194380.00    | 0.00%             | 2028-03-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 12/01/2045#AS6328                                                                                                 | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      121667 | PA      | $114763.52     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                                                           | NEWELL BRANDS INC STEP 04/01/2036                                                                                                | CUSIP: 651229AX4<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      271000 | PA      | $251573.31     | 0.00%             | 2036-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 05/01/2036#745512                                                                                                   | CUSIP: 31403DGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2476081 | PA      | $2602220.97    | 0.01%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 12/01/2040#AE0698                                                                                                 | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      105968 | PA      | $106714.53     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 11/20/2042#MA0535                                                                                                     | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13736 | PA      | $13417.93      | 0.00%             | 2042-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 10/01/2043#AL7855                                                                                                   | CUSIP: 3138EQWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      347535 | PA      | $321302.36     | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 09/01/2043#G60065                                                                                                   | CUSIP: 31335ACA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       96590 | PA      | $95332.14      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 10/01/2039#AC3237                                                                                                   | CUSIP: 31417MS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6570 | PA      | $6724.71       | 0.00%             | 2039-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 11/42#G60488                                                                                                        | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1646293 | PA      | $1622377.53    | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 02/01/2046#Q39899                                                                                                   | CUSIP: 3132QW7M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18629 | PA      | $18176.55      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 09/01/2044#AW8329                                                                                                 | CUSIP: 3138XYHF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7768 | PA      | $7809.14       | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 10/01/2045#AZ4775                                                                                                 | CUSIP: 3138YWJV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1017618 | PA      | $959868.06     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 04/01/2046#Q40046                                                                                                 | CUSIP: 3132WDBQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1492416 | PA      | $1411698.94    | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 03/46#MA3521                                                                                                        | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      873479 | PA      | $822034.42     | 0.00%             | 2046-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 01/42#G60517                                                                                                      | CUSIP: 31335ASE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      438223 | PA      | $441851.46     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 04/20/2046#MA3596                                                                                                     | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      338218 | PA      | $309837.10     | 0.00%             | 2046-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 03/01/2046#BC0289                                                                                                 | CUSIP: 3140EUKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10702 | PA      | $10728.11      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 07/01/2042#AO9129                                                                                                   | CUSIP: 3138M1EB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101457 | PA      | $99567.77      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 04/20/2046#MA3597                                                                                                   | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      482709 | PA      | $454278.94     | 0.00%             | 2046-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 10/01/2039#AS3482                                                                                                   | CUSIP: 3138WC2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      350762 | PA      | $345786.22     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 03/01/2039#AS2011                                                                                                   | CUSIP: 3138WBGV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      869829 | PA      | $858341.06     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 06/01/2039#AS2599                                                                                                   | CUSIP: 3138WB3H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      520619 | PA      | $513399.91     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 06/01/2039#AW0113                                                                                                   | CUSIP: 3138XPDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      431936 | PA      | $426177.32     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 03/01/2039#AV6581                                                                                                   | CUSIP: 3138XJJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      329790 | PA      | $325349.25     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 09/01/2038#AU4761                                                                                                   | CUSIP: 3138X4JF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      317694 | PA      | $314020.28     | 0.00%             | 2038-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2038#AV1874                                                                                                   | CUSIP: 3138XDCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      461872 | PA      | $455444.73     | 0.00%             | 2038-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 05/01/2039#AV6645                                                                                                   | CUSIP: 3138XJL39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      215949 | PA      | $212824.08     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 08/01/2039#AW4267                                                                                                   | CUSIP: 3138XTW50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      109765 | PA      | $108144.99     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2039#AX5330                                                                                                   | CUSIP: 3138Y64Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      232710 | PA      | $229190.62     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 03/01/2039#AW1156                                                                                                   | CUSIP: 3138XQJA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      105000 | PA      | $103590.68     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 10/01/2039#AW8233                                                                                                   | CUSIP: 3138XYEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       81322 | PA      | $80105.89      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 07/01/2039#AW9574                                                                                                   | CUSIP: 3138XZT84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55336 | PA      | $54722.54      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 02/01/2035#AB0067                                                                                                   | CUSIP: 31416VCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      567494 | PA      | $578153.54     | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 03/01/2033#AB0066                                                                                                   | CUSIP: 31416VCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      180763 | PA      | $183797.97     | 0.00%             | 2033-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 07/01/2033#721575                                                                                                   | CUSIP: 31401XT80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36764 | PA      | $37403.39      | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 07/01/2033#709252                                                                                                   | CUSIP: 31401H5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18323 | PA      | $18637.94      | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 07/01/2033#709470                                                                                                   | CUSIP: 31401JFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20910 | PA      | $21260.42      | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 05/01/2044#AS9099                                                                                                   | CUSIP: 3138WKDD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61281 | PA      | $62620.36      | 0.00%             | 2044-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.745% 01/25/2026                                                                                 | CUSIP: 3137BNGT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2710511 | PA      | $2700529.88    | 0.01%             | 2026-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE CO                                                                                   | ARIZONA PUBLIC SERVICE CO 3.75% 05/15/2046                                                                                       | CUSIP: 040555CU6<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |      825000 | PA      | $639706.08     | 0.00%             | 2046-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 05/01/2046#G60553                                                                                                 | CUSIP: 31335ATJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5191194 | PA      | $4920163.28    | 0.01%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 05/46#MA3664                                                                                                          | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       71146 | PA      | $69192.59      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC 5.2% 05/12/2026                                                                                                     | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1701000 | PA      | $1707624.53    | 0.00%             | 2026-05-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 08/15/2041#768109                                                                                                   | CUSIP: 36176KDN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10705 | PA      | $10455.12      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 10/15/2041#775540                                                                                                   | CUSIP: 36176TLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33193 | PA      | $32311.09      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 12/15/2041#792596                                                                                                   | CUSIP: 36177L3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5363 | PA      | $5228.75       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 04/15/2042#792254                                                                                                   | CUSIP: 36177LQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31007 | PA      | $30191.80      | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 01/15/2042#794559                                                                                                   | CUSIP: 36177PB53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13630 | PA      | $13279.65      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 03/15/2042#796180                                                                                                   | CUSIP: 36177Q2N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25338 | PA      | $24658.05      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 05/15/2042#AA1859                                                                                                   | CUSIP: 36177YB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3614 | PA      | $3584.08       | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 12/15/2042#AB8144                                                                                                   | CUSIP: 36178VBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13823 | PA      | $13465.16      | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 11/15/2042#AB9201                                                                                                   | CUSIP: 36178WGJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16608 | PA      | $16162.05      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 01/15/2043#AC9441                                                                                                   | CUSIP: 36179KP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       47377 | PA      | $46092.37      | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 08/15/2043#AD5682                                                                                                   | CUSIP: 36180HJ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14903 | PA      | $14458.96      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 04/15/2043#AD7475                                                                                                   | CUSIP: 36180KJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9803 | PA      | $9555.07       | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 03/15/2042#733816                                                                                                   | CUSIP: 3620AMGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      127376 | PA      | $124062.42     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 03/15/2041#738107                                                                                                   | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15829 | PA      | $15458.27      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 3.5% 06/01/2032#C91456                                                                                                 | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1547797 | PA      | $1531102.65    | 0.00%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY IND INC                                                                                         | DUKE ENERGY IND INC 3.75% 05/15/2046                                                                                             | CUSIP: 26443TAA4<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |      450000 | PA      | $355297.46     | 0.00%             | 2046-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-C34                                                                            | WELLS FARGO COML MTG TR 2016-C34 3.096% 5/15/49                                                                                  | CUSIP: 95000DBD2<br>LEI: 549300FWFHJGIW2B2U59 | Long             | ABS-MBS          | CORP              | US        |     6124000 | PA      | $6081630.49    | 0.01%             | 2049-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 06/01/2030#AS5103                                                                                                   | CUSIP: 3138WEU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77136 | PA      | $75800.17      | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 2.25% 06/15/2026                                                                                                       | CUSIP: 097023BR5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      810000 | PA      | $800230.96     | 0.00%             | 2026-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ADT SECURITY CORP/THE                                                                                       | ADT SECURITY CORP/THE 4.875% 07/15/2032 144A                                                                                     | CUSIP: 74166NAA2<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |      263000 | PA      | $254933.50     | 0.00%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 3.375% 06/15/2046                                                                                                      | CUSIP: 097023BS3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1375000 | PA      | $983580.26     | 0.00%             | 2046-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C6 COML MTG TR                                                                                   | CSAIL 2016-C6 A5 3.0898% 01/15/2049                                                                                              | CUSIP: 12636MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      880352 | PA      | $877053.52     | 0.00%             | 2049-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 05/46#MA3662                                                                                                          | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      495580 | PA      | $453994.35     | 0.00%             | 2046-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 3.5% 07/01/2032#C91467                                                                                                 | CUSIP: 3128P7TY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2551755 | PA      | $2523966.73    | 0.01%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                                            | SOUTHERN COMPANY 4.25% 07/01/2036                                                                                                | CUSIP: 842587CW5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      171000 | PA      | $161091.09     | 0.00%             | 2036-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ERAC USA FIN LLC                                                                                            | ERAC USA FIN LLC 3.3% 12/01/2026 144A                                                                                            | CUSIP: 26884TAR3<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     8865000 | PA      | $8810554.01    | 0.02%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARGENTUM NETHERLANDS BV                                                                                     | ARGENTUM NETHERLANDS BV 5.625%/VAR 08/15/2052 REGS                                                                               | CUSIP: N/A<br>LEI: 724500RPEZI5VVQQWE89       | Long             | DBT              | CORP              | NL        |      495000 | PA      | $499401.70     | 0.00%             | 2052-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                                            | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 06/15/2026                                                                               | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     2625000 | PA      | $2623189.67    | 0.01%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DAA FINANCE PLC                                                                                             | DAA FINANCE PLC 1.554% 06/07/2028 REGS                                                                                           | CUSIP: N/A<br>LEI: 635400KLDJPEGQCL6H42       | Long             | DBT              | CORP              | IE        |     3200000 | PA      | $3618934.77    | 0.01%             | 2028-06-07      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 02/01/2031#BC2462                                                                                                   | CUSIP: 3140EWWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      263563 | PA      | $258691.83     | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 04/20/46#AS7319                                                                                                     | CUSIP: 36193TDY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       50663 | PA      | $47267.20      | 0.00%             | 2046-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC/MD                                                                               | MARRIOTT INTERNATIONAL INC/MD 3.125% 06/15/2026                                                                                  | CUSIP: 571903AS2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     1390000 | PA      | $1383396.82    | 0.00%             | 2026-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EMERA INC                                                                                                   | EMERA INC 6.75%/VAR 06/15/2076                                                                                                   | CUSIP: 290876AD3<br>LEI: NQZVQT2P5IUF2PGA1Q48 | Long             | DBT              | CORP              | CA        |      193000 | PA      | $194412.18     | 0.00%             | 2076-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNA 2016-M6 A2 2.488% 05/26                                                                                                      | CUSIP: 3136ASVZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      151683 | PA      | $150339.30     | 0.00%             | 2026-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BATH and BODY WORKS INC                                                                                     | BATH and BODY WORKS INC 6.75% 07/01/2036                                                                                         | CUSIP: 501797AM6<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |      200000 | PA      | $197855.74     | 0.00%             | 2036-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 05/20/2046#AT2645                                                                                                   | CUSIP: 36194A5E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20056 | PA      | $18681.29      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 05/20/2046#AS9183                                                                                                   | CUSIP: 36193VFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18633 | PA      | $17383.76      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 06/20/2046#AR3124                                                                                                   | CUSIP: 36192XPH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43398 | PA      | $40489.79      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 05/20/2046#AR3062                                                                                                   | CUSIP: 36192XMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       37660 | PA      | $35135.55      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 05/20/2046#AS9175                                                                                                   | CUSIP: 36193VFQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       73942 | PA      | $68986.25      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 05/20/2046#AS6967                                                                                                   | CUSIP: 36193SW47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       36547 | PA      | $34098.03      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 05/20/2046#AT1323                                                                                                   | CUSIP: 36193YPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       49584 | PA      | $46261.25      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 06/20/2046#AS4297                                                                                                   | CUSIP: 36193NX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      177858 | PA      | $165937.58     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 06/20/2046#AR3125                                                                                                   | CUSIP: 36192XPJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       47328 | PA      | $44155.97      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 06/20/2046#AR9310                                                                                                   | CUSIP: 36193GKX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17135 | PA      | $15986.30      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 05/20/2046#AS4758                                                                                                   | CUSIP: 36193PJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32261 | PA      | $30098.52      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 06/20/2046#AU2287                                                                                                   | CUSIP: 36194PRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25462 | PA      | $23755.56      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 05/20/2046#AS6968                                                                                                   | CUSIP: 36193SW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       74994 | PA      | $69967.89      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 06/20/2046#MA3737                                                                                                     | CUSIP: 36179SEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      195524 | PA      | $190156.09     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 06/46#AS7008                                                                                                        | CUSIP: 36193SYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       48473 | PA      | $45224.67      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 06/46#AS7009                                                                                                        | CUSIP: 36193SYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44885 | PA      | $41876.74      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027                                                                                     | CUSIP: 3136A8PY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       54455 | PA      | $939.84        | 0.00%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 3.5% 02/34#G30703                                                                                                      | CUSIP: 3132J4AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1582025 | PA      | $1562572.23    | 0.00%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW YORK and PRESBYTERIAN HOSP                                                                              | NEW YORK and PRESBYTERIAN HOSP 4.063% 08/01/2056                                                                                 | CUSIP: 649322AD6<br>LEI: 19EOSPKL8HML7MY3UE63 | Long             | DBT              | CORP              | US        |      390000 | PA      | $311169.14     | 0.00%             | 2056-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE CO                                                                                    | MOLSON COORS BEVERAGE CO 4.2% 07/15/2046                                                                                         | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |       92000 | PA      | $75337.02      | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                                                     | WESTERN GAS PARTNERS LP 4.65% 07/01/2026                                                                                         | CUSIP: 958254AF1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     1931000 | PA      | $1933087.35    | 0.00%             | 2026-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                                            | PARAMOUNT GLOBAL 2.9% 01/15/2027                                                                                                 | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     1157000 | PA      | $1137334.90    | 0.00%             | 2027-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 06/01/2031#J34669                                                                                                   | CUSIP: 31307RFJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12013 | PA      | $11776.70      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 06/01/2031#J34598                                                                                                   | CUSIP: 31307RDB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22015 | PA      | $21592.10      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 06/01/2031#J34653                                                                                                   | CUSIP: 31307RE27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       99065 | PA      | $97207.27      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 06/01/2031#J34677                                                                                                   | CUSIP: 31307RFS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8243 | PA      | $8099.62       | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 06/01/2031#J34623                                                                                                   | CUSIP: 31307RD44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9286 | PA      | $9101.69       | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 06/01/2031#J34584                                                                                                   | CUSIP: 31307RCV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13019 | PA      | $12791.96      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 06/01/2031#J34571                                                                                                   | CUSIP: 31307RCG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37746 | PA      | $37038.54      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 04/01/2046#Q39717                                                                                                   | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10938 | PA      | $10026.50      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 04/01/2046#Q40165                                                                                                   | CUSIP: 3132WDFF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13206 | PA      | $12104.80      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 5/46#Q40310                                                                                                         | CUSIP: 3132WDKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31567 | PA      | $28935.17      | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 6/46#V82414                                                                                                         | CUSIP: 3132L7VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      195354 | PA      | $179066.95     | 0.00%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 05/01/2046#V82275                                                                                                   | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      197402 | PA      | $180944.61     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 3.9% 07/15/2026                                                                                               | CUSIP: 86765BAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      955000 | PA      | $953612.40     | 0.00%             | 2026-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                                               | HEALTHCARE REALTY HOLDINGS LP 3.5% 08/01/2026                                                                                    | CUSIP: 42225UAD6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     2311000 | PA      | $2296634.18    | 0.01%             | 2026-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG 2013-51 GI 3% 10/25/2032                                                                                            | CUSIP: 3136AECM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      171292 | PA      | $5690.04       | 0.00%             | 2032-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3% 01/15/2033                                                                                     | CUSIP: 3137AXRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      110115 | PA      | $6926.91       | 0.00%             | 2033-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 08/01/2043#AS9172                                                                                                   | CUSIP: 3138WKFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17815 | PA      | $17444.34      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 08/01/2043#AU1687                                                                                                   | CUSIP: 3138X02V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23229 | PA      | $22750.35      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2042#AQ9061                                                                                                   | CUSIP: 3138MRB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45822 | PA      | $45131.41      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 08/01/2043#AU2854                                                                                                   | CUSIP: 3138X2E42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59497 | PA      | $58309.89      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 3.5% 05/34#C91760                                                                                                      | CUSIP: 3128P75V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      185930 | PA      | $183443.02     | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNR 2013-133 IB 3% 04/32                                                                                                         | CUSIP: 3136AHQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         332 | PA      | $0.41          | 0.00%             | 2032-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034                                                                            | CUSIP: 3137BGB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       86589 | PA      | $2449.37       | 0.00%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREMF 2016-K55 MORTGAGE TRUST                                                                               | FREMF 2016-K55 MORTGAGE TRUST VAR 04/25/2049 144A                                                                                | CUSIP: 30289HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      292553 | PA      | $291353.88     | 0.00%             | 2049-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 03/01/2046#BC3883                                                                                                   | CUSIP: 3140EYJ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      196087 | PA      | $190982.95     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS 2016-ETC MTG TR                                                                                       | BBCMS 2016-ETC E CSTR 08/14/36                                                                                                   | CUSIP: 05491LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4500000 | PA      | $4207860.90    | 0.01%             | 2036-08-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                                                        | TANGER PROPERTIES LP 3.125% 09/01/2026                                                                                           | CUSIP: 875484AJ6<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |     3497000 | PA      | $3466591.00    | 0.01%             | 2026-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 01/01/2040#AC9526                                                                                                 | CUSIP: 31417WSQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      189309 | PA      | $197784.21     | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 2.25% 08/15/2046                                                                                     | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      570000 | PA      | $384750.00     | 0.00%             | 2046-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036                                                                                       | CUSIP: 31397CDM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      177420 | PA      | $182497.09     | 0.00%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 4.5% 02/15/2027                                                                                                          | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      709000 | PA      | $710500.63     | 0.00%             | 2027-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 09/01/2042#AB6212                                                                                                   | CUSIP: 31417C3W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      395770 | PA      | $367598.47     | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 8/31#AS7693                                                                                                         | CUSIP: 3138WHRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      331465 | PA      | $317535.15     | 0.00%             | 2031-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                                                  | FIDELITY NATL INFORMN SVCS INC 4.5% 08/15/2046                                                                                   | CUSIP: 31620MAU0<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |       58000 | PA      | $49265.80      | 0.00%             | 2046-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C2                                                                 | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C2 2.575% 09/10/2049                                                                    | CUSIP: 17291CBQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2336260 | PA      | $2312787.10    | 0.01%             | 2049-08-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-C35                                                                            | WFCM TR 2016-C35 A4 2.931% 07/15/2048                                                                                            | CUSIP: 95000FAT3<br>LEI: 549300MZIB10PDVAE312 | Long             | ABS-MBS          | CORP              | US        |     1500000 | PA      | $1484829.30    | 0.00%             | 2048-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 07/20/2046#MA3802                                                                                                     | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      639885 | PA      | $586190.56     | 0.00%             | 2046-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTERNATIONAL                                                                                   | MGM RESORTS INTERNATIONAL 4.625% 09/01/2026                                                                                      | CUSIP: 552953CD1<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |      630000 | PA      | $629135.64     | 0.00%             | 2026-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034                                                                                   | CUSIP: 3137B9ED3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |          11 | PA      | $0.10          | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2.49935% 09/25/2026                                                                               | CUSIP: 3136AS4R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      151531 | PA      | $150082.03     | 0.00%             | 2026-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FREMF 2016-K56 MORTGAGE TRUST                                                                               | FREMF 2016-K56 B MORTGAGE TRUST VAR 06/25/2049 144A                                                                              | CUSIP: 30289UAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      103827 | PA      | $103146.69     | 0.00%             | 2049-06-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SHOPS AT CRYSTALS TRUST 2016-CSTL                                                                           | SHOPS 2016-CSTL C CSTR 07/05/36 144A                                                                                             | CUSIP: 82510WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1681000 | PA      | $1667259.34    | 0.00%             | 2036-07-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 3.5% 08/01/2034#C91782                                                                                                 | CUSIP: 3128P76T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      121958 | PA      | $120274.07     | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 3.5% 05/01/2034#C91764                                                                                                 | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       71804 | PA      | $70833.07      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 07/20/2046#MA3803                                                                                                   | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1395948 | PA      | $1313731.61    | 0.00%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                                                   | ONEOK INC 4.25% 09/15/2046                                                                                                       | CUSIP: 682680BX0<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      190000 | PA      | $151512.19     | 0.00%             | 2046-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 04/46#BC3920                                                                                                        | CUSIP: 3140EYLA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87423 | PA      | $85147.42      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                                              | HOME DEPOT INC 3.5% 09/15/2056                                                                                                   | CUSIP: 437076BP6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      152000 | PA      | $108494.28     | 0.00%             | 2056-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I                                                                                    | MORGAN STANLEY CAPITAL I 2.782% 08/15/2049                                                                                       | CUSIP: 61767FBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13840000 | PA      | $13680381.90   | 0.03%             | 2049-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 02/46#Q38879                                                                                                        | CUSIP: 3132QV2M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13741 | PA      | $13416.13      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 08/20/2046#MA3936                                                                                                     | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      780058 | PA      | $714601.13     | 0.00%             | 2046-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 0741#AL8558                                                                                                         | CUSIP: 3138ETQL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      668629 | PA      | $706710.50     | 0.00%             | 2041-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 08/01/2045#Q35879                                                                                                   | CUSIP: 3132QSQ92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      227589 | PA      | $222943.57     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 08/01/2046#Q43328                                                                                                 | CUSIP: 3132WGVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36062 | PA      | $34235.60      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 07/01/2046#Q43088                                                                                                 | CUSIP: 3132WGNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      405523 | PA      | $383210.00     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 01/01/2046#AS6522                                                                                                 | CUSIP: 3138WGG81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      255034 | PA      | $240562.25     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                                            | CSC HOLDINGS LLC 5.5% 04/15/2027 144A                                                                                            | CUSIP: 126307AQ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     1117000 | PA      | $963834.47     | 0.00%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FGLMC 30YR 3.5% 09/46#Q43176                                                                                                     | CUSIP: 3132WGQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1816802 | PA      | $1716837.76    | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 08/01/2046#AS7822                                                                                                 | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      208297 | PA      | $196607.76     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2045#AS6304                                                                                                   | CUSIP: 3138WGAE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      361795 | PA      | $352603.42     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                                            | ALTRIA GROUP INC 3.875% 09/16/2046                                                                                               | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      551000 | PA      | $420801.43     | 0.00%             | 2046-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                                                    | DUKE ENERGY PROGRESS LLC 3.7% 10/15/2046                                                                                         | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |        5000 | PA      | $3888.59       | 0.00%             | 2046-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2045#AS6286                                                                                                   | CUSIP: 3138WF6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      170434 | PA      | $166104.33     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 01/01/2046#AS6515                                                                                                   | CUSIP: 3138WGGZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      313436 | PA      | $305472.70     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                                                                   | IQVIA INC 5% 10/15/2026 144A                                                                                                     | CUSIP: 449934AD0<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |      470000 | PA      | $469688.86     | 0.00%             | 2026-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 09/20/2046#MA3937                                                                                                   | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       95972 | PA      | $90319.60      | 0.00%             | 2046-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                                                   | HESS CORP 4.3% 04/01/2027                                                                                                        | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      840000 | PA      | $843032.55     | 0.00%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                                                   | HESS CORP 5.8% 04/01/2047                                                                                                        | CUSIP: 42809HAH0<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     4517000 | PA      | $4712308.44    | 0.01%             | 2047-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PROVIDENCE ST JOSEPH HEALTH OBLIGATED GROUP                                                                 | PROVIDENCE ST JOSEPH HEALTH OBLIGATED GROUP 2.746% 10/01/2026                                                                    | CUSIP: 743756AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      180000 | PA      | $177825.91     | 0.00%             | 2026-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 07/42#AB5500                                                                                                      | CUSIP: 31417CDE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3540 | PA      | $3378.64       | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 07/42#AB5501                                                                                                      | CUSIP: 31417CDF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4177 | PA      | $3987.30       | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 05/44#AV8070                                                                                                      | CUSIP: 3138XK6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3449 | PA      | $3296.34       | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 04/42#AK8632                                                                                                      | CUSIP: 3138EDSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5889 | PA      | $5612.86       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 11/42#AQ6804                                                                                                      | CUSIP: 3138MNR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8169 | PA      | $7771.05       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 08/43#AS0080                                                                                                      | CUSIP: 3138W9CS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8028 | PA      | $7635.67       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/42#AB5369                                                                                                      | CUSIP: 31417B6F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11112 | PA      | $10607.22      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 10/42#AP9654                                                                                                      | CUSIP: 3138MDWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13360 | PA      | $12788.04      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 09/42#AP5393                                                                                                      | CUSIP: 3138M87F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37606 | PA      | $35846.07      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 11/42#AB6934                                                                                                      | CUSIP: 31417DV42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55308 | PA      | $52677.98      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TR                                                                                         | MEXICO CITY ARPT TR 4.25% 10/31/2026 144A                                                                                        | CUSIP: 59284MAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     4270000 | PA      | $4241156.15    | 0.01%             | 2026-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TR                                                                                         | MEXICO CITY ARPT TR 5.5% 10/31/2046 144A                                                                                         | CUSIP: 59284MAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     1092000 | PA      | $959147.28     | 0.00%             | 2046-10-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.679% 02/01/2039#AL8741                                                                                               | CUSIP: 3138ETWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37764 | PA      | $39364.37      | 0.00%             | 2039-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                                                   | KROGER CO 2.65% 10/15/2026                                                                                                       | CUSIP: 501044DE8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |      430000 | PA      | $424886.62     | 0.00%             | 2026-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                                                       | ENTERGY LOUISIANA LLC 2.4% 10/01/2026                                                                                            | CUSIP: 29364WAY4<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     1070000 | PA      | $1056707.85    | 0.00%             | 2026-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                                            | PARAMOUNT GLOBAL 3.7% 10/04/2026                                                                                                 | CUSIP: 92553PBB7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      273000 | PA      | $269692.23     | 0.00%             | 2026-10-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                                               | DISH DBS CORP 7.75% 07/01/2026                                                                                                   | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2447525.50    | 0.01%             | 2026-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 09/01/2046#AS7877                                                                                                 | CUSIP: 3138WHXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      519953 | PA      | $455196.11     | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 07/01/2046#AS7530                                                                                                 | CUSIP: 3138WHLL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      235053 | PA      | $205925.66     | 0.00%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 10/01/2046#G08732                                                                                                   | CUSIP: 3128MJY61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      734962 | PA      | $667945.25     | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRESIDENT AND FELLOWS OF HARVARD COLLEGE                                                                    | PRESIDENT AND FELLOWS OF HARVARD COLLEGE 3.3% 07/15/2056                                                                         | CUSIP: 740816AN3<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |      190000 | PA      | $133603.14     | 0.00%             | 2056-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRESIDENT AND FELLOWS OF HARVARD COLLEGE                                                                    | PRESIDENT AND FELLOWS OF HARVARD COLLEGE 3.15% 07/15/2046                                                                        | CUSIP: 740816AM5<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |      315000 | PA      | $235016.05     | 0.00%             | 2046-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/46#AS7125                                                                                                      | CUSIP: 3138WG4K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98870 | PA      | $86617.95      | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 07/01/2045#AS5384                                                                                                   | CUSIP: 3138WE6W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      121678 | PA      | $118840.03     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                                                   | USTCOUP 0% 11/15/2045                                                                                                            | CUSIP: 912834PT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4155000 | PA      | $1564328.42    | 0.00%             | 2045-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 10/20/2046#MA4005                                                                                                     | CUSIP: 36179SNW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      131911 | PA      | $128289.61     | 0.00%             | 2046-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 20YR 3% 11/01/2036#AS8249                                                                                              | CUSIP: 3138WJEX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      500512 | PA      | $478431.16     | 0.00%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 10/20/2046#MA4003                                                                                                     | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2352109 | PA      | $2153266.92    | 0.00%             | 2046-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2016-NINE                                              | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2016-NINE B CSTR 10/06/2038 144A                                            | CUSIP: 46646GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $295394.01     | 0.00%             | 2038-09-06      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 11/01/2046#G08737                                                                                                   | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      328732 | PA      | $298756.44     | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 10/45#AL7623                                                                                                        | CUSIP: 3138EQPH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      567671 | PA      | $555989.16     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2016-C4                                                                              | JPMDB COML MTG SECS TR 2016-C4 ASB 2.9941% 12/15/2049                                                                            | CUSIP: 46646RAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       40062 | PA      | $39825.68      | 0.00%             | 2049-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 11/01/2046#MA2806                                                                                                   | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      911823 | PA      | $827714.87     | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA                                                                | BLACKBIRD AIRCRAF 2016-1A A STEP 12/16/2041 144A                                                                                 | CUSIP: 09228YAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1764265 | PA      | $1764812.28    | 0.00%             | 2041-12-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 03/01/2046#AL8321                                                                                                   | CUSIP: 3138ETG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      613652 | PA      | $599035.09     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 05/01/2046#G60603                                                                                                 | CUSIP: 31335AU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1239721 | PA      | $1172671.10    | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 11/01/2046#G08731                                                                                                 | CUSIP: 3128MJY53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      412290 | PA      | $361377.30     | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 11/01/2046#AS8269                                                                                                   | CUSIP: 3138WJFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1527642 | PA      | $1386729.54    | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 3.5% 11/16/2026                                                                                    | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      752000 | PA      | $748795.40     | 0.00%             | 2026-11-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C7 COML MTG TR                                                                                   | CSAIL 2016-C7 A4 3.21% 11/15/49                                                                                                  | CUSIP: 12637UAV1<br>LEI: 5493006MX7HG5PC85C29 | Long             | ABS-MBS          | CORP              | US        |     1749284 | PA      | $1740487.41    | 0.00%             | 2049-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                                                   | DUKE ENERGY CAROLINAS LLC 2.95% 12/01/2026                                                                                       | CUSIP: 26442CAS3<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      370000 | PA      | $367046.04     | 0.00%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 11/01/2031#MA2803                                                                                                 | CUSIP: 31418CDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      331819 | PA      | $321227.23     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                                                | UBS GROUP AG 4.55% 04/17/2026                                                                                                    | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     3490000 | PA      | $3496349.74    | 0.01%             | 2026-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 07/20/2046#MA3805                                                                                                   | CUSIP: 36179SGN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      239103 | PA      | $239424.10     | 0.00%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2016-UBS12                                                                          | MORGAN STANLEY TR 2016-UBS12 A3 3.337% 12/15/2049                                                                                | CUSIP: 61691EAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1812074 | PA      | $1792454.69    | 0.00%             | 2049-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMM 2016-COR1 MTG TR                                                                                       | COMM 2016-COR1 MTG TR 2.826% 10/10/2049                                                                                          | CUSIP: 12594MBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7366360 | PA      | $7297569.39    | 0.02%             | 2049-10-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 4% 12/01/2046                                                                                        | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1045000 | PA      | $797113.30     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREMF 2016-K58 MORTGAGE TRUST                                                                               | FREMF 2016-K58 MORTGAGE TRUST 3.7387% 9/25/49 144A                                                                               | CUSIP: 35690AAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3090000 | PA      | $3057517.30    | 0.01%             | 2049-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                                                    | CONSTELLATION BRANDS INC 3.7% 12/06/2026                                                                                         | CUSIP: 21036PAQ1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1196598.23    | 0.00%             | 2026-12-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARCH CAPITAL FINANCE LLC                                                                                    | ARCH CAP FIN LLC 4.011% 12/15/2026                                                                                               | CUSIP: 03939CAA1<br>LEI: 549300XG4URFY0200M65 | Long             | DBT              | CORP              | US        |     8495000 | PA      | $8492135.83    | 0.02%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 05/46#G08707                                                                                                        | CUSIP: 3128MJYD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      138297 | PA      | $134851.76     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 12/01/2046#G08742                                                                                                 | CUSIP: 3128MJZG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       91497 | PA      | $86147.87      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.384% 10/23/2035                                | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      392000 | PA      | $405033.50     | 0.00%             | 2035-10-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.484% 10/23/2045                                | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3015000 | PA      | $2888756.46    | 0.01%             | 2045-10-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 07/41#G06620                                                                                                      | CUSIP: 3128M8VM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       68953 | PA      | $69520.46      | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 07/44#G08596                                                                                                      | CUSIP: 3128MJUW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21787 | PA      | $21918.83      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 09/44#G07828                                                                                                      | CUSIP: 3128MAA58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      126055 | PA      | $126855.76     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFCRE 2016-C6 MTG TR                                                                                        | CFCRE 2016-C6 MTG TR 2.95% 11/10/2049                                                                                            | CUSIP: 12532AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      895411 | PA      | $889381.64     | 0.00%             | 2049-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6                                                                 | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 XA CSTR 12/10/2049                                                                   | CUSIP: 17291EBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11880133 | PA      | $38517.77      | 0.00%             | 2049-12-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C32                                                            | MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C32 A3 3.459% 12/15/2049                                                            | CUSIP: 61691GAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8677804 | PA      | $8617116.79    | 0.02%             | 2049-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 05/46#AS7248                                                                                                        | CUSIP: 3138WHBS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      189211 | PA      | $184285.97     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 12/01/2046#G08738                                                                                                 | CUSIP: 3128MJZC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      759558 | PA      | $715154.68     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 12/01/2046#AS8461                                                                                                 | CUSIP: 3138WJMK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      393802 | PA      | $370348.65     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 12/44#G60201                                                                                                      | CUSIP: 31335AGJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       57914 | PA      | $58286.67      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 12/01/2046#G08741                                                                                                   | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4050180 | PA      | $3680867.46    | 0.01%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 12/01/2046#MA2833                                                                                                   | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      102608 | PA      | $93143.25      | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 09/01/2046#MA2737                                                                                                   | CUSIP: 31418CBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      155045 | PA      | $141179.88     | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 05/01/2046#AS7155                                                                                                   | CUSIP: 3138WG5R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      472441 | PA      | $430190.58     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 08/01/2046#Q42260                                                                                                   | CUSIP: 3132WFQN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35393 | PA      | $32519.64      | 0.00%             | 2046-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 01/01/2047#MA2863                                                                                                   | CUSIP: 31418CFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1944908 | PA      | $1765505.76    | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC 2016-NXSR COML MTG TR                                                                                  | CSMC 2016-NXSR COML MTG TR 3.7948% 12/15/2049                                                                                    | CUSIP: 12594PAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1986543.80    | 0.00%             | 2049-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 11/46#MA4126                                                                                                          | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1476552 | PA      | $1351728.03    | 0.00%             | 2046-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 12/01/2031#AS8511                                                                                                 | CUSIP: 3138WJN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      921449 | PA      | $891363.69     | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 10/01/2031#AS8226                                                                                                 | CUSIP: 3138WJD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      504903 | PA      | $488793.48     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 11/20/2046#MA4069                                                                                                   | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       91497 | PA      | $85994.09      | 0.00%             | 2046-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 10/46#G08735                                                                                                      | CUSIP: 3128MJY95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      224815 | PA      | $224927.43     | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREMF 2016-K59 MTG TR                                                                                       | FREMF 2016-K59 B CSTR 11/49 144A                                                                                                 | CUSIP: 30295RAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      137909 | PA      | $136596.15     | 0.00%             | 2049-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                                                | UBS GROUP AG 4.282% 01/09/2028 144A                                                                                              | CUSIP: 225401AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      430000 | PA      | $430645.45     | 0.00%             | 2028-01-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 3.887%/VAR 01/10/2028                                                                                              | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2750000 | PA      | $2742736.78    | 0.01%             | 2028-01-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF TSFR1M+76.448 05/20/2061                                                                | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |         213 | PA      | $212.56        | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 01/47#MA4197                                                                                                          | CUSIP: 36179SUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      128669 | PA      | $124935.51     | 0.00%             | 2047-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                                                   | AMGEN INC 4.663% 06/15/2051                                                                                                      | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      475000 | PA      | $416318.85     | 0.00%             | 2051-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 10/01/2044#AS3638                                                                                                   | CUSIP: 3138WDBG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53299 | PA      | $52122.77      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 5.3% 04/15/2047                                                                                               | CUSIP: 29273RBL2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      225000 | PA      | $203077.50     | 0.00%             | 2047-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                                                         | EMERA US FINANCE LP 4.75% 06/15/2046                                                                                             | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      325000 | PA      | $280818.98     | 0.00%             | 2046-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/01/2044#AW5713                                                                                                 | CUSIP: 3138XVK33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1900 | PA      | $1908.98       | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 12/01/2045#BA4471                                                                                                 | CUSIP: 3140E86H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7219 | PA      | $7236.69       | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 05/01/2044#AS2319                                                                                                 | CUSIP: 3138WBSH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2032 | PA      | $2041.78       | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 02/01/2044#AS1626                                                                                                 | CUSIP: 3138WAYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      596993 | PA      | $600080.63     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 11/01/2044#AX2179                                                                                                 | CUSIP: 3138Y3M57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4230 | PA      | $4252.52       | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 01/01/2044#AV4104                                                                                                 | CUSIP: 3138XFR23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      212184 | PA      | $213137.85     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 03/01/2044#AV2400                                                                                                 | CUSIP: 3138XDU24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5645 | PA      | $5676.11       | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/01/2044#AS3179                                                                                                 | CUSIP: 3138WCQ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7281 | PA      | $7314.24       | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 06/01/2044#AW6505                                                                                                 | CUSIP: 3138XWGP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      244235 | PA      | $245409.15     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 05/01/2044#AW4740                                                                                                 | CUSIP: 3138XUHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22648 | PA      | $22746.99      | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 07/01/2044#AW5423                                                                                                 | CUSIP: 3138XVAZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30420 | PA      | $30549.17      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 06/01/2046#BD2680                                                                                                 | CUSIP: 3140F96S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      379564 | PA      | $379909.28     | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 02/01/2044#AS1792                                                                                                 | CUSIP: 3138WA7E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7726 | PA      | $7760.05       | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                                            | CCO HLDGS LLC/CAP CORP 5.125% 05/01/2027 144A                                                                                    | CUSIP: 1248EPBT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $199717.92     | 0.00%             | 2027-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 12/20/2046#MA4127                                                                                                   | CUSIP: 36179SSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      841174 | PA      | $790580.44     | 0.00%             | 2046-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 3.824%/VAR 01/20/2028                                                                                | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      525000 | PA      | $523290.72     | 0.00%             | 2028-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                                          | DOMINICAN REPUBLIC 5.95% 01/25/2027 144A                                                                                         | CUSIP: 25714PDT2<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     1100000 | PA      | $1110669.12    | 0.00%             | 2027-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNA 2017-M1 A2 VAR 10/26                                                                                                         | CUSIP: 3136AUG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      199984 | PA      | $197164.23     | 0.00%             | 2026-10-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 08/01/2043#AS0214                                                                                                 | CUSIP: 3138W9GY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      121325 | PA      | $115874.42     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                                                   | EGYPT (ARAB) REPUBLIC OF 8.5% 01/31/2047 REGS                                                                                    | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |      300000 | PA      | $280125.00     | 0.00%             | 2047-01-31      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                                         | PETROLEOS MEXICANOS 6.75% 09/21/2047                                                                                             | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    11150000 | PA      | $9076434.50    | 0.02%             | 2047-09-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHILDRENS HOSP CORP                                                                                         | CHILDRENS HOSP CORP 4.115% 01/01/2047                                                                                            | CUSIP: 16876BAA0<br>LEI: 549300NXFO6BISJLOS32 | Long             | DBT              | CORP              | US        |      265000 | PA      | $224531.61     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DBWF 2016-85T MORTGAGE TRUST                                                                                | DBWF 2016-85T MORTGAGE TRUST 3.791% 12/10/2036 144A                                                                              | CUSIP: 23307CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1390000 | PA      | $1370845.52    | 0.00%             | 2036-12-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB INC                                                                                    | UTAH ACQUISITION SUB INC 3.95% 06/15/2026                                                                                        | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |     4915000 | PA      | $4897844.63    | 0.01%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHR 2996 ZD 5.5% 06/35                                                                                                           | CUSIP: 31395UZR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      140599 | PA      | $142790.95     | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB INC                                                                                    | UTAH ACQUISITION SUB INC 5.25% 06/15/2046                                                                                        | CUSIP: 62854AAP9<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |      695000 | PA      | $575629.43     | 0.00%             | 2046-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3% 02/15/2047                                                                                        | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9789000 | PA      | $7556266.73    | 0.02%             | 2047-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 01/47#MA4263                                                                                                          | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      214741 | PA      | $208510.74     | 0.00%             | 2047-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 11/42#AP8469                                                                                                        | CUSIP: 3138MCMT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      436193 | PA      | $405165.10     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 04/43#MA0935                                                                                                          | CUSIP: 36179NBC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       99120 | PA      | $96872.26      | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 02/43#MA0784                                                                                                          | CUSIP: 36179M2R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100134 | PA      | $97824.00      | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 3/41#AH8925                                                                                                       | CUSIP: 3138AA4K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      779811 | PA      | $785161.89     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHR 2933 ZM 5.75% 02/15/2035                                                                                                     | CUSIP: 31395MT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      236692 | PA      | $241673.94     | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 01/01/2043#C04446                                                                                                   | CUSIP: 31292L5F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      120116 | PA      | $111468.33     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PARTNERS LP / AMERIGAS FINANCE CORP                                                                | AMERIGAS PARTN LP/AMERIGAS FIN 5.75% 05/20/2027                                                                                  | CUSIP: 030981AL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      414000 | PA      | $415618.33     | 0.00%             | 2027-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                                                     | MPLX LP 4.125% 03/01/2027                                                                                                        | CUSIP: 55336VAK6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     2371000 | PA      | $2368707.17    | 0.01%             | 2027-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                                                     | MPLX LP 5.2% 03/01/2047                                                                                                          | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     1489000 | PA      | $1341447.20    | 0.00%             | 2047-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                                                  | TENNESSEE VALLEY AUTHORITY 2.875% 02/01/2027                                                                                     | CUSIP: 880591EU2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |     1060000 | PA      | $1050573.19    | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNR 2010-150 ZC 4.75% 01/41                                                                                                      | CUSIP: 31397QAV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      481344 | PA      | $477075.97     | 0.00%             | 2041-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIE MAE 2010-95 ZC 5% 09/25/2040                                                                                              | CUSIP: 31398NFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      996631 | PA      | $983743.27     | 0.00%             | 2040-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 01/01/2032#AS8602                                                                                                 | CUSIP: 3138WJRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      517441 | PA      | $500736.72     | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 02/47#MA4261                                                                                                          | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      426478 | PA      | $390424.73     | 0.00%             | 2047-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 12/20/2046#MA4125                                                                                                   | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      355287 | PA      | $314183.49     | 0.00%             | 2046-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045                                                                                     | CUSIP: 3136ANY68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      303188 | PA      | $42887.80      | 0.00%             | 2045-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 11/46#MA4071                                                                                                        | CUSIP: 36179SQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      300882 | PA      | $301419.12     | 0.00%             | 2046-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                                            | PARAMOUNT GLOBAL 6.25%/VAR 02/28/2057                                                                                            | CUSIP: 92553PBC5<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      200000 | PA      | $194675.00     | 0.00%             | 2057-02-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 01/01/2047#BE1526                                                                                                 | CUSIP: 3140FLVU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      156552 | PA      | $147619.64     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 01/01/2047#BE5530                                                                                                 | CUSIP: 3140FREC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       83295 | PA      | $78542.23      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 07/01/2046#BC6149                                                                                                 | CUSIP: 3140F1ZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      138105 | PA      | $130354.66     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 02/01/2047#BE5696                                                                                                 | CUSIP: 3140FRKJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       66425 | PA      | $62635.40      | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GNMA 2017-H06 FA T1Y+35 08/66                                                                                                    | CUSIP: 38376RV60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      131012 | PA      | $130532.27     | 0.00%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 01/01/2047#AL9776                                                                                                 | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1489787 | PA      | $1404786.00    | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 01/01/2047#BE7087                                                                                                 | CUSIP: 3140FS2V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32062 | PA      | $32060.81      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 02/01/2047#BE8498                                                                                                 | CUSIP: 3140FUNQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54860 | PA      | $54995.77      | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 01/01/2047#BE6506                                                                                                 | CUSIP: 3140FSGQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49064 | PA      | $49185.54      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 12/01/2046#BE4488                                                                                                 | CUSIP: 3140FP7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115648 | PA      | $115645.01     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 11/01/2046#BE2386                                                                                                 | CUSIP: 3140FMUL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87168 | PA      | $87165.82      | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 10/01/2046#BE1671                                                                                                 | CUSIP: 3140FL2D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69452 | PA      | $69515.32      | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 06/01/2046#BD1238                                                                                                 | CUSIP: 3140F8LU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27163 | PA      | $27238.13      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNR 2011-4 PZ 5% 2/41                                                                                                            | CUSIP: 31397QKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      204061 | PA      | $203440.46     | 0.00%             | 2041-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE TECHNOLOGIES LLC                                                                                  | COMMSCOPE TECHNOLOGIES LLC 5% 03/15/2027 144A                                                                                    | CUSIP: 20338HAB9<br>LEI: M4TWC4QDOKW45N7T6Y12 | Long             | DBT              | CORP              | US        |       43000 | PA      | $42944.81      | 0.00%             | 2027-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 07/01/2046#AL9515                                                                                                 | CUSIP: 3138ERSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      421661 | PA      | $397998.61     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 12/46#BC9077                                                                                                      | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2227324 | PA      | $2100242.39    | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 3% 08/45#AL8626                                                                                                        | CUSIP: 36184FSP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      315089 | PA      | $288056.62     | 0.00%             | 2045-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOLL BROTHERS FINANCE CORP                                                                                  | TOLL BROS FIN CORP 4.875% 03/15/2027                                                                                             | CUSIP: 88947EAS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6350000 | PA      | $6391062.85    | 0.01%             | 2027-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 4.25% 04/15/2047                                                                                          | CUSIP: 91324PCZ3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      770000 | PA      | $645347.66     | 0.00%             | 2047-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 12/01/2046#AS8453                                                                                                   | CUSIP: 3138WJMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      136257 | PA      | $123688.83     | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 12/01/2046#BC9096                                                                                                 | CUSIP: 3140F5DA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      381461 | PA      | $358742.47     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNA 2017-M3 A2 CSTR 12/26                                                                                                        | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      294900 | PA      | $290615.29     | 0.00%             | 2026-12-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 09/01/2046#BC7248                                                                                                 | CUSIP: 3140F3BS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      404746 | PA      | $382032.14     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                                                 | VENTAS RLTY LTD PARTNERSHIP 3.85% 04/01/2027                                                                                     | CUSIP: 92277GAL1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |      500000 | PA      | $498447.16     | 0.00%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 11/01/2042#Q13237                                                                                                 | CUSIP: 3132HPS21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      420847 | PA      | $401688.54     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREMF 2017-K63 MORTGAGE TRUST                                                                               | FREMF 2017-K63 MORTGAGE TRUST VAR 02/25/2050 144A                                                                                | CUSIP: 30300HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      347991 | PA      | $344720.93     | 0.00%             | 2050-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                                              | OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028                                                                                  | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |     7569000 | PA      | $7634061.69    | 0.02%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONE MARKET PLAZA TRUST 2017-1MKT                                                                            | ONE MARKET PLAZA TRUST 2017-1MKT 3.6139% 02/10/2032 144A                                                                         | CUSIP: 68245HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3652239 | PA      | $3486059.73    | 0.01%             | 2032-02-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONE MARKET PLAZA TRUST 2017-1MKT                                                                            | ONE MARKET PLAZA TRUST 2017-1MKT 4.1455% 02/10/2032 144A                                                                         | CUSIP: 68245HAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $92003.80      | 0.00%             | 2032-02-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 03/20/2047#MA4322                                                                                                     | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      403605 | PA      | $391893.91     | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIX FLAGS ENTERTAINMENT CORP                                                                                | SIX FLAGS ENTERTAINMENT CORP 5.5% 04/15/2027 144A                                                                                | CUSIP: 83001AAC6<br>LEI: 529900AS2CYWYFHRS781 | Long             | DBT              | CORP              | US        |      192000 | PA      | $189541.10     | 0.00%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 3.5% 05/01/2033#K90513                                                                                                 | CUSIP: 3132J2SA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      301911 | PA      | $298378.07     | 0.00%             | 2033-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FED HOME LOAN MTG CORP - GOLD 3.5% 07/15/2042                                                                                    | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       40132 | PA      | $38513.29      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 09/46#Q43257                                                                                                      | CUSIP: 3132WGTP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1031052 | PA      | $974643.27     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2017-C5                                                                              | JPMDB COML MTG SECS TR 2017-C5 3.414% 03/15/2050                                                                                 | CUSIP: 46590TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2966193 | PA      | $2930533.41    | 0.01%             | 2050-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 03/01/2047#BE9261                                                                                                 | CUSIP: 3140FVJF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13764 | PA      | $13755.01      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY SOUTHN CALIF                                                                                     | UNIVERSITY SOUTHN CALIF 3.841% 10/01/2047                                                                                        | CUSIP: 914886AC0<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |      815000 | PA      | $667375.30     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 03/01/2032#G18636                                                                                                   | CUSIP: 3128MMV67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      235173 | PA      | $230196.27     | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2.898% 06/25/2027                                                                                 | CUSIP: 3136AV6R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2877832 | PA      | $2831510.57    | 0.01%             | 2027-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 4% 05/01/2037#C91938                                                                                                   | CUSIP: 3128P8EK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2363686 | PA      | $2351208.14    | 0.01%             | 2037-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NUSTAR LOGISTICS LP                                                                                         | NUSTAR LOGISTICS LP 5.625% 04/28/2027                                                                                            | CUSIP: 67059TAE5<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |       68000 | PA      | $68695.23      | 0.00%             | 2027-04-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNR 2017-30 AI 5.5% 05/47                                                                                                        | CUSIP: 3136AWQD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      186642 | PA      | $25989.29      | 0.00%             | 2047-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3% 05/15/2047                                                                                        | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4722000 | PA      | $3635940.00    | 0.01%             | 2047-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS and ANNUITY ASSN AMER                                                                          | TEACHERS INS and ANNUITY ASSN AMER 4.27% 05/15/2047 144A                                                                         | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |       43000 | PA      | $35977.50      | 0.00%             | 2047-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GNR 2010-160 DY 4% 12/20/2040                                                                                                    | CUSIP: 38377RLW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      734763 | PA      | $724854.86     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GNR 2010-170 B 4% 12/40                                                                                                          | CUSIP: 38377NRP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      162424 | PA      | $160059.31     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                                                  | INTEL CORP 4.1% 05/11/2047                                                                                                       | CUSIP: 458140AY6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      400000 | PA      | $309658.03     | 0.00%             | 2047-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 10/01/2045#AZ4750                                                                                                 | CUSIP: 3138YWH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      166561 | PA      | $157234.45     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 09/44#AW7446                                                                                                        | CUSIP: 3138XXHY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      157600 | PA      | $154069.21     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                                                | SABINE PASS LIQUEFACTION LLC 5% 03/15/2027                                                                                       | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     3030000 | PA      | $3047753.44    | 0.01%             | 2027-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                                                | SABINE PASS LIQUEFACTION LLC 5.875% 06/30/2026                                                                                   | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |       60000 | PA      | $60070.51      | 0.00%             | 2026-06-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4% 04/20/2047#784303                                                                                                     | CUSIP: 3622A2X80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1315902 | PA      | $1263739.61    | 0.00%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4% 04/47#784304                                                                                                          | CUSIP: 3622A2X98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1441689 | PA      | $1384540.31    | 0.00%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 3.584%/VAR 05/22/2028                                                                                     | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      905000 | PA      | $898379.89     | 0.00%             | 2028-05-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM 1.65% 02/20/2063                                                                                    | CUSIP: 38375BK84<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |         164 | PA      | $156.32        | 0.00%             | 2063-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 06/47#MA4511                                                                                                          | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      418268 | PA      | $405608.92     | 0.00%             | 2047-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 07/01/2036#889583                                                                                                   | CUSIP: 31410KJ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46952 | PA      | $47840.19      | 0.00%             | 2036-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 06/01/2039#AL6611                                                                                                   | CUSIP: 3138EPKZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      200409 | PA      | $204335.24     | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NYU LANGONE HOSPITALS                                                                                       | NYU LANGONE HOSPITALS 4.368% 07/01/2047                                                                                          | CUSIP: 62952EAE7<br>LEI: 254900A1087KNNZSNH72 | Long             | DBT              | CORP              | US        |      810000 | PA      | $718710.49     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 05/01/2033#710653                                                                                                   | CUSIP: 31401KQE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2824 | PA      | $2876.06       | 0.00%             | 2033-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 08/01/2033#730817                                                                                                   | CUSIP: 31402J4A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8286 | PA      | $8435.06       | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 07/01/2036#310015                                                                                                   | CUSIP: 31374CK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5229 | PA      | $5327.40       | 0.00%             | 2036-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 08/33#731291                                                                                                        | CUSIP: 31402KNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73958 | PA      | $75239.57      | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE GRO CO (THE)                                                                                 | SCOTTS MIRACLE GRO CO (THE) 5.25% 12/15/2026                                                                                     | CUSIP: 810186AP1<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |       59000 | PA      | $58911.75      | 0.00%             | 2026-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                                              | CANADIAN NATL RESOURCES LTD 3.85% 06/01/2027                                                                                     | CUSIP: 136385AX9<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     3200000 | PA      | $3186501.31    | 0.01%             | 2027-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                                                                             | TYSON FOODS INC 3.55% 06/02/2027                                                                                                 | CUSIP: 902494BC6<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |      635000 | PA      | $629548.73     | 0.00%             | 2027-06-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                                                                         | NOVA CHEMICALS CORP 5.25% 06/01/2027 144A                                                                                        | CUSIP: 66977WAR0<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |      129000 | PA      | $129472.79     | 0.00%             | 2027-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035                                                                        | CUSIP: 31394FGT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      117040 | PA      | $118791.71     | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6                                                         | JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6 A5 3.4898% 07/15/2050                                                        | CUSIP: 48128KAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4893256.50    | 0.01%             | 2050-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR                                                                      | COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR A4 3.514% 05/10/2050                                                                      | CUSIP: 12515DAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3957120.80    | 0.01%             | 2050-05-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                                            | WILLIAMS COS INC 3.75% 06/15/2027                                                                                                | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     2835000 | PA      | $2815817.45    | 0.01%             | 2027-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 01/20/2047#MA4198                                                                                                   | CUSIP: 36179SUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      114715 | PA      | $115058.37     | 0.00%             | 2047-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 10/01/2046#MA2781                                                                                                 | CUSIP: 31418CCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      221293 | PA      | $193732.04     | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 3.691%/VAR 06/05/2028                                                                              | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      667000 | PA      | $662473.14     | 0.00%             | 2028-06-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GNMA 13-149 MA 2.5% 5/20/40                                                                                                      | CUSIP: 38378UQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      218889 | PA      | $216363.92     | 0.00%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 01/01/2047#AS8699                                                                                                   | CUSIP: 3138WJUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      293334 | PA      | $284690.24     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS and ELECTRIC CO                                                                               | SAN DIEGO GAS and ELECTRIC CO 3.75% 06/01/2047                                                                                   | CUSIP: 797440BV5<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     1210000 | PA      | $932988.76     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                                                      | CONSOLIDATED EDISON CO OF NY 3.875% 06/15/2047                                                                                   | CUSIP: 209111FL2<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |       37000 | PA      | $29395.77      | 0.00%             | 2047-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 04/15/2046#784232                                                                                                   | CUSIP: 3622A2VZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1926873 | PA      | $1867554.95    | 0.00%             | 2046-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IVORY COAST (COTE D'IVOIRE)                                                                                 | IVORY COAST (COTE D'IVOIRE) 6.125% 06/15/2033 REGS                                                                               | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |      950000 | PA      | $917462.50     | 0.00%             | 2033-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 06/47#Q48877                                                                                                        | CUSIP: 3132WN2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2186426 | PA      | $2131964.25    | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2045#AS5263                                                                                                 | CUSIP: 3138WEZ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      593963 | PA      | $560164.63     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 06/47#Q48876                                                                                                      | CUSIP: 3132WN2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      132193 | PA      | $132630.97     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2017-GS6                                                                                     | GS MTG SECS TR 2017-GS6 3.164% 05/10/2050                                                                                        | CUSIP: 36253PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      461935 | PA      | $454719.94     | 0.00%             | 2050-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 3.5% 08/01/2034#C91778                                                                                                 | CUSIP: 3128P76P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      145249 | PA      | $143264.78     | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHR 4683 LM 3% 05/15/2047                                                                                                        | CUSIP: 3137BYKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      370649 | PA      | $359208.53     | 0.00%             | 2047-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS METRO                                                                                         | EVERGY KANSAS METRO 4.2% 06/15/2047                                                                                              | CUSIP: 485134BQ2<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |       21000 | PA      | $17411.30      | 0.00%             | 2047-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 07/01/2032#MA3060                                                                                                   | CUSIP: 31418CMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      479289 | PA      | $468330.19     | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 10YR 3% 05/01/2027#MA3010                                                                                                   | CUSIP: 31418CKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1301 | PA      | $1289.76       | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.72% 07/25/2026                                                                                  | CUSIP: 3137BS5N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      294893 | PA      | $292854.14     | 0.00%             | 2026-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                                            | FIRSTENERGY CORP STEP 07/15/2047                                                                                                 | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     1197000 | PA      | $1062233.47    | 0.00%             | 2047-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                                            | FIRSTENERGY CORP STEP 07/15/2027                                                                                                 | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     8607000 | PA      | $8561976.44    | 0.02%             | 2027-07-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 03/20/2047#MA4323                                                                                                   | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       99432 | PA      | $99636.43      | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HLDGS SA                                                                                   | INTELSAT JACKSON HLDGS SA 9.75% 12/31/2049 144A                                                                                  | CUSIP: 45824TAY1<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |     5500000 | PA      | $0.55          | 0.00%             | 2049-12-31      | Fixed         | 0.10%                 | No            |                  3 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 3.303% 04/25/2029                                                                                 | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      393379 | PA      | $383815.94     | 0.00%             | 2029-04-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                                            | PARAMOUNT GLOBAL 3.375% 02/15/2028                                                                                               | CUSIP: 124857AT0<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      190000 | PA      | $185651.82     | 0.00%             | 2028-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                                                         | SIRIUS XM RADIO INC 5% 08/01/2027 144A                                                                                           | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      450000 | PA      | $450100.80     | 0.00%             | 2027-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 08/01/2046#Q45458                                                                                                   | CUSIP: 3132WKB49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      343498 | PA      | $335156.63     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 10/20/2042#MA0463                                                                                                     | CUSIP: 36179MQQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      222940 | PA      | $217802.87     | 0.00%             | 2042-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6                                                         | JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6 3.2829% 07/15/2050                                                           | CUSIP: 48128KBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50331 | PA      | $49979.46      | 0.00%             | 2050-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORTIS INC                                                                                                  | FORTIS INC 3.055% 10/04/2026                                                                                                     | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |      301000 | PA      | $298244.56     | 0.00%             | 2026-10-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 07/47#MA4587                                                                                                          | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1029054 | PA      | $997909.54     | 0.00%             | 2047-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK6                                                                                              | BANK 2017-BNK6 ASB 3.289% 07/60                                                                                                  | CUSIP: 060352AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88264 | PA      | $87879.77      | 0.00%             | 2060-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 3.882%/VAR 07/24/2038                                                                                      | CUSIP: 46647PAJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     4300000 | PA      | $3915541.60    | 0.01%             | 2038-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 3.668%/VAR 07/24/2028                                                                                              | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      163000 | PA      | $161854.85     | 0.00%             | 2028-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 3.593%/VAR 07/21/2028                                                                                | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1567000 | PA      | $1554839.66    | 0.00%             | 2028-07-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                                                | SABINE PASS LIQUEFACTION LLC 4.2% 03/15/2028                                                                                     | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      300000 | PA      | $300498.92     | 0.00%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                                                   | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3.65% 07/21/2027                                                       | CUSIP: 00774MAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     4098000 | PA      | $4065238.17    | 0.01%             | 2027-07-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/41#AH7932                                                                                                      | CUSIP: 3138A9Y65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77356 | PA      | $77874.97      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017-C38                                                                            | WELLS FARGO COML MTG TR 2017-C38 3.665% 07/15/2050                                                                               | CUSIP: 95001MAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1110000 | PA      | $1084686.34    | 0.00%             | 2050-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC 2010-116 QB 4% 09/16/2040                                                                            | CUSIP: 38377LAL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     1205364 | PA      | $1189111.14    | 0.00%             | 2040-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AMER INC                                                                               | UNITED RENTALS NORTH AMER INC 4.875% 01/15/2028                                                                                  | CUSIP: 911365BG8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1799751.24    | 0.00%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 01/15/2047#AX5831                                                                                                   | CUSIP: 36196HPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19515 | PA      | $18784.75      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 01/15/2047#AX5857                                                                                                   | CUSIP: 36196HQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18822 | PA      | $18117.12      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 07/15/2046#AT7623                                                                                                   | CUSIP: 36194GPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10524 | PA      | $10145.90      | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 07/15/2046#AT7536                                                                                                   | CUSIP: 36194GLR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13097 | PA      | $12627.15      | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 12/15/2046#AX5803                                                                                                   | CUSIP: 36196HNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3732 | PA      | $3597.62       | 0.00%             | 2046-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 01/15/2047#AX5855                                                                                                   | CUSIP: 36196HQG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6890 | PA      | $6632.33       | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 01/15/2047#AX5815                                                                                                   | CUSIP: 36196HN89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14467 | PA      | $13924.97      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 2.25% 08/15/2027                                                                                                       | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10019000 | PA      | $9806878.93    | 0.02%             | 2027-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 2.75% 08/15/2047                                                                                     | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8730000 | PA      | $6399499.26    | 0.01%             | 2047-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                                            | CCO HLDGS LLC/CAP CORP 5% 02/01/2028 144A                                                                                        | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      260000 | PA      | $257828.79     | 0.00%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST                                                        | AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST 3.35% 04/15/2031                                                            | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      297042 | PA      | $286856.45     | 0.00%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                                                        | DUKE ENERGY CORP NEW 3.95% 08/15/2047                                                                                            | CUSIP: 26441CAY1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      445000 | PA      | $349806.01     | 0.00%             | 2047-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFCRE COML MTG TR 2011-C2                                                                                   | CFCRE COML MTG TR 2011-C2 VAR 12/15/2047 144A                                                                                    | CUSIP: 12527DAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27696 | PA      | $27307.20      | 0.00%             | 2047-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 3% 01/01/2037#C91908                                                                                                   | CUSIP: 3128P8DM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      960942 | PA      | $918328.95     | 0.00%             | 2037-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA SOFR30A+593.552 01/25/2044                                                            | CUSIP: 3136AHTW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       61773 | PA      | $7162.02       | 0.00%             | 2044-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 07/20/2047#MA4586                                                                                                   | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2381494 | PA      | $2236023.00    | 0.01%             | 2047-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                                                                  | VMWARE LLC 3.9% 08/21/2027                                                                                                       | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |      500000 | PA      | $499153.37     | 0.00%             | 2027-08-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 08/47#MA3088                                                                                                        | CUSIP: 31418CNE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      289312 | PA      | $280424.78     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS and ELECTRIC CO                                                                               | BALTIMORE GAS and ELECTRIC CO 3.75% 08/15/2047                                                                                   | CUSIP: 059165EJ5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |       96000 | PA      | $75422.16      | 0.00%             | 2047-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 3.061% 05/25/2027                                                                                 | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      191276 | PA      | $189156.39     | 0.00%             | 2027-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3.243% 04/25/2027                                                                                 | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      194050 | PA      | $192406.45     | 0.00%             | 2027-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE TECH CORP                                                                            | WESTINGHOUSE AIR BRAKE TECH CORP 3.45% 11/15/2026                                                                                | CUSIP: 960386AL4<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |     1490000 | PA      | $1481065.62    | 0.00%             | 2026-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3% 03/20/2043#AA6146                                                                                                     | CUSIP: 36178DZK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      244972 | PA      | $226978.40     | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3% 03/20/2043#AD8812                                                                                                     | CUSIP: 36180MYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100692 | PA      | $93361.33      | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 06/01/2047#G08768                                                                                                 | CUSIP: 3128MJ2A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      173071 | PA      | $172941.42     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MTG TR                                                                                          | CD 2017-CD5 MTG TR A4 3.431% 08/15/2050                                                                                          | CUSIP: 12515HAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $984198.90     | 0.00%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 03/20/2043#AA6141                                                                                                   | CUSIP: 36178DZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      367908 | PA      | $349981.93     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 02/20/2043#AD1755                                                                                                   | CUSIP: 36180C5Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      857412 | PA      | $815636.10     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 10/01/2041#Q04127                                                                                                   | CUSIP: 3132GKHC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       64758 | PA      | $63776.52      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MTG TR                                                                                          | CD 2017-CD5 MTG TR 3.171% 08/15/2050                                                                                             | CUSIP: 12515HAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2697123 | PA      | $2649254.98    | 0.01%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                                           | IRON MOUNTAIN INC 4.875% 09/15/2027 144A                                                                                         | CUSIP: 46284VAC5<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |      601000 | PA      | $598881.78     | 0.00%             | 2027-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTOS FINANCE LIMITED                                                                                      | SANTOS FINANCE LTD 4.125% 09/14/2027 REGS                                                                                        | CUSIP: N/A<br>LEI: 213800BKUBSWG53XNS94       | Long             | DBT              | CORP              | AU        |     6300000 | PA      | $6247159.88    | 0.01%             | 2027-09-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                                                      | MPT OPER PARTNERSHIP LP/CORP 5% 10/15/2027                                                                                       | CUSIP: 55342UAH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1375000 | PA      | $1328866.95    | 0.00%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 07/01/2032#J37270                                                                                                   | CUSIP: 31307UCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       45131 | PA      | $44171.84      | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 04/01/2032#J36710                                                                                                   | CUSIP: 31307TN31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8936 | PA      | $8764.77       | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 04/01/2032#J36729                                                                                                   | CUSIP: 31307TPN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25670 | PA      | $25170.79      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 08/01/2032#J37406                                                                                                   | CUSIP: 31307UGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       56571 | PA      | $55382.46      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 08/01/2032#J37452                                                                                                   | CUSIP: 31307UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39274 | PA      | $38430.62      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2045#AS5133                                                                                                 | CUSIP: 3138WEV30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      995886 | PA      | $940439.56     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 01/01/2047#BD2440                                                                                                 | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      123946 | PA      | $116564.51     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY COMPANY                                                                                         | PECO ENERGY COMPANY 3.7% 09/15/2047                                                                                              | CUSIP: 693304AV9<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      185000 | PA      | $144117.26     | 0.00%             | 2047-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                                                | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 5.5% 01/15/2028 144A                                                | CUSIP: 87470LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      275000 | PA      | $274843.58     | 0.00%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 10/01/2047#MA3149                                                                                                   | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1337819 | PA      | $1295886.64    | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 09/01/2047#G08784                                                                                                 | CUSIP: 3128MJ2S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      592404 | PA      | $557216.52     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                                                          | UNION PACIFIC CORP 3.6% 09/15/2037                                                                                               | CUSIP: 907818EQ7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     1015000 | PA      | $911437.19     | 0.00%             | 2037-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CGMS COMMERCIAL MORTGAGE TRUST 2017-B1                                                                      | CGMS COMMERCIAL MORTGAGE TRUST 2017-B1 3.197% 08/15/2050                                                                         | CUSIP: 17326CAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      856433 | PA      | $842366.70     | 0.00%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TR                                                                                         | MEXICO CITY ARPT TR 5.5% 07/31/2047 144A                                                                                         | CUSIP: 59284MAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     3767000 | PA      | $3306295.90    | 0.01%             | 2047-07-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR SA                                                                                   | MILLICOM INTL CELLULAR SA 5.125% 01/15/2028 144A                                                                                 | CUSIP: 600814AN7<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |      247500 | PA      | $246262.50     | 0.00%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                                           | DNKN 2017-1A A2II 4.03% 11/20/2047 144A                                                                                          | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |     6745320 | PA      | $6671350.15    | 0.02%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 09/47#MA4720                                                                                                          | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2279016 | PA      | $2207192.47    | 0.00%             | 2047-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 09/32#MA3125                                                                                                        | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       75735 | PA      | $73970.07      | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 5.4% 10/01/2047                                                                                               | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     5190000 | PA      | $4726363.60    | 0.01%             | 2047-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 4% 10/01/2027                                                                                                 | CUSIP: 86765BAU3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      835000 | PA      | $832584.84     | 0.00%             | 2027-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION INC                                                                                    | ALLISON TRANSMISSION INC 4.75% 10/01/2027 144A                                                                                   | CUSIP: 019736AE7<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |        7000 | PA      | $6987.74       | 0.00%             | 2027-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMM 2017-COR2                                                                                              | COMM 2017-COR2 A3 3.51% 09/01/2050                                                                                               | CUSIP: 12595EAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11380000 | PA      | $11213217.00   | 0.03%             | 2050-09-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                                                | HUDSON PACIFIC PROPERTIES LP 3.95% 11/01/2027                                                                                    | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |      815000 | PA      | $777232.17     | 0.00%             | 2027-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                                                   | ONEOK INC 4.2% 10/03/2047                                                                                                        | CUSIP: 682680BY8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      795000 | PA      | $625141.65     | 0.00%             | 2047-10-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MSSG TRUST 2017-237P                                                                                        | MSSG TRUST 2017-237P 3.397% 09/13/2039 144A                                                                                      | CUSIP: 55375KAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1750000 | PA      | $1667083.25    | 0.00%             | 2039-09-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                                                     | SAUDI ARABIA KINGDOM OF 3.625% 03/04/2028 REGS                                                                                   | CUSIP: N/A<br>LEI: 635400FMICXSM3SI3H65       | Long             | DBT              | NUSS              | SA        |     8800000 | PA      | $8701264.00    | 0.02%             | 2028-03-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                                                    | EQT CORP 3.9% 10/01/2027                                                                                                         | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     3174000 | PA      | $3155056.08    | 0.01%             | 2027-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JORDAN KINGDOM OF                                                                                           | JORDAN KINGDOM OF 7.375% 10/10/2047 REGS                                                                                         | CUSIP: N/A<br>LEI: 5493000JZ4MYPVMBVN50       | Long             | DBT              | NUSS              | JO        |      400000 | PA      | $399300.00     | 0.00%             | 2047-10-10      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                                                     | BANK OF NOVA SCOTIA FRN TSFR3M+290.961 PERP                                                                                      | CUSIP: 064159KJ4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | EP               | CORP              | CA        |    12927000 | PA      | $12854699.29   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS FINANCE BV                                                                              | BRASKEM NETHERLANDS FIN BV 4.5% 01/10/2028 144A                                                                                  | CUSIP: 10554TAB1<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |      245000 | PA      | $95868.50      | 0.00%             | 2028-01-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERN PIPELINE LP                                                                                | PLAINS ALL AMERN PIPELINE LP TSFR3M+437.161 PERP                                                                                 | CUSIP: 726503AE5<br>LEI: 5521FA2ITF25TVH63740 | Long             | EP               | CORP              | US        |      315000 | PA      | $314821.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                                                       | NORTHROP GRUMMAN CORP 4.03% 10/15/2047                                                                                           | CUSIP: 666807BP6<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      728000 | PA      | $597010.33     | 0.00%             | 2047-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 10/01/2047#BM2002                                                                                                   | CUSIP: 3140J6GL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2794049 | PA      | $2708220.11    | 0.01%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5% 09/20/2046#MA3940                                                                                                     | CUSIP: 36179SLV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      160799 | PA      | $164268.71     | 0.00%             | 2046-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.5% 12/01/2029#AL8077                                                                                                 | CUSIP: 3138EQ6P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60975 | PA      | $60545.24      | 0.00%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2017-COR2                                                                                              | COMM 2017-COR2 3.317% 09/10/2050                                                                                                 | CUSIP: 12595EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      395403 | PA      | $392241.63     | 0.00%             | 2050-09-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3.244% 08/25/2027                                                                                 | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      300000 | PA      | $297051.27     | 0.00%             | 2027-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 3.75% 10/15/2047                                                                                          | CUSIP: 91324PDF6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       32000 | PA      | $24876.41      | 0.00%             | 2047-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 10/20/2047#MA4779                                                                                                     | CUSIP: 36179TJY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       58846 | PA      | $56991.37      | 0.00%             | 2047-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLENCORE FDG LLC                                                                                            | GLENCORE FDG LLC 3.875% 10/27/2027 144A                                                                                          | CUSIP: 378272AQ1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      137000 | PA      | $136328.75     | 0.00%             | 2027-10-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 3.52%/VAR 10/27/2028                                                                                               | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2493000 | PA      | $2467211.61    | 0.01%             | 2028-10-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 4.017%/VAR 10/31/2038                                                                              | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     3978000 | PA      | $3614768.34    | 0.01%             | 2038-10-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2% 01/01/2032#G16177                                                                                                   | CUSIP: 3128MFCN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      513054 | PA      | $492003.47     | 0.00%             | 2032-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2017-C4                                                                       | UBS COMMERCIAL MORTGAGE TRUST 2017-C4 3.836% 10/15/2050                                                                          | CUSIP: 90276RBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1690000 | PA      | $1635557.16    | 0.00%             | 2050-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ISHARES BROAD USD HIGH YIELD CORPORATE BOND ETF                                                             | iShares Broad USD High Yield Corp Bd ETF                                                                                         | CUSIP: 46435U853<br>LEI: 549300X7H67ZLUE3IZ46 | Long             | EC               | RF                | US        |       22267 | NS      | $838129.88     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MARKEL GROUP INC                                                                                            | MARKEL GROUP INC 4.3% 11/01/2047                                                                                                 | CUSIP: 570535AS3<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |      900000 | PA      | $739861.68     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TR 2017-WWP                                                                                 | WORLDWIDE PLAZA TR 2017-WWP A 3.5263% 11/10/2027 144A                                                                            | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      174592 | PA      | $140155.47     | 0.00%             | 2036-11-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 2.75% 11/15/2047                                                                                     | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8364000 | PA      | $6113887.95    | 0.01%             | 2047-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 12/01/2046#G60989                                                                                                   | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7157049 | PA      | $6558116.19    | 0.01%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                                                   | AMGEN INC 3.2% 11/02/2027                                                                                                        | CUSIP: 031162CQ1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $986270.26     | 0.00%             | 2027-11-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 3.5% 07/47#BM3041                                                                                                 | CUSIP: 3140J7LX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2736201 | PA      | $2585215.87    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 06/01/2045#AZ1709                                                                                                 | CUSIP: 3138YS3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      353374 | PA      | $354688.68     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 05/01/2045#AY9334                                                                                                 | CUSIP: 3138YPLQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       81986 | PA      | $82368.44      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 03/01/2045#AY5719                                                                                                 | CUSIP: 3138YKK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      372111 | PA      | $373845.14     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 01/01/2044#AV6341                                                                                                 | CUSIP: 3138XJBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37543 | PA      | $37755.62      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 11/01/2044#AX6510                                                                                                 | CUSIP: 3138Y8GU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      359531 | PA      | $361430.31     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 04/01/2045#AY5316                                                                                                 | CUSIP: 3138YJ4A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      217037 | PA      | $218048.00     | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/01/2044#AX2369                                                                                                 | CUSIP: 3138Y3T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21823 | PA      | $22040.46      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 09/01/2044#AW5723                                                                                                 | CUSIP: 3138XVLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93105 | PA      | $93114.06      | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 07/01/2045#AS5393                                                                                                 | CUSIP: 3138WE7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      157291 | PA      | $158023.98     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 11/01/2044#AX6493                                                                                                 | CUSIP: 3138Y8GB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60051 | PA      | $60368.36      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREMF 17-K68 MORTGAGE TRUST                                                                                 | FREMF 17-K68 MORTGAGE TRUST VAR 08/25/2027 144A                                                                                  | CUSIP: 30305EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      275672 | PA      | $272308.97     | 0.00%             | 2049-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                                                   | APPLE INC 3.75% 11/13/2047                                                                                                       | CUSIP: 037833DG2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |       29000 | PA      | $23508.55      | 0.00%             | 2047-11-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 3.8% 11/15/2037                                                                                                      | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      725000 | PA      | $602994.77     | 0.00%             | 2037-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 11/01/2045#Q37467                                                                                                 | CUSIP: 3132QUJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      851303 | PA      | $805118.86     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 02/01/2046#G60824                                                                                                   | CUSIP: 31335A4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      685101 | PA      | $670990.12     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 11/20/2047#MA4838                                                                                                     | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       97622 | PA      | $94545.67      | 0.00%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                                              | BRANDYWINE OPER PARTNERSHIP LP 3.95% 11/15/2027                                                                                  | CUSIP: 105340AQ6<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |     5608000 | PA      | $5539238.07    | 0.01%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 04/01/2046#BC5795                                                                                                 | CUSIP: 3140F1NM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115058 | PA      | $115162.96     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 11/01/2045#MA2490                                                                                                 | CUSIP: 31418BXU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80529 | PA      | $80828.65      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 11/01/2047#MA3182                                                                                                 | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      678956 | PA      | $637884.18     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS MLP                                                                                        | BUCKEYE PARTNERS MLP 4.125% 12/01/2027                                                                                           | CUSIP: 118230AR2<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |      379000 | PA      | $374855.98     | 0.00%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 07/01/2047#MA3073                                                                                                 | CUSIP: 31418CMX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      227053 | PA      | $226621.21     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 05/01/2047#BH0967                                                                                                 | CUSIP: 3140GPCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      119168 | PA      | $118941.43     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 04/01/2047#BH1623                                                                                                 | CUSIP: 3140GPYV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20651 | PA      | $20611.90      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 06/01/2047#BH4576                                                                                                 | CUSIP: 3140GTCN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59423 | PA      | $59309.76      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                                                   | DUKE ENERGY CAROLINAS LLC 3.7% 12/01/2047                                                                                        | CUSIP: 26442CAT1<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     1047000 | PA      | $809536.92     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                                                       | FLORIDA PWR and LT CO 3.7% 12/01/2047                                                                                            | CUSIP: 341081FP7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      284000 | PA      | $222191.54     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 MTG TR                                                                                          | CD MTG TR 2017-CD6 A3 3.104% 11/13/2050                                                                                          | CUSIP: 125039AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      964022 | PA      | $957143.18     | 0.00%             | 2050-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                                                         | ELEVANCE HEALTH INC 3.65% 12/01/2027                                                                                             | CUSIP: 036752AB9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     1260000 | PA      | $1251286.50    | 0.00%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 11/01/2032#MA3187                                                                                                 | CUSIP: 31418CRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32467 | PA      | $31299.83      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2017-ASHF                                                                           | MORGAN STANLEY CAPITAL I INC TSFR1M+125 11/15/2034 144A                                                                          | CUSIP: 61691KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      890000 | PA      | $873917.88     | 0.00%             | 2034-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                                                 | ROYAL CARIBBEAN CRUISES LTD 3.7% 03/15/2028                                                                                      | CUSIP: 780153AW2<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      189000 | PA      | $186487.93     | 0.00%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NIGERIA REPUBLIC OF                                                                                         | NIGERIA REPUBLIC 6.5% 11/28/2027 REGS                                                                                            | CUSIP: N/A<br>LEI: 549300GSBZD84TNEQ285       | Long             | DBT              | NUSS              | NG        |      300000 | PA      | $301875.00     | 0.00%             | 2027-11-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3.187% 09/25/2027                                                                                 | CUSIP: 3137FBU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1167491 | PA      | $1154408.65    | 0.00%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CCUBS COML MTG TR 2017-C1                                                                                   | CCUBS COML MTG TR 2017-C1 A3 3.283% 11/15/2050                                                                                   | CUSIP: 12508GAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3909496 | PA      | $3835937.95    | 0.01%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TERRAFORM POWER OPERATING LLC                                                                               | TERRAFORM POWER OPERATING LLC 5% 01/31/2028 144A                                                                                 | CUSIP: 88104LAE3<br>LEI: 5493000S2OLR3UT5BE13 | Long             | DBT              | CORP              | US        |      130000 | PA      | $129772.57     | 0.00%             | 2028-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.375% 05/01/2047                                | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    26133000 | PA      | $21920630.09   | 0.05%             | 2047-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE ED LN TR 2017-B                                                                                 | SMB PRIVATE ED LN TR 2017-B 3.5% 12/16/2041 144A                                                                                 | CUSIP: 83189DAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $492102.90     | 0.00%             | 2041-12-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 11/20/2047#784391                                                                                                   | CUSIP: 3622A22Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4962120 | PA      | $4629551.92    | 0.01%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                                         | SYNCHRONY FINANCIAL 3.95% 12/01/2027                                                                                             | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     1420000 | PA      | $1408276.14    | 0.00%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PAKISTAN, ISLAMIC REP OF                                                                                    | PAKISTAN ISLAMIC REP OF 6.875% 12/05/2027 144A                                                                                   | CUSIP: 740840AC7<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |      200000 | PA      | $200160.44     | 0.00%             | 2027-12-05      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC AND GAS CO                                                                          | PUBLIC SERVICE ELECTRIC AND GAS CO 3.6% 12/01/2047                                                                               | CUSIP: 74456QBT2<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |      410000 | PA      | $314737.98     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                                                       | INDONESIA REPUBLIC OF 3.5% 01/11/2028                                                                                            | CUSIP: 455780CD6<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     6300000 | PA      | $6227156.25    | 0.01%             | 2028-01-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JELD-WEN INC                                                                                                | JELD-WEN INC 4.875% 12/15/2027 144A                                                                                              | CUSIP: 475795AD2<br>LEI: 549300XWE6NM0N1HFW16 | Long             | DBT              | CORP              | US        |     1077000 | PA      | $924934.92     | 0.00%             | 2027-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AIR CDA PASS THRU TR 2017-1                                                                                 | AIR CDA PASS THRU TR 2017-1 3.3% 07/15/2031 144A                                                                                 | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      375336 | PA      | $358985.13     | 0.00%             | 2031-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTRAL GARDEN and PET CO                                                                                   | CENTRAL GARDEN and PET CO 5.125% 02/01/2028                                                                                      | CUSIP: 153527AM8<br>LEI: 5493004DVZLD37DJ0H83 | Long             | DBT              | CORP              | US        |       15000 | PA      | $14984.96      | 0.00%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 12/01/2047#G08792                                                                                                 | CUSIP: 3128MJ3A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      769941 | PA      | $723727.63     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHLMC MULTIFAM STRUCTURED PASS THROUGH K071 A2 3.286% 11/25/2027                                                                 | CUSIP: 3137FCLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2100000 | PA      | $2080635.48    | 0.00%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 12/01/2045#G60397                                                                                                   | CUSIP: 31335ANN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14748 | PA      | $14390.27      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                                                  | STANDARD INDUSTRIES INC/NJ 4.75% 01/15/2028 144A                                                                                 | CUSIP: 853496AD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3618000 | PA      | $3608028.43    | 0.01%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHURCHILL DOWNS INC                                                                                         | CHURCHILL DOWNS INC 4.75% 01/15/2028 144A                                                                                        | CUSIP: 171484AE8<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |      170000 | PA      | $169239.71     | 0.00%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                                          | CENOVUS ENERGY INC 5.25% 06/15/2037                                                                                              | CUSIP: 15135UAP4<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     1199000 | PA      | $1172899.88    | 0.00%             | 2037-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017                                                                                | WELLS FARGO COML MTG TR 2017 C42 XA CSTR 12/15/2050                                                                              | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    28706789 | PA      | $409350.20     | 0.00%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                                           | IRON MOUNTAIN INC 5.25% 03/15/2028 144A                                                                                          | CUSIP: 46284VAE1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |      248000 | PA      | $247563.07     | 0.00%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                                                | COMCAST CORP 3.999% 11/01/2049                                                                                                   | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |        3000 | PA      | $2267.22       | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                                                | COMCAST CORP 3.969% 11/01/2047                                                                                                   | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       32000 | PA      | $24576.56      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C7                                                                                     | UBSCM 2017-C7 XA CSTR 12/50                                                                                                      | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12954032 | PA      | $212249.22     | 0.00%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3.303% 11/25/2027                                                                                 | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5976848 | PA      | $5920023.72    | 0.01%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 11/20/2046#MA4070                                                                                                     | CUSIP: 36179SQX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      310730 | PA      | $302005.92     | 0.00%             | 2046-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                                                          | CREDIT AGRICOLE SA 4%/VAR 01/10/2033 144A                                                                                        | CUSIP: 225313AK1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |      261000 | PA      | $257518.30     | 0.00%             | 2033-01-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM TSFR12M+91.513 11/20/2067                                                                           | CUSIP: 38375U3B4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      452872 | PA      | $454716.78     | 0.00%             | 2067-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                                                                    | NEW YORK LIFE GLOBAL FDG 3% 01/10/2028 144A                                                                                      | CUSIP: 64952WCX9<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |      107000 | PA      | $104999.63     | 0.00%             | 2028-01-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 4% 01/01/2036#G30933                                                                                                   | CUSIP: 3132J4HK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      889674 | PA      | $889425.31     | 0.00%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 12/20/2047#MA4900                                                                                                   | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      870077 | PA      | $815569.72     | 0.00%             | 2047-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043                                                                      | CUSIP: 3136AA4A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      291396 | PA      | $272648.42     | 0.00%             | 2043-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                                                | UBS GROUP AG 3.869%/VAR 01/12/2029 144A                                                                                          | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     6800000 | PA      | $6758864.15    | 0.02%             | 2029-01-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042                                                                      | CUSIP: 3136AA2T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      392299 | PA      | $368898.58     | 0.00%             | 2042-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042                                                                          | CUSIP: 3137AWAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      297540 | PA      | $281265.56     | 0.00%             | 2042-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2015-1                                                                           | NAVIENT STUDENT LOAN TRUST 2015-1 A2 SOFR30A+71.448 04/25/2040                                                                   | CUSIP: 63939FAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1550026 | PA      | $1505730.97    | 0.00%             | 2040-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                                                      | SEMPRA 4% 02/01/2048                                                                                                             | CUSIP: 816851BJ7<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |      965000 | PA      | $746808.11     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 09/01/2046#G08729                                                                                                 | CUSIP: 3128MJY38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      160064 | PA      | $160393.77     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARAMARK SERVICES INC                                                                                        | ARAMARK SERVICES INC 5% 02/01/2028 144A                                                                                          | CUSIP: 038522AQ1<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |     1490000 | PA      | $1490889.53    | 0.00%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 04/01/2027#AB4924                                                                                                   | CUSIP: 31417BPJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      137337 | PA      | $136189.83     | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                                            | CSC HOLDINGS LLC 5.375% 02/01/2028 144A                                                                                          | CUSIP: 126307AS6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      399000 | PA      | $289203.66     | 0.00%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 05/01/2030#AS4956                                                                                                   | CUSIP: 3138WEQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      175511 | PA      | $172548.38     | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 01/01/2032#AS8610                                                                                                   | CUSIP: 3138WJR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33059 | PA      | $32341.17      | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OLIN CORP                                                                                                   | OLIN CORP 5% 02/01/2030                                                                                                          | CUSIP: 680665AK2<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |       65000 | PA      | $63881.27      | 0.00%             | 2030-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HOLOGIC INC                                                                                                 | HOLOGIC INC 4.625% 02/01/2028 144A                                                                                               | CUSIP: 436440AM3<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |       33000 | PA      | $33027.89      | 0.00%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 3.509%/VAR 01/23/2029                                                                                      | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     9550000 | PA      | $9451172.21    | 0.02%             | 2029-01-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                                                     | PHILIPPINES REPUBLIC OF 3% 02/01/2028                                                                                            | CUSIP: 718286CC9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     1130000 | PA      | $1105987.50    | 0.00%             | 2028-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 3.772%/VAR 01/24/2029                                                                                             | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2700000 | PA      | $2682137.23    | 0.01%             | 2029-01-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 3.814%/VAR 04/23/2029                                                                              | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     7810000 | PA      | $7756690.89    | 0.02%             | 2029-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 08/47#MA4654                                                                                                        | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      186049 | PA      | $186314.40     | 0.00%             | 2047-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FHLMC MULTIFAM STRUCTURED PASS THROUGH 2018-K072 A2 3.444% 12/25/2027                                                            | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3300000 | PA      | $3275867.43    | 0.01%             | 2027-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOC ESCROW LTD                                                                                              | VOC ESCROW LTD 5% 02/15/2028 144A                                                                                                | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     1400000 | PA      | $1399751.08    | 0.00%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                                                       | MIDAMERICAN ENERGY CO 3.65% 08/01/2048                                                                                           | CUSIP: 595620AS4<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |       58000 | PA      | $43945.39      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES A GE CO LLC / BAKER HUGHES CO-OBLIGOR INC                                                      | BAKER HUGHES A GE CO LLC / CO-OBLIGOR INC 4.08% 12/15/2047                                                                       | CUSIP: 05723KAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       56000 | PA      | $45275.01      | 0.00%             | 2047-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3% 02/15/2048                                                                                        | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    33151500 | PA      | $25323343.15   | 0.06%             | 2048-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                                                    | SERVICE PROPERTIES TRUST 4.375% 02/15/2030                                                                                       | CUSIP: 44106MAY8<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |      200000 | PA      | $164536.18     | 0.00%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2018-1 CLASS AA PASS THROUGH TRUST                                                          | UNITED AIRLS INC 2018-1 PASS THRU TRS 3.5% 09/01/2031                                                                            | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      743631 | PA      | $718813.56     | 0.00%             | 2031-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                                                | COMCAST CORP 3.9% 03/01/2038                                                                                                     | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      435000 | PA      | $381989.28     | 0.00%             | 2038-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                                                | COMCAST CORP 4% 03/01/2048                                                                                                       | CUSIP: 20030NCK5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      150000 | PA      | $115485.95     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                                                     | MPLX LP 4.5% 04/15/2038                                                                                                          | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     1125000 | PA      | $1032151.77    | 0.00%             | 2038-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                                                     | MPLX LP 4.7% 04/15/2048                                                                                                          | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     2335000 | PA      | $1960920.51    | 0.00%             | 2048-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 01/48#MA4962                                                                                                        | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      172182 | PA      | $161287.64     | 0.00%             | 2048-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA VAR 01/25/2028                                                                                    | CUSIP: 3136B0YM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      674307 | PA      | $661677.66     | 0.00%             | 2028-01-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DIVERSIFIED HEALTHCARE TR                                                                                   | DIVERSIFIED HEALTHCARE TR 4.75% 02/15/2028                                                                                       | CUSIP: 81721MAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2292000 | PA      | $2198336.73    | 0.00%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 12/46#AS8572                                                                                                      | CUSIP: 3138WJQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1276792 | PA      | $1200751.88    | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 06/01/2047#BE3702                                                                                                   | CUSIP: 3140FPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80013 | PA      | $77554.81      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                                                      | COMMONWEALTH EDISON CO 4% 03/01/2048                                                                                             | CUSIP: 202795JM3<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |        8000 | PA      | $6478.44       | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2047#BM2005                                                                                                   | CUSIP: 3140J6GP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      136330 | PA      | $132142.01     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 11/01/2032#BJ1634                                                                                                   | CUSIP: 3140H2Y85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43474 | PA      | $42486.46      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 11/20/2047#MA4837                                                                                                   | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      245232 | PA      | $229869.56     | 0.00%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3.35% 01/25/2028                                                                                  | CUSIP: 3137FETN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3600000 | PA      | $3568962.96    | 0.01%             | 2028-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 3.55% 03/01/2038                                                                                                       | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1335000 | PA      | $1132560.83    | 0.00%             | 2038-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                                                      | MOTOROLA SOLUTIONS INC 4.6% 02/23/2028                                                                                           | CUSIP: 620076BL2<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     1075000 | PA      | $1086135.14    | 0.00%             | 2028-02-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                                                       | FLORIDA PWR and LT CO 3.95% 03/01/2048                                                                                           | CUSIP: 341081FQ5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |       19000 | PA      | $15494.04      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORTHWEST PIPELINE CORP                                                                                     | NORTHWEST PIPELINE CORP 4% 04/01/2027                                                                                            | CUSIP: 66775VAB1<br>LEI: 549300FFKMN9OW536A14 | Long             | DBT              | CORP              | US        |     3175000 | PA      | $3170133.14    | 0.01%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                                                         | ELEVANCE HEALTH INC 4.101% 03/01/2028                                                                                            | CUSIP: 036752AG8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     1570000 | PA      | $1570622.55    | 0.00%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                                                                                      | CHUBB INA HOLDINGS INC 1.55% 03/15/2028                                                                                          | CUSIP: 171239AA4<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |     4600000 | PA      | $5223650.73    | 0.01%             | 2028-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 4.125% 03/01/2048                                                                                  | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     1139000 | PA      | $884963.41     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 3.65% 03/01/2028                                                                                   | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     3929000 | PA      | $3876447.42    | 0.01%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                                             | CVS HEALTH CORP 4.78% 03/25/2038                                                                                                 | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     1650000 | PA      | $1568370.87    | 0.00%             | 2038-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                                             | CVS HEALTH CORP 5.05% 03/25/2048                                                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     3750000 | PA      | $3364554.64    | 0.01%             | 2048-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TR 2017-ATRM                                                                         | ATRIUM HOTEL PORTFOLIO TR 2017-ATRM TSFR1M+122.7 11/15/2019 144A                                                                 | CUSIP: 04965JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2468048 | PA      | $2431026.85    | 0.01%             | 2036-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PARAGUAY REPUBLIC OF                                                                                        | PARAGUAY REPUBLIC OF 5.6% 03/13/2048 REGS                                                                                        | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |      400000 | PA      | $380550.00     | 0.00%             | 2048-03-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                                                        | EDISON INTERNATIONAL 4.125% 03/15/2028                                                                                           | CUSIP: 281020AM9<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     4200000 | PA      | $4151154.17    | 0.01%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 11/01/2047#MA3184                                                                                                 | CUSIP: 31418CRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      296590 | PA      | $295747.49     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 03/01/2048#MA3332                                                                                                 | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      612354 | PA      | $574928.18     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 01/01/2047#BD2436                                                                                                 | CUSIP: 3140F9V69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      305613 | PA      | $287411.97     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                                                                                       | BROOKLYN UNION GAS CO 4.273% 03/15/2048 144A                                                                                     | CUSIP: 114259AQ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |       29000 | PA      | $23728.40      | 0.00%             | 2048-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC                                                                                      | SPRINT SPECTRUM CO LLC 5.152% 09/20/2029 144A                                                                                    | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6327500 | PA      | $6386798.74    | 0.01%             | 2029-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 12/01/2047#CA0855                                                                                                 | CUSIP: 3140Q75R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      353344 | PA      | $332631.67     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                                                                | PERU LNG SRL 5.375% 03/22/2030 144A                                                                                              | CUSIP: 715604AA2<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |      150020 | PA      | $144722.79     | 0.00%             | 2030-03-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 05/01/2046#Q40647                                                                                                 | CUSIP: 3132WDWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      309690 | PA      | $292650.31     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 03/01/2033#G18681                                                                                                   | CUSIP: 3128MMXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      273643 | PA      | $267247.77     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IVORY COAST (COTE D'IVOIRE)                                                                                 | IVORY COAST (COTE D'IVOIRE) 5.25% 03/22/2030 REGS                                                                                | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |     2973000 | PA      | $3427081.75    | 0.01%             | 2030-03-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B2 MTG TR                                                                                    | BENCHMARK 2018-B2 MTG TR 3.6147% 02/15/2051                                                                                      | CUSIP: 08161CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3500000 | PA      | $3460492.70    | 0.01%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3.6% 01/25/2028                                                                                   | CUSIP: 3137F4D41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8300000 | PA      | $8259466.95    | 0.02%             | 2028-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT LIGHT AND POWER CO(THE)                                                                         | CONNECTICUT LT and PWR CO 4% 04/01/2048                                                                                          | CUSIP: 207597EL5<br>LEI: 549300O45IUXEDS1VZ32 | Long             | DBT              | CORP              | US        |       69000 | PA      | $55908.06      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS 2018-TALL MTG TR                                                                                      | BBCMS 2018-TALL MORTGAGE TRUST TSFR1M+87.2 2 03/15/2037 144A                                                                     | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      525000 | PA      | $493569.09     | 0.00%             | 2037-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OHIO POWER CO                                                                                               | OHIO POWER CO 4.15% 04/01/2048                                                                                                   | CUSIP: 677415CQ2<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      129000 | PA      | $102688.79     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                                              | FAIRFAX FINANCIAL HLDGS LTD 2.75% 03/29/2028 REGS                                                                                | CUSIP: N/A<br>LEI: GLS7OQD0WOEDI8YAP031       | Long             | DBT              | CORP              | CA        |     2100000 | PA      | $2427169.50    | 0.01%             | 2028-03-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                                                                               | SUTTER HEALTH 4.091% 08/15/2048                                                                                                  | CUSIP: 86944BAE3<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |      780000 | PA      | $644548.40     | 0.00%             | 2048-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.75% 04/01/2048                                 | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      895000 | PA      | $784296.41     | 0.00%             | 2048-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 02/48#CA1199                                                                                                        | CUSIP: 3140Q8KM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4966 | PA      | $4821.03       | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 04/48#CA1545                                                                                                        | CUSIP: 3140Q8WF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      105417 | PA      | $102343.88     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                                                                           | UNION ELECTRIC CO 4% 04/01/2048                                                                                                  | CUSIP: 906548CN0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |       59000 | PA      | $47598.94      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREMF 2018-K74 MORTGAGE TRUST                                                                               | FREMF 2018-K74 MORTGAGE TRUST VAR 02/25/2051 144A                                                                                | CUSIP: 30296LAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      292553 | PA      | $289152.98     | 0.00%             | 2051-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                                                          | PANAMA REPUBLIC OF 4.5% 04/16/2050                                                                                               | CUSIP: 698299BH6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      400000 | PA      | $304100.00     | 0.00%             | 2050-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                                                 | NUTRIEN LTD 4.9% 06/01/2043                                                                                                      | CUSIP: 67077MAR9<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     1325000 | PA      | $1219995.00    | 0.00%             | 2043-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 09/01/2032#U89009                                                                                                 | CUSIP: 3132H1AK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5263 | PA      | $5151.03       | 0.00%             | 2032-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5% 04/48#BD0512                                                                                                          | CUSIP: 3617BFR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       42069 | PA      | $42744.18      | 0.00%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STAR ENERGY GEOTHERMAL WAYANG WINDU LTD                                                                     | STAR ENERGY GEOTHERMAL WAYANG 6.75% 04/24/2033 REGS                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | VG        |      573750 | PA      | $592038.28     | 0.00%             | 2033-04-24      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 4.075%/VAR 04/23/2029                                                                                              | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    30785000 | PA      | $30767563.38   | 0.07%             | 2029-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| KAZMUAIGAZ NATIONAL CO JSC                                                                                  | KAZMUNAYGAS NATIONAL CO JSC 5.375% 04/24/2030 REGS                                                                               | CUSIP: N/A<br>LEI: 2138001H1M69RFJCSH88       | Long             | DBT              | CORP              | KZ        |      200000 | PA      | $204152.00     | 0.00%             | 2030-04-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYDNEY AIRPORT FINANCE CO PTY LTD                                                                           | SYDNEY ARPT FIN CO PTY LTD 1.75% 04/26/2028 REGS                                                                                 | CUSIP: N/A<br>LEI: 549300MJAANHLHOVTO40       | Long             | DBT              | CORP              | AU        |     1500000 | PA      | $1706647.87    | 0.00%             | 2028-04-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 4.223%/VAR 05/01/2029                                                                              | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1962000 | PA      | $1966044.33    | 0.00%             | 2029-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 4.411%/VAR 04/23/2039                                                                              | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1080000 | PA      | $1012735.47    | 0.00%             | 2039-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 4.457%/VAR 04/22/2039                                                                                             | CUSIP: 61744YAR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      158000 | PA      | $149903.73     | 0.00%             | 2039-04-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                                               | CA ST 4.6% 4/1/2038                                                                                                              | CUSIP: 13063DGE2<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |     1180000 | PA      | $1204078.37    | 0.00%             | 2038-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 20YR 3.5% 12/01/2036#BM3680                                                                                            | CUSIP: 3140J8CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94185 | PA      | $92474.73      | 0.00%             | 2036-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 20YR 3.5% 05/01/2036#BM3697                                                                                            | CUSIP: 3140J8DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       72804 | PA      | $71542.84      | 0.00%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNR 2010-135 ZA 4.5% 12/40                                                                                                       | CUSIP: 31398SE82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      385201 | PA      | $371705.71     | 0.00%             | 2040-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNA 2018-M4 A2 3.042% 03/25/28                                                                                                   | CUSIP: 3136B1XJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      200668 | PA      | $197634.61     | 0.00%             | 2028-03-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| TELE COLUMBUS AG and CO                                                                                     | TELE COLUMBUS AG and CO PIK 10% 01/01/2029 REGS                                                                                  | CUSIP: N/A<br>LEI: 3912004GMFDLY04RUQ19       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $77948.70      | 0.00%             | 2029-01-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.5% 03/01/2031#BC4411                                                                                                 | CUSIP: 3140EY3V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      325429 | PA      | $322500.26     | 0.00%             | 2031-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 12/01/2047#G61305                                                                                                   | CUSIP: 31335BNW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1549153 | PA      | $1502335.04    | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 2.875% 05/15/2028                                                                                                      | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    93050000 | PA      | $91701501.72   | 0.21%             | 2028-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3.125% 05/15/2048                                                                                    | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2553000 | PA      | $1990442.47    | 0.00%             | 2048-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 01/47#BE2975                                                                                                        | CUSIP: 3140FNJV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      123257 | PA      | $120395.59     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 02/01/2048#Q54192                                                                                                   | CUSIP: 3132XWUS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32033 | PA      | $31135.15      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 04/01/2046#V82292                                                                                                   | CUSIP: 3132L7RM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      146828 | PA      | $143354.12     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 07/01/2047#AS9968                                                                                                   | CUSIP: 3138WLCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      259320 | PA      | $252245.48     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 05/01/2048#BM3877                                                                                                   | CUSIP: 3140J8JX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      188007 | PA      | $182525.23     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 04/01/2048#BK3836                                                                                                   | CUSIP: 3140HHHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      109899 | PA      | $106694.65     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 04/01/2048#BM3700                                                                                                   | CUSIP: 3140J8DE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      461531 | PA      | $448940.44     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/47#BJ2132                                                                                                        | CUSIP: 3140H3LN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85516 | PA      | $83023.15      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 05/47#BM1277                                                                                                        | CUSIP: 3140J5M30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      479113 | PA      | $466042.76     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NATL MTG AS GTD RE PTT 3.1935% 02/25/2030                                                                                | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      699635 | PA      | $677393.65     | 0.00%             | 2030-02-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                                                      | CONSOLIDATED EDISON CO OF NY 4.5% 05/15/2058                                                                                     | CUSIP: 209111FQ1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |       23000 | PA      | $19217.27      | 0.00%             | 2058-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                                                | GLP CAP LP / GLP FING II INC 5.75% 06/01/2028                                                                                    | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3695000 | PA      | $3793907.76    | 0.01%             | 2028-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                                                    | VISTRA ENERGY TERM B-3 1LN 12/20/2030                                                                                            | CUSIP: 88233FAK6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | LON              | CORP              | US        |      414661 | PA      | $416257.89     | 0.00%             | 2030-12-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 4.95% 05/15/2028                                                                                              | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1239000 | PA      | $1258909.06    | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 05/48#BM3904                                                                                                        | CUSIP: 3140J8KS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      151476 | PA      | $154751.93     | 0.00%             | 2048-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 07/01/2047#Q49494                                                                                                 | CUSIP: 3132WPRQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      154501 | PA      | $154385.17     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 12/01/2047#                                                                                                       | CUSIP: 3128MJ3C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       82509 | PA      | $82369.28      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 09/01/2047#BH5155                                                                                                 | CUSIP: 3140GTWR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      445193 | PA      | $418261.50     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 3.5% 07/01/2032#G31067                                                                                                 | CUSIP: 3132J4MR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      492649 | PA      | $487390.11     | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 3.95% 12/01/2047                                                                                     | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1190000 | PA      | $899602.44     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                                                                                    | ENEL SPA 3.375%/VAR PERP REGS                                                                                                    | CUSIP: N/A<br>LEI: WOCMU6HCI0OJWNPRZS33       | Long             | DBT              | CORP              | IT        |      335000 | PA      | $389456.04     | 0.00%             | 2199-12-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 11/01/2032#BH5773                                                                                                 | CUSIP: 3140GUMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      124861 | PA      | $120416.43     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 11/01/2029#AS3743                                                                                                 | CUSIP: 3138WDER8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      267063 | PA      | $261326.76     | 0.00%             | 2029-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 3.419%/VAR 12/20/2028                                                                                | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     8079000 | PA      | $7978976.81    | 0.02%             | 2028-12-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3.9% 04/25/2028                                                                                   | CUSIP: 3137FEZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1600000 | PA      | $1602073.60    | 0.00%             | 2028-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                                                                       | NORFOLK SOUTHERN CORP 4.05% 08/15/2052                                                                                           | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |       29000 | PA      | $23089.77      | 0.00%             | 2052-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPIRIT AEROSYSTEMS INC                                                                                      | SPIRIT AEROSYSTEMS INC 4.6% 06/15/2028                                                                                           | CUSIP: 85205TAK6<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100523.30     | 0.00%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5% 06/20/2048#MA5266                                                                                                     | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1875472 | PA      | $1912612.00    | 0.00%             | 2048-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 01/20/2048#MA4964                                                                                                   | CUSIP: 36179TQR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      189577 | PA      | $189729.23     | 0.00%             | 2048-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION                                                                          | CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A                                                               | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      933139 | PA      | $923808.89     | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 6% 06/15/2048                                                                                                 | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      570000 | PA      | $559605.30     | 0.00%             | 2048-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 4.95% 06/15/2028                                                                                              | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2250000 | PA      | $2289064.28    | 0.01%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 5.8% 06/15/2038                                                                                               | CUSIP: 29278NAD5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2762000 | PA      | $2839650.29    | 0.01%             | 2038-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 01/01/2044#G07922                                                                                                 | CUSIP: 3128MAD30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1329221 | PA      | $1269839.23    | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GNR 2017-134 BA 2.5% 11/46                                                                                                       | CUSIP: 38380GF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      480899 | PA      | $444100.07     | 0.00%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                                                                                | NAVIENT CORP 6.75% 06/15/2026                                                                                                    | CUSIP: 63938CAJ7<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      120000 | PA      | $121271.76     | 0.00%             | 2026-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NATL MTG AS GTD RE PTT VAR 03/25/2028                                                                                    | CUSIP: 3136B1K86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      779684 | PA      | $767626.61     | 0.00%             | 2028-03-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 10/01/2047#BJ2421                                                                                                 | CUSIP: 3140H3VP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13988 | PA      | $13247.21      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                                         | ALEXANDRIA REAL EST EQUITS INC 4.7% 07/01/2030                                                                                   | CUSIP: 015271AN9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1615847.31    | 0.00%             | 2030-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 01/01/2044#G60271                                                                                                 | CUSIP: 31335AJQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      669429 | PA      | $639175.13     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2018-B                                                                     | SMB PRIVATE EDUCATION LOAN TRUST 2018-B TSFR1M+83.448 01/15/2037 144A                                                            | CUSIP: 78449LAC2<br>LEI: 549300INMCHM7L5O6M41 | Long             | ABS-CBDO         | CORP              | US        |      201430 | PA      | $201244.98     | 0.00%             | 2037-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BLUE RACER MIDSTREAM LLC / BLUE RACER FIN CORP                                                              | BLUE RACER MS LLC / BR FIN CORP 6.625% 07/15/2026 144A                                                                           | CUSIP: 095796AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      215000 | PA      | $215658.76     | 0.00%             | 2026-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 4.25% 06/15/2048                                                                                          | CUSIP: 91324PDL3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      575000 | PA      | $479611.05     | 0.00%             | 2048-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3.85% 05/25/2028                                                                                  | CUSIP: 3137FG6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5300000 | PA      | $5305365.72    | 0.01%             | 2028-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                                                     | BAYER US FIN II LLC 4.625% 06/25/2038 144A                                                                                       | CUSIP: 07274NAN3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |      570000 | PA      | $519431.00     | 0.00%             | 2038-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                                                     | BAYER US FIN II LLC 4.375% 12/15/2028 144A                                                                                       | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    19800000 | PA      | $19786429.67   | 0.04%             | 2028-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                                                     | DUKE ENERGY FLORIDA LLC 4.2% 07/15/2048                                                                                          | CUSIP: 26444HAF8<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |       91000 | PA      | $75617.48      | 0.00%             | 2048-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                                                     | BAYER US FIN II LLC 4.875% 06/25/2048 144A                                                                                       | CUSIP: 07274NAQ6<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     1930000 | PA      | $1634030.72    | 0.00%             | 2048-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                                             | XCEL ENERGY INC 4% 06/15/2028                                                                                                    | CUSIP: 98389BAV2<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1698577.51    | 0.00%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                                                     | ALABAMA POWER CO 4.3% 07/15/2048                                                                                                 | CUSIP: 010392FS2<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8468.72       | 0.00%             | 2048-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 09/39#G05624                                                                                                      | CUSIP: 3128M7SM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43806 | PA      | $44174.84      | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 03/46#BM3928                                                                                                      | CUSIP: 3140J8LJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      727964 | PA      | $733153.99     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 01/48#CA1576                                                                                                        | CUSIP: 3140Q8XE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      139446 | PA      | $142462.11     | 0.00%             | 2048-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                                                                    | BENCHMARK MTG TR 2018-B4 A5 4.121% 07/15/2051                                                                                    | CUSIP: 08161HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      949000 | PA      | $944529.55     | 0.00%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                                                  | PACIFICORP 4.125% 01/15/2049                                                                                                     | CUSIP: 695114CT3<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |      836000 | PA      | $638124.22     | 0.00%             | 2049-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                                          | DOMINICAN REPUBLIC 6% 07/19/2028 144A                                                                                            | CUSIP: 25714PDZ8<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     1429000 | PA      | $1463296.00    | 0.00%             | 2028-07-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                                                     | BAYER US FIN II LLC 4.4% 07/15/2044 144A                                                                                         | CUSIP: 07274NBF9<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     3231000 | PA      | $2611560.50    | 0.01%             | 2044-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                                                                    | BENCHMARK 2018-B4 MTG TR 3.976% 07/15/2051                                                                                       | CUSIP: 08161HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1329750 | PA      | $1319842.19    | 0.00%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                                                  | JPMCC 2018-WPT XAFX CSTR 07/23 144A                                                                                              | CUSIP: 46645WAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $217997.00     | 0.00%             | 2033-07-05      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                                                  | J P MORGAN CHASE COML MTG SECS TR 2018-WPT DFX 5.3503% 07/05/2033 144A                                                           | CUSIP: 46645WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1414000 | PA      | $773878.38     | 0.00%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  3 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                                                  | J P MORGAN CHASE COML MTG SECS TR 2018-WPT CFX 4.95% 07/05/2023 144A                                                             | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      919000 | PA      | $625030.28     | 0.00%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                                                  | J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A                                                                | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2700000 | PA      | $2565054.00    | 0.01%             | 2033-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KINROSS GOLD CORP                                                                                           | KINROSS GOLD CORP 4.5% 07/15/2027                                                                                                | CUSIP: 496902AQ0<br>LEI: 254900O9KHF2A1ZXPT47 | Long             | DBT              | CORP              | CA        |    10910000 | PA      | $10911696.18   | 0.02%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3.5% 07/01/2032#G16459                                                                                                 | CUSIP: 3128MFMG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      148855 | PA      | $147396.42     | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT AIRCRAFT LEASE LIM                                                                              | THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A                                                                         | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2493560 | PA      | $2494806.56    | 0.01%             | 2038-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COMM 2018-HOME MORTGAGE TRUST                                                                               | COMM 2018-HOME MORTGAGE TRUST 3.815% 04/10/2033 144A                                                                             | CUSIP: 20048JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      699201 | PA      | $687284.45     | 0.00%             | 2033-04-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-AON                                                                  | J P MORGAN CHASE COML MTG SECS TR 2018-AON 4.1283% 07/05/2031 144A                                                               | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1700000 | PA      | $1487500.00    | 0.00%             | 2031-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOODGREEN 2018-1                                                                                            | GOODGREEN 2018-1 VAR 10/15/2053 144A                                                                                             | CUSIP: 38218GAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       94103 | PA      | $87498.26      | 0.00%             | 2053-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3% 08/15/2048                                                                                        | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7662500 | PA      | $5822901.41    | 0.01%             | 2048-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 08/01/2048#CA2190                                                                                                   | CUSIP: 3140Q9NG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73423 | PA      | $71007.36      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ESKOM HLDGS LTD                                                                                             | ESKOM HLDGS LTD 6.35% 08/10/2028 144A                                                                                            | CUSIP: 29646AAC0<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |     1298000 | PA      | $1337345.63    | 0.00%             | 2028-08-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ESKOM HLDGS LTD                                                                                             | ESKOM HLDGS LTD 6.35% 08/10/2028 REGS                                                                                            | CUSIP: N/A<br>LEI: 3789001900ED06F65111       | Long             | DBT              | CORP              | ZA        |      213000 | PA      | $219456.56     | 0.00%             | 2028-08-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ESKOM HLDGS LTD                                                                                             | ESKOM HLDGS LTD 8.45% 08/10/2028 144A                                                                                            | CUSIP: 29646AAD8<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |      671000 | PA      | $718557.13     | 0.00%             | 2028-08-10      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ESKOM HLDGS LTD                                                                                             | ESKOM HLDGS LTD 8.45% 08/10/2028 REGS                                                                                            | CUSIP: N/A<br>LEI: 3789001900ED06F65111       | Long             | DBT              | CORP              | ZA        |     3699000 | PA      | $3961166.63    | 0.01%             | 2028-08-10      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 4.65% 08/01/2028                                                                                     | CUSIP: 694308JC2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     2319000 | PA      | $2331738.89    | 0.01%             | 2028-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM TSFR1M+94.448 08/20/2066                                                                            | CUSIP: 38376RXT8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       38478 | PA      | $38592.61      | 0.00%             | 2066-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                                                | SM ENERGY CO 6.625% 01/15/2027                                                                                                   | CUSIP: 78454LAP5<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |      107000 | PA      | $107123.59     | 0.00%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE NATL ASSN MCLEAN VA                                                                             | CAPITAL ONE NATL ASN MCLEAN VA 4.682%/VAR 08/09/2028                                                                             | CUSIP: 25466AAN1<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |     3503000 | PA      | $3624809.50    | 0.01%             | 2028-08-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 06/01/2043#G07425                                                                                                   | CUSIP: 3128M9SN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      197279 | PA      | $193567.27     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                                                     | WESTERN GAS PARTNERS LP 4.75% 08/15/2028                                                                                         | CUSIP: 958254AK0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     1465000 | PA      | $1478598.91    | 0.00%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                                                      | COMMONWEALTH EDISON CO 3.7% 08/15/2028                                                                                           | CUSIP: 202795JN1<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |      250000 | PA      | $248933.96     | 0.00%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 5.625% 09/01/2028                                                                                                        | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     5049000 | PA      | $5214186.87    | 0.01%             | 2028-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                                                                            | WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051                                                                              | CUSIP: 95001QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10974548 | PA      | $177680.13     | 0.00%             | 2051-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CWALT ALTERNATVE LN TR 2006 OC10                                                                            | CWALT ALTERNATVE LN TR 06 OC10 TSFR1M+46 11/25/2036                                                                              | CUSIP: 23245FAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2195534 | PA      | $1975864.68    | 0.00%             | 2036-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2018-BOP                                                                            | MORGAN STANLEY CAP I TR 2018-BOP A TSFR1M+89.7 06/15/2035 144A                                                                   | CUSIP: 61768FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4512912 | PA      | $3678023.40    | 0.01%             | 2033-08-15      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| CHL MTG PASS THRU TR 2007-4                                                                                 | CHL MTG PASS THRU TR 2007-4 1A47 6% 05/25/2037                                                                                   | CUSIP: 12544RBY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      733883 | PA      | $310201.61     | 0.00%             | 2037-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MTG TR 2007-3                                                                                       | SEQUOIA MTG TR 2007-3 CSTR 07/20/2037                                                                                            | CUSIP: 81744MAM4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      364235 | PA      | $287818.40     | 0.00%             | 2037-07-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 02/01/2045#G07949                                                                                                   | CUSIP: 3128MAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      925088 | PA      | $906238.30     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 08/20/2048#MA5398                                                                                                     | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3103746 | PA      | $2999142.07    | 0.01%             | 2048-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3.08% 01/25/2031                                                                                  | CUSIP: 3137BPVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      258704 | PA      | $248395.06     | 0.00%             | 2031-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 02/20/2048#MA5021                                                                                                   | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      362422 | PA      | $362713.31     | 0.00%             | 2048-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 03/20/2048#MA5079                                                                                                   | CUSIP: 36179TUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30746 | PA      | $30771.08      | 0.00%             | 2048-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                                                                    | GS MTG SECS TR 2018-GS10 A5 4.155% 07/10/2051                                                                                    | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      700000 | PA      | $691848.15     | 0.00%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 05/01/2048#CA1710                                                                                                 | CUSIP: 3140Q83U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65884 | PA      | $65634.71      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                                           | GENERAL MOTORS CO 5.95% 04/01/2049                                                                                               | CUSIP: 37045VAT7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9813.07       | 0.00%             | 2049-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC AND GAS CO                                                                          | PUBLIC SERVICE ELECTRIC AND GAS CO 3.65% 09/01/2028                                                                              | CUSIP: 74456QBX3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |      960000 | PA      | $953226.79     | 0.00%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 11/01/2046#Q44628                                                                                                 | CUSIP: 3132WJEA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      940746 | PA      | $885750.13     | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C12                                                                      | UBS COMMERCIAL MORTGAGE TRUST 2018-C12 4.1519% 08/15/2051                                                                        | CUSIP: 90353DAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75170 | PA      | $75031.54      | 0.00%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FNA 2018-M10 A2 CSTR 07/28                                                                                                       | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      589086 | PA      | $584322.01     | 0.00%             | 2028-07-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.5% 03/33#BJ0669                                                                                                      | CUSIP: 3140H1W71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      199434 | PA      | $196906.91     | 0.00%             | 2033-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE NATL ASSN MCLEAN VA                                                                             | CAPITAL ONE NATL ASN MCLEAN VA 4.65% 09/13/2028                                                                                  | CUSIP: 25466AAP6<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |      500000 | PA      | $507567.05     | 0.00%             | 2028-09-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 01/01/2048#CA1567                                                                                                 | CUSIP: 3140Q8W50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      159487 | PA      | $159033.81     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 02/01/2048#CA1218                                                                                                 | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      945297 | PA      | $942316.29     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE TECH CORP                                                                            | WESTINGHOUSE AIR BRAKE TECH CORP STEP 09/15/2028                                                                                 | CUSIP: 960386AM2<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    10335000 | PA      | $10460871.83   | 0.02%             | 2028-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 10/01/2046#BC4754                                                                                                   | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1465118 | PA      | $1431099.71    | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 07/01/46#BC1443                                                                                                     | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1323731 | PA      | $1293823.22    | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 09/46#BC2843                                                                                                        | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1589394 | PA      | $1553484.31    | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 01/01/2048#Q53334                                                                                                   | CUSIP: 3132XVV42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      176030 | PA      | $170600.26     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE ED LN TR 2018-C                                                                                 | SMB PRIVATE ED LN TR 2018-C TSFR1M+86.448 11/15/2035 144A                                                                        | CUSIP: 78449QAC1<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-CBDO         | CORP              | US        |      327447 | PA      | $327202.44     | 0.00%             | 2035-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                                                 | Fidelity Sai Total Bond Fund                                                                                                     | CUSIP: 31635T849<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |   345333558 | NS      | $3187428742.75 | 7.21%             |  |  |  | No            |                  1 | On Loan: No      |
| BRIGHTSTAR LOTTERY PLC                                                                                      | BRIGHTSTAR LOTTERY PLC 6.25% 01/15/2027 144A                                                                                     | CUSIP: 460599AD5<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $201799.20     | 0.00%             | 2027-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                                                | GLP CAP LP / GLP FING II INC 5.3% 01/15/2029                                                                                     | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      822000 | PA      | $837012.19     | 0.00%             | 2029-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 09/20/2048#MA5466                                                                                                     | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      363415 | PA      | $351167.00     | 0.00%             | 2048-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS and ELECTRIC CO                                                                               | BALTIMORE GAS and ELECTRIC CO 4.25% 09/15/2048                                                                                   | CUSIP: 059165EK2<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |       40000 | PA      | $33449.08      | 0.00%             | 2048-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DP WORLD PLC                                                                                                | DP WORLD PLC 2.375% 09/25/2026 144A                                                                                              | CUSIP: N/A<br>LEI: 549300M3U2DNF4QVSS04       | Long             | DBT              | CORP              | AE        |     1430000 | PA      | $1653078.12    | 0.00%             | 2026-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                                                       | TRANSCONTINENTAL GAS LINE LLC 4.6% 03/15/2048                                                                                    | CUSIP: 893574AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      350000 | PA      | $306683.60     | 0.00%             | 2048-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 03/01/2046#BM4548                                                                                                 | CUSIP: 3140J9BS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      819210 | PA      | $825009.94     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2018-C13                                                                                    | UBS COML MTG TR 2018-C13 A3 4.0694% 10/15/2051                                                                                   | CUSIP: 90353KAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4913900 | PA      | $4888865.28    | 0.01%             | 2051-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                                           | NATWEST GROUP PLC 5.076%/VAR 01/27/2030                                                                                          | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      400000 | PA      | $409573.19     | 0.00%             | 2030-01-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                                                | COMCAST CORP 4.25% 10/15/2030                                                                                                    | CUSIP: 20030NCU3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      435000 | PA      | $435942.70     | 0.00%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                                                                         | JAPAN GOVERNMENT OF 0.1% 09/20/2028                                                                                              | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   114850000 | PA      | $715936.69     | 0.00%             | 2028-09-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3.9% 08/25/2028                                                                                   | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1200000 | PA      | $1202644.56    | 0.00%             | 2028-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK CR CARD ISSUANCE TR                                                                                | CITIBANK CR CARD ISSUANCE TR 18-A7 A7 3.96% 10/15/2030                                                                           | CUSIP: 17305EGS8<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-CBDO         | CORP              | US        |     5400000 | PA      | $5424136.38    | 0.01%             | 2030-10-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                                                                                         | TOLEDO HOSPITAL/THE 5.325% 11/15/2028                                                                                            | CUSIP: 889184AC1<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |     2792000 | PA      | $2840977.26    | 0.01%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                                                    | CONSTELLATION BRANDS INC 4.65% 11/15/2028                                                                                        | CUSIP: 21036PBC1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |      292000 | PA      | $296254.13     | 0.00%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                                              | NRG ENERGY INC 5.75% 01/15/2028                                                                                                  | CUSIP: 629377CE0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      585000 | PA      | $586622.21     | 0.00%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 12/01/2042#AB7124                                                                                                 | CUSIP: 31417D4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      605801 | PA      | $578750.67     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                                                         | CONSUMERS ENERGY CO 4.35% 04/15/2049                                                                                             | CUSIP: 210518DD5<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |       14000 | PA      | $11967.63      | 0.00%             | 2049-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 4.05% 09/25/2028                                                                                  | CUSIP: 3137FJXV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1509386.55    | 0.00%             | 2028-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3.375% 11/15/2048                                                                                    | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    22847000 | PA      | $18543553.25   | 0.04%             | 2048-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 09/42#G07184                                                                                                        | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      175263 | PA      | $172339.14     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CORNING INC                                                                                                 | CORNING INC 5.35% 11/15/2048                                                                                                     | CUSIP: 219350BK0<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |      146000 | PA      | $143693.58     | 0.00%             | 2048-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 11/01/2048#MA3521                                                                                                   | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1755148 | PA      | $1697393.15    | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                                                     | MPLX LP 4.8% 02/15/2029                                                                                                          | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     1505000 | PA      | $1529145.60    | 0.00%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                                               | VOLKSWAGEN GROUP AMER FIN LLC 4.75% 11/13/2028 144A                                                                              | CUSIP: 928668AU6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     3941000 | PA      | $3984540.09    | 0.01%             | 2028-11-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA VAR 08/25/2028                                                                                    | CUSIP: 3136B27L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      964257 | PA      | $955723.64     | 0.00%             | 2028-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| INDONESIA ASAHAN ALUMINIUM PT / MINERAL INDUSTRI INDONESIA PERSERO PT                                       | INDONESIA ASAHAN ALUMINIUM PT / MINERAL INDUSTRI INDONESIA PERSERO PT 6.53% 11/15/2028 144A                                      | CUSIP: 74445PAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | ID        |     1750000 | PA      | $1858828.13    | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 11/01/2047#Q51803                                                                                                 | CUSIP: 3132XUAD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      412944 | PA      | $384544.58     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 09/01/2048#Q58491                                                                                                 | CUSIP: 3132Y2NH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      111265 | PA      | $104551.44     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMOURS INC                                                                                       | DUPONT DE NEMOURS INC 5.419% 11/15/2048                                                                                          | CUSIP: 26078JAF7<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |      115000 | PA      | $109544.91     | 0.00%             | 2048-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMOURS INC                                                                                       | DUPONT DE NEMOURS INC 5.319% 11/15/2038                                                                                          | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |      121000 | PA      | $123350.66     | 0.00%             | 2038-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.5% 12/01/2030#BM4716                                                                                                 | CUSIP: 3140J9G21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      292798 | PA      | $290204.18     | 0.00%             | 2030-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HORIZON 2018                                                                                                | HORIZON 2018-1 A 4.458% 12/15/2038 144A                                                                                          | CUSIP: 440405AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1712823 | PA      | $1705069.43    | 0.00%             | 2038-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 12/01/2047#G61657                                                                                                   | CUSIP: 31335BZW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      107480 | PA      | $109929.94     | 0.00%             | 2047-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                                            | BAT CAPITAL CORP 3.557% 08/15/2027                                                                                               | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     2939000 | PA      | $2910628.33    | 0.01%             | 2027-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                                            | BAT CAPITAL CORP 4.39% 08/15/2037                                                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     9056000 | PA      | $8388740.43    | 0.02%             | 2037-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                                                | AT and T INC 4.3% 02/15/2030                                                                                                     | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     3709000 | PA      | $3729724.22    | 0.01%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF CSTR 09/25/2030                                                                                       | CUSIP: 3136B3DE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      567248 | PA      | $563144.08     | 0.00%             | 2030-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                                                      | CONSOLIDATED EDISON CO OF NY 4.65% 12/01/2048                                                                                    | CUSIP: 209111FT5<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |      139000 | PA      | $123253.32     | 0.00%             | 2048-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                                                 | SUNOCO LP / SUNOCO FIN CORP 5.875% 03/15/2028                                                                                    | CUSIP: 86765LAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      230000 | PA      | $230730.71     | 0.00%             | 2028-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| POWER FINANCE CORP LTD                                                                                      | POWER FINANCE CORP LTD 6.15% 12/06/2028 144A                                                                                     | CUSIP: 73928QAA6<br>LEI: 3358003Q6D9LIJJZ1614 | Long             | DBT              | CORP              | IN        |     3050000 | PA      | $3200883.50    | 0.01%             | 2028-12-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12                                                              | WELLS FARGO TR 2018-C48 A5 4.302% 01/15/2052                                                                                     | CUSIP: 95001RAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3181000 | PA      | $3188584.78    | 0.01%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 10/01/2048#BM4676                                                                                                   | CUSIP: 3140J9FS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      664475 | PA      | $645724.41     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 10/01/2048#MA3496                                                                                                 | CUSIP: 31418C3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42034 | PA      | $41861.64      | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 02/01/2048#BK1653                                                                                                 | CUSIP: 3140HEZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       66918 | PA      | $66748.43      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                                                                      | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                                                                          | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3837000 | PA      | $3816406.05    | 0.01%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                                         | PETROLEOS MEXICANOS 6.5% 01/23/2029                                                                                              | CUSIP: 71654QCP5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      990000 | PA      | $1001781.00    | 0.00%             | 2029-01-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FREMF 2018-K85 MORTGAGE TRUST                                                                               | FREMF 2018-K85 MORTGAGE TRUST VAR 11/25/2028 144A                                                                                | CUSIP: 30308KAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $989720.60     | 0.00%             | 2050-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR CDA PASS THRU TR 2017-1                                                                                 | AIR CDA PASS THRU TR 2017-1 3.7% 07/15/2027 144A                                                                                 | CUSIP: 00908PAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       36833 | PA      | $36734.53      | 0.00%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 06/01/2047#Q48754                                                                                                   | CUSIP: 3132WNWQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2019260 | PA      | $1966438.46    | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 01/20/2049#MA5711                                                                                                   | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      903606 | PA      | $900660.69     | 0.00%             | 2049-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 10/01/2044#G60319                                                                                                 | CUSIP: 31335AK80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      792446 | PA      | $798035.93     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 10/01/2045#BM4643                                                                                                 | CUSIP: 3140J9ER8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      128817 | PA      | $129744.02     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                                                                        | DUKE ENERGY OHIO INC 4.3% 02/01/2049                                                                                             | CUSIP: 26442EAG5<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |       43000 | PA      | $35850.71      | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 10/01/2048#Q58998                                                                                                 | CUSIP: 3132Y27L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       81991 | PA      | $81750.54      | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 5.25% 04/15/2029                                                                                              | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      170000 | PA      | $174947.91     | 0.00%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENNSYLVANIA ELECTRIC CO                                                                        | FIRSTENERGY PENNSYLVANIA ELECTRIC CO 4.3% 01/15/2029 144A                                                                        | CUSIP: 591894CC2<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |     2755000 | PA      | $2763105.18    | 0.01%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                                                                                                   | MYLAN INC 5.2% 04/15/2048                                                                                                        | CUSIP: 628530BJ5<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |      910000 | PA      | $743529.52     | 0.00%             | 2048-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                                                          | ANHEUSER BUSCH INBEV WORLD INC 5.8% 01/23/2059                                                                                   | CUSIP: 03523TBW7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       77000 | PA      | $80281.68      | 0.00%             | 2059-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 03/01/2048#Q54740                                                                                                 | CUSIP: 3132XXHS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       55990 | PA      | $52629.76      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 03/01/2046#ZS9618                                                                                                 | CUSIP: 3132AAVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      463652 | PA      | $438618.46     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.05% 03/30/2029                                 | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2360000 | PA      | $2383097.41    | 0.01%             | 2029-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 12/01/2032#BM5109                                                                                                   | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      347846 | PA      | $340692.73     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                                                | MEXICO UNITED MEXICAN STATES 4.5% 04/22/2029                                                                                     | CUSIP: 91087BAF7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     2920000 | PA      | $2931680.00    | 0.01%             | 2029-04-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 5.875% 02/01/2029                                                                                                        | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      120000 | PA      | $125024.70     | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 4.431%/VAR 01/23/2030                                                                                             | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     4461000 | PA      | $4494413.47    | 0.01%             | 2030-01-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                                                    | VISTRA OPERATIONS CO LLC 5.625% 02/15/2027 144A                                                                                  | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     5864000 | PA      | $5871089.58    | 0.01%             | 2027-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 04/45#Q32820                                                                                                        | CUSIP: 3132QPD27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5650 | PA      | $5190.21       | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                                            | CSC HOLDINGS LLC 6.5% 02/01/2029 144A                                                                                            | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     3048000 | PA      | $1914283.90    | 0.00%             | 2029-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 12/01/2032#BJ3746                                                                                                 | CUSIP: 3140H5EU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      224583 | PA      | $216505.58     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                                                  | CAPITAL ONE FIN CORP 4.5% 01/30/2026                                                                                             | CUSIP: 254709AP3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     6463000 | PA      | $6463000.00    | 0.01%             | 2026-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                                              | FAIRFAX FINANCIAL HLDGS LTD 4.85% 04/17/2028                                                                                     | CUSIP: 303901BB7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     1850000 | PA      | $1871412.38    | 0.00%             | 2028-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                                                             | SANDS CHINA LTD STEP 08/08/2028                                                                                                  | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     1379000 | PA      | $1398315.65    | 0.00%             | 2028-08-08      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                                                    | LIBERTY MUTUAL GROUP INC 4.569% 02/01/2029 144A                                                                                  | CUSIP: 53079EBG8<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |     9380000 | PA      | $9446557.95    | 0.02%             | 2029-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 02/01/2047#AS8821                                                                                                   | CUSIP: 3138WJYT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      770250 | PA      | $747551.88     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 10/01/2043#BM1167                                                                                                   | CUSIP: 3140J5JM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91473 | PA      | $89963.19      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PARAGUAY REPUBLIC OF                                                                                        | PARAGUAY REPUBLIC OF 5.4% 03/30/2050 REGS                                                                                        | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |     1019000 | PA      | $941556.00     | 0.00%             | 2050-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 05/01/2045#G61807                                                                                                   | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      130864 | PA      | $128945.15     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4% 04/20/2048#BG3507                                                                                                     | CUSIP: 3617GM3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      276972 | PA      | $265906.24     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4% 04/20/2048#BG7744                                                                                                     | CUSIP: 3617GSS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      301816 | PA      | $289757.48     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 12/01/2045#G61796                                                                                                 | CUSIP: 31335B7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      152466 | PA      | $153748.63     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 12/01/2048#G61821                                                                                                 | CUSIP: 31335CAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3940510 | PA      | $3930166.10    | 0.01%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                                            | ALTRIA GROUP INC 6.2% 02/14/2059                                                                                                 | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       86000 | PA      | $87917.35      | 0.00%             | 2059-02-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                                                                             | TYSON FOODS INC 4.35% 03/01/2029                                                                                                 | CUSIP: 902494BK8<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |     1290000 | PA      | $1293587.70    | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                                                | AT and T INC 4.35% 03/01/2029                                                                                                    | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      150000 | PA      | $150856.19     | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 07/01/2048#Q59935                                                                                                   | CUSIP: 3132Y4BD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1017299 | PA      | $993548.45     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMCC COML MTG SECS TR 2019-COR4                                                                            | JPMCC COML MTG SECS TR 2019-COR4 A3 3.7629% 03/10/2052                                                                           | CUSIP: 48128YAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5400000 | PA      | $5317499.34    | 0.01%             | 2052-03-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                                                   | EGYPT (ARAB) REPUBLIC OF 7.6003% 03/01/2029 REGS                                                                                 | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |      300000 | PA      | $314820.00     | 0.00%             | 2029-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                                                   | EGYPT (ARAB) REPUBLIC OF 8.7002% 03/01/2049 REGS                                                                                 | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |      500000 | PA      | $473440.00     | 0.00%             | 2049-03-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                                                | HUDSON PACIFIC PROPERTIES LP 4.65% 04/01/2029                                                                                    | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    10503000 | PA      | $9668011.50    | 0.02%             | 2029-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 12/01/2032#BM5345                                                                                                   | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      290670 | PA      | $284649.15     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 12/01/2048#BM5106                                                                                                 | CUSIP: 3140J9U82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1666837 | PA      | $1666268.57    | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER CO                                                                                             | WEYERHAEUSER CO 4% 11/15/2029                                                                                                    | CUSIP: 962166BX1<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |     1485000 | PA      | $1472391.73    | 0.00%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                                           | STORE CAPITAL LLC 4.625% 03/15/2029                                                                                              | CUSIP: 862121AB6<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     2475000 | PA      | $2466899.28    | 0.01%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GC38                                                                                    | GS MTG SECS TR 2019-GC38 3.968% 02/10/2052                                                                                       | CUSIP: 36252SAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      909839 | PA      | $896019.82     | 0.00%             | 2052-02-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 03/20/2049#MA5818                                                                                                   | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       67611 | PA      | $67390.28      | 0.00%             | 2049-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE CO                                                                                   | ARIZONA PUBLIC SERVICE CO 4.25% 03/01/2049                                                                                       | CUSIP: 040555CY8<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |       29000 | PA      | $23906.56      | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                                              | BOMBARDIER INC 7.875% 04/15/2027 144A                                                                                            | CUSIP: 097751BT7<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |      218000 | PA      | $218644.84     | 0.00%             | 2027-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 01/01/2048#BM5261                                                                                                   | CUSIP: 3140J9Z38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      914846 | PA      | $886171.45     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+56.448 02/20/2049                                                                          | CUSIP: 38381RQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      827508 | PA      | $815747.70     | 0.00%             | 2049-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 03/01/2046#BM4980                                                                                                   | CUSIP: 3140J9RA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2033394 | PA      | $1999468.52    | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                                                  | PFIZER INC 3.9% 03/15/2039                                                                                                       | CUSIP: 717081EU3<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |       86000 | PA      | $77198.81      | 0.00%             | 2039-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 02/20/2049#MA5763                                                                                                     | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2712441 | PA      | $2617633.76    | 0.01%             | 2049-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCK and CO INC                                                                                            | MERCK and CO INC 4% 03/07/2049                                                                                                   | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      200000 | PA      | $163687.87     | 0.00%             | 2049-03-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF COLORADO                                                                               | PUBLIC SERVICE CO OF COLORADO 4.05% 09/15/2049                                                                                   | CUSIP: 744448CR0<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |       77000 | PA      | $60979.89      | 0.00%             | 2049-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                                                       | ENTERGY LOUISIANA LLC 4.2% 04/01/2050                                                                                            | CUSIP: 29364WBC1<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |       40000 | PA      | $32630.90      | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C49                                                              | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C49 3% 03/15/2052 144A                                                                | CUSIP: 95001WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21000 | PA      | $17301.69      | 0.00%             | 2052-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 3.98%/VAR 03/20/2030                                                                                               | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    23285000 | PA      | $23110684.07   | 0.05%             | 2030-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                                         | SYNCHRONY FINANCIAL 5.15% 03/19/2029                                                                                             | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      685000 | PA      | $695989.93     | 0.00%             | 2029-03-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 01/01/2033#J38387                                                                                                   | CUSIP: 31307VJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      250743 | PA      | $244608.29     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 12/01/2032#J38057                                                                                                   | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      166062 | PA      | $162325.55     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SS and C TECHNOLOGIES INC                                                                                   | SS and C TECHNOLOGIES INC 5.5% 09/30/2027 144A                                                                                   | CUSIP: 78466CAC0<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |      976000 | PA      | $975843.45     | 0.00%             | 2027-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ABERTIS INFRAESTRUCTURAS SA                                                                                 | ABERTIS INFRAESTRUCTURAS SA 3.375% 11/27/2026 REGS                                                                               | CUSIP: N/A<br>LEI: 549300GKFVWI02JQ5332       | Long             | DBT              | CORP              | ES        |      500000 | PA      | $656448.25     | 0.00%             | 2026-11-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIASAT INC                                                                                                  | VIASAT INC 5.625% 04/15/2027 144A                                                                                                | CUSIP: 92552VAL4<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100101.60     | 0.00%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHURCHILL DOWNS INC                                                                                         | CHURCHILL DOWNS INC 5.5% 04/01/2027 144A                                                                                         | CUSIP: 171484AG3<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |      340000 | PA      | $340624.92     | 0.00%             | 2027-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MTG TR                                                                                   | BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062                                                                              | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2373000 | PA      | $2328028.09    | 0.01%             | 2062-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION LLC                                                                                | FIRSTENERGY TRANSMISSION LLC 4.55% 04/01/2049 144A                                                                               | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     1099000 | PA      | $953477.64     | 0.00%             | 2049-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SWISS RE FINANCE LUXEMBOURG                                                                                 | SWISS RE FINANCE LUXEMBOURG 5%/VAR 04/02/2049 144A                                                                               | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |     1200000 | PA      | $1209897.13    | 0.00%             | 2049-04-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION INC                                                                                    | ALLISON TRANSMISSION INC 5.875% 06/01/2029 144A                                                                                  | CUSIP: 019736AF4<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |      361000 | PA      | $366356.88     | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ILPT TRUST 2019-SURF                                                                                        | ILPT TRUST 2019-SURF 4.145% 02/11/2041 144A                                                                                      | CUSIP: 44965LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2700000 | PA      | $2659738.68    | 0.01%             | 2041-02-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTERNATIONAL                                                                                   | MGM RESORTS INTERNATIONAL 5.5% 04/15/2027                                                                                        | CUSIP: 552953CF6<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |     2225000 | PA      | $2240557.20    | 0.01%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 05/20/2049#MA5931                                                                                                     | CUSIP: 36179USU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1466083 | PA      | $1412091.10    | 0.00%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                                                                     | DARLING INGREDIENTS INC 5.25% 04/15/2027 144A                                                                                    | CUSIP: 237266AH4<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |      282000 | PA      | $282064.30     | 0.00%             | 2027-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER HOLDINGS CORPORATION                                                                           | SCHLUMBERGER HOLDINGS CORPORATION 3.9% 05/17/2028 144A                                                                           | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |      172000 | PA      | $171784.52     | 0.00%             | 2028-05-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PINE STREET TRUST II                                                                                        | PINE STR TR II 5.568% 02/15/2049 144A                                                                                            | CUSIP: 72284LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7800000 | PA      | $7417791.42    | 0.02%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                                                | ROCKIES EXPRESS PIPELINE LLC 4.95% 07/15/2029 144A                                                                               | CUSIP: 77340RAR8<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      270000 | PA      | $270088.56     | 0.00%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                                                   | ONEOK INC 5.375% 06/01/2029                                                                                                      | CUSIP: 682680CQ4<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     4115000 | PA      | $4241013.27    | 0.01%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 03/20/2049#MA5817                                                                                                     | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5456819 | PA      | $5266088.96    | 0.01%             | 2049-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                                                | AUTOZONE INC 3.75% 04/18/2029                                                                                                    | CUSIP: 053332AW2<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1381035.03    | 0.00%             | 2029-04-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3.5% 11/01/2033#G16677                                                                                                 | CUSIP: 3128MFUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      391506 | PA      | $385406.67     | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                                                 | AVOLON HOLDINGS FUNDING LTD 4.375% 05/01/2026 144A                                                                               | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     3477000 | PA      | $3474524.79    | 0.01%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                                                    | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A A 3.967% 04/15/2039 144A                                                               | CUSIP: 14855MAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2624749 | PA      | $2567182.84    | 0.01%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                                                    | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A B 5.095% 04/15/2039 144A                                                               | CUSIP: 14855MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2927377 | PA      | $2781136.86    | 0.01%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 04/01/2037#BM1257                                                                                                 | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5333145 | PA      | $4970612.30    | 0.01%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 3.559%/VAR 04/23/2027                                                                                | CUSIP: 06051GHT9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1736000 | PA      | $1732002.53    | 0.00%             | 2027-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 4.078%/VAR 04/23/2040                                                                                | CUSIP: 06051GHU6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1590000 | PA      | $1438846.09    | 0.00%             | 2040-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                                                 | NETFLIX INC 5.375% 11/15/2029 144A                                                                                               | CUSIP: 64110LAU0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |      518000 | PA      | $542895.05     | 0.00%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3.5% 02/01/2034#G16752                                                                                                 | CUSIP: 3128MFWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      445691 | PA      | $436867.81     | 0.00%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 10/01/2037#BM1951                                                                                                 | CUSIP: 3140J6EZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      321642 | PA      | $299579.07     | 0.00%             | 2037-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 03/01/2033#BM4614                                                                                                   | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      133511 | PA      | $130626.79     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                                                       | BX COMMERCIAL MORTGAGE TRUST 2019-IMC A TSFR1M+111.448 04/15/2034 144A                                                           | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2920073 | PA      | $2903884.54    | 0.01%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                                                       | BX COMMERCIAL MORTGAGE TRUST 2019-IMC D TSFR1M+201.448 04/15/2034 144A                                                           | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3099000 | PA      | $3047455.88    | 0.01%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                                                       | BX COMMERCIAL MORTGAGE TRUST 2019-IMC C TSFR1M+171.448 04/15/2034 144A                                                           | CUSIP: 05608BAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2952000 | PA      | $2917450.09    | 0.01%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                                                       | BX COMMERCIAL MORTGAGE TRUST 2019-IMC B TSFR1M+141.448 04/15/2034 144A                                                           | CUSIP: 05608BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4464000 | PA      | $4420212.62    | 0.01%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 5.113% 05/03/2029                                                                                       | CUSIP: 345397ZR7<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $199427.87     | 0.00%             | 2029-05-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 2.875% 05/15/2049                                                                                    | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10053000 | PA      | $7410160.60    | 0.02%             | 2049-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 3.9% 05/01/2049                                                                                                        | CUSIP: 097023CK9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      985000 | PA      | $745031.15     | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 3.6% 05/01/2034                                                                                                        | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1235000 | PA      | $1126908.60    | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 09/01/2032#BM1884                                                                                                   | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92580 | PA      | $90441.72      | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CNA FINANCIAL CORP                                                                                          | CNA FINANCIAL CORP 3.9% 05/01/2029                                                                                               | CUSIP: 126117AV2<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1386571.80    | 0.00%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 04/01/2034#G16829                                                                                                   | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      505249 | PA      | $493359.70     | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                                              | NRG ENERGY INC 5.25% 06/15/2029 144A                                                                                             | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      497000 | PA      | $499095.23     | 0.00%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                                            | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 05/15/2029                                                                               | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     6724000 | PA      | $6691019.52    | 0.02%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL INC                                                                              | SERVICE CORP INTERNATIONAL INC 5.125% 06/01/2029                                                                                 | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |      600000 | PA      | $601574.40     | 0.00%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                                                      | CONSOLIDATED EDISON CO OF NY 4.125% 05/15/2049                                                                                   | CUSIP: 209111FV0<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16237.94      | 0.00%             | 2049-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                                                       | BAUSCH HEALTH COS INC 7% 01/15/2028 144A                                                                                         | CUSIP: 071734AD9<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      375000 | PA      | $350625.00     | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BIOCEANICO SOVEREIGN CTF LTD                                                                                | BIOCEANICO SOVEREIGN CTF LTD 0% 06/05/2034 144A                                                                                  | CUSIP: 09076AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      110990 | PA      | $90315.55      | 0.00%             | 2034-06-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 05/01/2049#BN6593                                                                                                 | CUSIP: 3140JPKF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41788 | PA      | $39429.46      | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC                                                 | ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC 4.9% 02/01/2046                                                      | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3125000 | PA      | $2943194.47    | 0.01%             | 2046-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 07/01/2047#Q49499                                                                                                 | CUSIP: 3132WPRV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      107455 | PA      | $107811.18     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 07/01/2047#G61047                                                                                                 | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      246712 | PA      | $247606.44     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 3.973%/VAR 05/22/2030                                                                                          | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     1811000 | PA      | $1792593.32    | 0.00%             | 2030-05-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC                                                 | ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC 4.7% 02/01/2036                                                      | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    11348000 | PA      | $11339775.99   | 0.03%             | 2036-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                                            | BERRY GLOBAL INC 4.875% 07/15/2026 144A                                                                                          | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     1794000 | PA      | $1794460.47    | 0.00%             | 2026-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                                              | NRG ENERGY INC 4.45% 06/15/2029 144A                                                                                             | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     1208000 | PA      | $1204855.09    | 0.00%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 10/01/2048#G67716                                                                                                 | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9052 | PA      | $9067.44       | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORP                                                                                     | MARATHON PETROLEUM CORP 3.8% 04/01/2028                                                                                          | CUSIP: 56585ABD3<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |     5590000 | PA      | $5551380.87    | 0.01%             | 2028-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4% 05/20/2049#BN2615                                                                                                     | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      615164 | PA      | $587510.67     | 0.00%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 11/32#BJ6650                                                                                                        | CUSIP: 3140H8L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58803 | PA      | $57366.04      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 12/01/2046#Q45023                                                                                                 | CUSIP: 3132WJSM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      195671 | PA      | $184720.91     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 12/01/2046#AL9489                                                                                                 | CUSIP: 3138ERRK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      201925 | PA      | $190404.05     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                                          | DOMINICAN REPUBLIC 6.4% 06/05/2049 REGS                                                                                          | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |      450000 | PA      | $442534.50     | 0.00%             | 2049-06-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 03/01/2048#BM3855                                                                                                   | CUSIP: 3140J8H97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      303628 | PA      | $295439.59     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                                                     | ENTERGY MISSISSIPPI LLC 3.85% 06/01/2049                                                                                         | CUSIP: 29366WAA4<br>LEI: FKUZOUT82DOBGXFS6K20 | Long             | DBT              | CORP              | US        |       14000 | PA      | $10898.48      | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 11/01/2032#BJ2973                                                                                                 | CUSIP: 3140H4JT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5043 | PA      | $4873.04       | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                                                    | VISTRA OPERATIONS CO LLC 4.3% 07/15/2029 144A                                                                                    | CUSIP: 92840VAE2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     2146000 | PA      | $2132101.02    | 0.00%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 4.125% 06/15/2029                                                                                                        | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     8390000 | PA      | $8371380.74    | 0.02%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 5.25% 06/15/2049                                                                                                         | CUSIP: 404119BZ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      510000 | PA      | $470021.43     | 0.00%             | 2049-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                                                         | SIRIUS XM RADIO INC 5.5% 07/01/2029 144A                                                                                         | CUSIP: 82967NBC1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      798000 | PA      | $802105.71     | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BATH and BODY WORKS INC                                                                                     | BATH and BODY WORKS INC 7.5% 06/15/2029                                                                                          | CUSIP: 501797AR5<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |      617000 | PA      | $627680.46     | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                                                    | VISTRA OPERATIONS CO LLC 5% 07/31/2027 144A                                                                                      | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      398000 | PA      | $399274.40     | 0.00%             | 2027-07-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAMDEN PROPERTY TRUST                                                                                       | CAMDEN PROPERTY TRUST 3.15% 07/01/2029                                                                                           | CUSIP: 133131AX0<br>LEI: 5493002MYX22OHYJBD89 | Long             | DBT              | CORP              | US        |      146000 | PA      | $141130.43     | 0.00%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                                                  | FISERV INC 3.5% 07/01/2029                                                                                                       | CUSIP: 337738AU2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     7395000 | PA      | $7154960.81    | 0.02%             | 2029-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                                                  | UNUM GROUP 4% 06/15/2029                                                                                                         | CUSIP: 91529YAN6<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $989451.66     | 0.00%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                                                       | INDONESIA REPUBLIC OF 3.4% 09/18/2029                                                                                            | CUSIP: 455780CK0<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      420000 | PA      | $409106.25     | 0.00%             | 2029-09-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SERBIA REPUBLIC OF                                                                                          | SERBIA REPUBLIC OF 1.5% 06/26/2029 REGS                                                                                          | CUSIP: N/A<br>LEI: 254900W94OCY91V32O78       | Long             | DBT              | NUSS              | RS        |     3203000 | PA      | $3456513.30    | 0.01%             | 2029-06-26      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PENTAIR FINANCE SA                                                                                          | PENTAIR FINANCE SA 4.5% 07/01/2029                                                                                               | CUSIP: 709629AR0<br>LEI: 549300H2U8U8TZPV3T89 | Long             | DBT              | CORP              | LU        |     9495000 | PA      | $9558983.20    | 0.02%             | 2029-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                                           | PERU REPUBLIC OF 2.844% 06/20/2030                                                                                               | CUSIP: 715638DA7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      800000 | PA      | $752800.00     | 0.00%             | 2030-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC 5.088%/VAR 06/20/2030                                                                                               | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    13438000 | PA      | $13679528.83   | 0.03%             | 2030-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2.5% 11/32#ZA3931                                                                                                      | CUSIP: 31329MLL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      898735 | PA      | $866727.88     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                                                                                           | CLEAN HARBORS INC 5.125% 07/15/2029 144A                                                                                         | CUSIP: 184496AP2<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |       85000 | PA      | $85105.74      | 0.00%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                                                                           | NEXSTAR MEDIA INC 5.625% 07/15/2027 144A                                                                                         | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |      984000 | PA      | $984766.54     | 0.00%             | 2027-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 08/01/2031#AS7695                                                                                                 | CUSIP: 3138WHRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      416794 | PA      | $403959.00     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2.5% 07/01/2031#V61246                                                                                                 | CUSIP: 3132KFL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      234856 | PA      | $227952.46     | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2.5% 08/01/2031#V61273                                                                                                 | CUSIP: 3132KFMW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      395970 | PA      | $384176.97     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR RENT LLC / AVIS BUDGET FINANCE INC                                                          | AVIS BUDG CAR RENT LLC/FIN INC 5.75% 07/15/2027 144A                                                                             | CUSIP: 053773BC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      328000 | PA      | $327455.82     | 0.00%             | 2027-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SERBIA REPUBLIC OF                                                                                          | SERBIA REPUBLIC OF 1.5% 06/26/2029 144A                                                                                          | CUSIP: N/A<br>LEI: 254900W94OCY91V32O78       | Long             | DBT              | NUSS              | RS        |     1790000 | PA      | $1931676.18    | 0.00%             | 2029-06-26      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE LTD                                                                                | HORIZON AIRCRAFT FINANCE LTD 2019-1 A 3.721% 07/15/2039 144A                                                                     | CUSIP: 44040HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2736202 | PA      | $2681379.27    | 0.01%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                                           | POST HLDGS INC 5.5% 12/15/2029 144A                                                                                              | CUSIP: 737446AP9<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     1365000 | PA      | $1365236.39    | 0.00%             | 2029-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                                                           | HERC HOLDINGS INC 5.5% 07/15/2027 144A                                                                                           | CUSIP: 42704LAA2<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |      397000 | PA      | $396947.83     | 0.00%             | 2027-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FINANCE CORP                                                | ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FIN CORP 5.75% 01/15/2028 144A                                                   | CUSIP: 03690AAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      465000 | PA      | $465551.49     | 0.00%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 04/48#MA5138                                                                                                        | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      588792 | PA      | $588896.28     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 02/01/2044#AL5426                                                                                                   | CUSIP: 3138ENA41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      554007 | PA      | $512969.37     | 0.00%             | 2044-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046                                                                          | CUSIP: 38379WN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      213856 | PA      | $200089.63     | 0.00%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                                                    | ELANCO ANIMAL HEALTH INC VAR 08/28/2028                                                                                          | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |     1693000 | PA      | $1774487.48    | 0.00%             | 2028-08-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2019                                                                                    | GS MTG SECS CORP TR 2019-GC40 A3 2.904% 07/10/2052                                                                               | CUSIP: 36257HBN5<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1920749.40    | 0.00%             | 2052-07-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 12/01/2045#BM5975                                                                                                   | CUSIP: 3140JAT99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      602580 | PA      | $558353.54     | 0.00%             | 2045-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 12/01/2046#Q44963                                                                                                 | CUSIP: 3132WJQR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1981346 | PA      | $1870470.18    | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                                            | CSC HOLDINGS LLC 5.75% 01/15/2030 144A                                                                                           | CUSIP: 126307BA4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      538000 | PA      | $198743.55     | 0.00%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOTAL CAPITAL INTL SA                                                                                       | TOTAL CAP INTL 3.461% 07/12/2049                                                                                                 | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |      500000 | PA      | $363649.77     | 0.00%             | 2049-07-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                                         | ALEXANDRIA REAL EST EQUITS INC 3.375% 08/15/2031                                                                                 | CUSIP: 015271AR0<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |      190000 | PA      | $178312.51     | 0.00%             | 2031-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 11/48#FM1001                                                                                                      | CUSIP: 3140X4DF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      245984 | PA      | $231103.38     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 05/01/2049#MA3663                                                                                                 | CUSIP: 31418DB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2234668 | PA      | $2094597.46    | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                                                        | WESTPAC BANKING CORP 4.11%/VAR 07/24/2034                                                                                        | CUSIP: 961214EF6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     4937000 | PA      | $4865005.16    | 0.01%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                                              | BURLINGTON NORTHN SANTA FE LLC 3.55% 02/15/2050                                                                                  | CUSIP: 12189LBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      166000 | PA      | $124176.84     | 0.00%             | 2050-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4% 11/20/2042#AB9917                                                                                                     | CUSIP: 36178XAS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32390 | PA      | $31473.41      | 0.00%             | 2042-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4% 12/20/2043#AG8740                                                                                                     | CUSIP: 36182DV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      249565 | PA      | $242227.44     | 0.00%             | 2043-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                                                 | SUNOCO LP / SUNOCO FIN CORP 6% 04/15/2027                                                                                        | CUSIP: 86765LAQ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      464000 | PA      | $464729.87     | 0.00%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                                                          | PANAMA REPUBLIC OF 3.16% 01/23/2030                                                                                              | CUSIP: 698299BK9<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      650000 | PA      | $604825.00     | 0.00%             | 2030-01-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 03/01/2047#ZM2868                                                                                                 | CUSIP: 3131XWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      285682 | PA      | $270006.78     | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 09/01/2047#BH9317                                                                                                 | CUSIP: 3140GYK73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      677392 | PA      | $639589.93     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA VAR/2.885 05/25/2029                                                                              | CUSIP: 3136B5NV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      778862 | PA      | $752409.41     | 0.00%             | 2029-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMMUNITIES INC                                                                             | TAYLOR MORRISON COMMUNITIES INC 5.75% 01/15/2028 144A                                                                            | CUSIP: 87724RAB8<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |      135000 | PA      | $137908.85     | 0.00%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 3.194%/VAR 07/23/2030                                                                                | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      301000 | PA      | $291445.53     | 0.00%             | 2030-07-23      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 3.143% 04/25/2029                                                                                 | CUSIP: 3136B4QB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      463573 | PA      | $452292.65     | 0.00%             | 2029-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 08/01/2049#MA3744                                                                                                   | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4656361 | PA      | $4206477.93    | 0.01%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM KF TSFR12M+96.513 11/20/2066                                                                        | CUSIP: 38376RG34<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      258193 | PA      | $259332.61     | 0.00%             | 2066-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MTG TR                                                                                   | BENCHMARK 2019-B12 MTG TR VAR/1.207 08/15/2052 144A                                                                              | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    34577081 | PA      | $880837.31     | 0.00%             | 2052-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 3.875% 08/15/2059                                                                                         | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       23000 | PA      | $17002.43      | 0.00%             | 2059-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 3.5% 08/15/2039                                                                                           | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     1025000 | PA      | $865508.30     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                                                | MEXICO UNITED MEXICAN STATES 4.5% 01/31/2050                                                                                     | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1880000 | PA      | $1445720.00    | 0.00%             | 2050-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-H6                                                                      | MORGAN STANLEY CAPITAL I TRUST 2019-H6 3% 06/15/2052 144A                                                                        | CUSIP: 61769JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17000 | PA      | $13921.38      | 0.00%             | 2052-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 3.25% 02/01/2035                                                                                                       | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     3280000 | PA      | $2873578.78    | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 4.542% 08/01/2026                                                                                       | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $199709.45     | 0.00%             | 2026-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OWENS CORNING NEW                                                                                           | OWENS CORNING NEW 3.95% 08/15/2029                                                                                               | CUSIP: 690742AJ0<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | DBT              | CORP              | US        |     1305000 | PA      | $1295238.29    | 0.00%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 2.25% 08/15/2049                                                                                     | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   125627000 | PA      | $81073580.43   | 0.18%             | 2049-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                                                        | FREEPORT-MCMORAN INC 5.25% 09/01/2029                                                                                            | CUSIP: 35671DCD5<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |      305000 | PA      | $309994.65     | 0.00%             | 2029-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC                                      | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 5.875% 02/15/2028 144A                                    | CUSIP: 013092AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      217000 | PA      | $217337.44     | 0.00%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                                                     | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     2201310 | PA      | $2008263.50    | 0.00%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY PA TRUSTEES                                                                                      | UNIVERSITY PA TRUSTEES 3.61% 02/15/2119                                                                                          | CUSIP: 91481CAC4<br>LEI: 549300FG60YK9HZ7DS75 | Long             | DBT              | CORP              | US        |      285000 | PA      | $184570.16     | 0.00%             | 2119-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                                                | UBS GROUP AG 3.126%/VAR 08/13/2030 144A                                                                                          | CUSIP: 902613AA6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     2640000 | PA      | $2534327.08    | 0.01%             | 2030-08-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                                                   | OCCIDENTAL PETROLEUM CORP 3.5% 08/15/2029                                                                                        | CUSIP: 674599CS2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      195000 | PA      | $188268.25     | 0.00%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                                                                                                | NEWMONT CORP 5.45% 06/09/2044                                                                                                    | CUSIP: 651639AV8<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |      185000 | PA      | $186570.13     | 0.00%             | 2044-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                                              | MCDONALDS CORP 3.625% 09/01/2049                                                                                                 | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      500000 | PA      | $374930.57     | 0.00%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                                           | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-3 M55D 4% 10/25/2058                                                             | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      280536 | PA      | $267136.83     | 0.00%             | 2058-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                                                | NISOURCE INC 2.95% 09/01/2029                                                                                                    | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    11346000 | PA      | $10881804.73   | 0.02%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONE BRYANT PK TR 2019-OBP                                                                                   | ONE BRYANT PK TR 2019-OBP 2.51641% 09/15/2054 144A                                                                               | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4690000 | PA      | $4354639.67    | 0.01%             | 2054-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 01/01/2047#ZM2486                                                                                                 | CUSIP: 3131XVXP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1948717 | PA      | $1814390.95    | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK19                                                                                             | BANK 2019-BN19 A3 3.183% 08/15/2061                                                                                              | CUSIP: 06540WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      292553 | PA      | $277427.28     | 0.00%             | 2061-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                                                   | ONEOK INC 3.4% 09/01/2029                                                                                                        | CUSIP: 682680AY9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2509293.36    | 0.01%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2019-C4                                                                                        | BBCMS MTG TR 2019-C4 2.661% 08/15/2052                                                                                           | CUSIP: 07335CAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3471290 | PA      | $3319713.15    | 0.01%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                                                       | TENET HEALTHCARE CORP 5.125% 11/01/2027                                                                                          | CUSIP: 88033GDB3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     3270000 | PA      | $3270317.19    | 0.01%             | 2027-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                                                   | DUKE ENERGY CAROLINAS LLC 3.2% 08/15/2049                                                                                        | CUSIP: 26442CAZ7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      351000 | PA      | $243748.40     | 0.00%             | 2049-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP IND                                                                                   | LINCOLN NATIONAL CORP IND 3.05% 01/15/2030                                                                                       | CUSIP: 534187BJ7<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |      398000 | PA      | $379674.60     | 0.00%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 09/01/2049#RA1293                                                                                                   | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22461 | PA      | $20424.42      | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                                                | GLP CAP LP / GLP FING II INC 4% 01/15/2030                                                                                       | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      414000 | PA      | $401195.68     | 0.00%             | 2030-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 03/01/2046#BM4748                                                                                                 | CUSIP: 3140J9H20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      284366 | PA      | $271592.19     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2.5% 10/01/2031#G15963                                                                                                 | CUSIP: 3128MEZ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41876 | PA      | $40629.31      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 03/01/2042#Q06998                                                                                                 | CUSIP: 3132GSDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      314553 | PA      | $300511.39     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 09/01/2047#CA0346                                                                                                 | CUSIP: 3140Q7L47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      132005 | PA      | $130689.29     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                                           | CIGNA GROUP (THE) 4.375% 10/15/2028                                                                                              | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     3850000 | PA      | $3888301.88    | 0.01%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MV24 CAPITAL BV                                                                                             | MV24 CAPITAL BV 6.748% 06/01/2034 144A                                                                                           | CUSIP: 55388RAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |      146464 | PA      | $143900.88     | 0.00%             | 2034-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NGG FINANCE PLC                                                                                             | NGG FINANCE PLC 2.125%/VAR 09/05/2082 REGS                                                                                       | CUSIP: N/A<br>LEI: 549300MLDJ2T68G21W86       | Long             | DBT              | CORP              | GB        |      440000 | PA      | $502355.34     | 0.00%             | 2082-09-05      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                                         | ALEXANDRIA REAL EST EQUITS INC 2.75% 12/15/2029                                                                                  | CUSIP: 015271AT6<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     1990000 | PA      | $1871915.53    | 0.00%             | 2029-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                                            | BAT CAPITAL CORP 4.758% 09/06/2049                                                                                               | CUSIP: 05526DBK0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1414000 | PA      | $1214871.05    | 0.00%             | 2049-09-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLS INC 2019-2AA PASS THRU TRS                                                                     | UNITED AIRLS INC 2019-2AA PASS THRU TRS 2.7% 11/01/2033                                                                          | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      365681 | PA      | $336511.80     | 0.00%             | 2033-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                                                     | SIMON PROPERTY GROUP LP 3.25% 09/13/2049                                                                                         | CUSIP: 828807DH7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |      168000 | PA      | $117746.64     | 0.00%             | 2049-09-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                                           | IRON MOUNTAIN INC 4.875% 09/15/2029 144A                                                                                         | CUSIP: 46284VAF8<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |      238000 | PA      | $235142.91     | 0.00%             | 2029-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                                                     | SIMON PROPERTY GROUP LP 2.45% 09/13/2029                                                                                         | CUSIP: 828807DF1<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |     1975000 | PA      | $1866599.62    | 0.00%             | 2029-09-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORPORATION NEW                                                                                    | AMPHENOL CORPORATION NEW 2.8% 02/15/2030                                                                                         | CUSIP: 032095AJ0<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |     1225000 | PA      | $1164352.33    | 0.00%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                                                 | COMMONWEALTH BANK AUSTRALIA 3.61%/VAR 09/12/2034 144A                                                                            | CUSIP: 202712BK0<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     3419000 | PA      | $3305019.67    | 0.01%             | 2034-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                                               | HEALTHCARE REALTY HOLDINGS LP 3.1% 02/15/2030                                                                                    | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     1715000 | PA      | $1625059.16    | 0.00%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 2.739%/VAR 10/15/2030                                                                                      | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     8065000 | PA      | $7663021.85    | 0.02%             | 2030-10-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC                                                        | 1011778 BC ULC/NEW RED FIN INC 4.375% 01/15/2028 144A                                                                            | CUSIP: 68245XAJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      280000 | PA      | $277515.64     | 0.00%             | 2028-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENCOMPASS HEALTH CORP                                                                                       | ENCOMPASS HEALTH CORP 4.75% 02/01/2030                                                                                           | CUSIP: 29261AAB6<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |      406000 | PA      | $404507.18     | 0.00%             | 2030-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS and ELECTRIC CO                                                                               | BALTIMORE GAS and ELECTRIC CO 3.2% 09/15/2049                                                                                    | CUSIP: 059165EL0<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |      183000 | PA      | $127028.04     | 0.00%             | 2049-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                                                               | METHANEX CORP 5.25% 12/15/2029                                                                                                   | CUSIP: 59151KAL2<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |       50000 | PA      | $50049.15      | 0.00%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                                              | PLAINS ALL AM PIPELN/PAA FIN C 3.55% 12/15/2029                                                                                  | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2689000 | PA      | $2611110.18    | 0.01%             | 2029-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                                                       | FLORIDA PWR and LT CO 3.15% 10/01/2049                                                                                           | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      124000 | PA      | $86825.18      | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC                                                                                    | SENSATA TECHNOLOGIES INC 4.375% 02/15/2030 144A                                                                                  | CUSIP: 81728UAA2<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |      225000 | PA      | $219190.95     | 0.00%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA TRUST                                                                                           | TRANSCANADA TRUST 5.5%/VAR 09/15/2079                                                                                            | CUSIP: 89356BAE8<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |     1695000 | PA      | $1680329.78    | 0.00%             | 2079-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 10/01/2049#SD8016                                                                                                   | CUSIP: 3132DV3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1965754 | PA      | $1770300.62    | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                                                                                   | TEGNA INC 5% 09/15/2029                                                                                                          | CUSIP: 87901JAH8<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |      605000 | PA      | $599409.68     | 0.00%             | 2029-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                                                     | AEP TRANSMISSION CO LLC 3.15% 09/15/2049                                                                                         | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      359000 | PA      | $247922.11     | 0.00%             | 2049-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 12/01/2032#SB0030                                                                                                   | CUSIP: 3132CWA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      229040 | PA      | $224329.56     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP                                                        | WYNN RESORTS FIN LLC / CAP CORP 5.125% 10/01/2029 144A                                                                           | CUSIP: 983133AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      920000 | PA      | $924616.56     | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| B and G FOODS INC                                                                                           | B and G FOODS INC 5.25% 09/15/2027                                                                                               | CUSIP: 05508WAB1<br>LEI: 549300TRW1LZMDJZAQ78 | Long             | DBT              | CORP              | US        |     2225000 | PA      | $2173039.35    | 0.00%             | 2027-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES 2019                                                                                  | TRICON AMERICAN HOMES 2019 3.745% 03/17/2038 144A                                                                                | CUSIP: 89612LAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      204000 | PA      | $203000.09     | 0.00%             | 2038-03-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                                                   | OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031                                                                                        | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     9261000 | PA      | $10445407.81   | 0.02%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                                                   | OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036                                                                                       | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     4200000 | PA      | $4484655.00    | 0.01%             | 2036-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                                                   | OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046                                                                                        | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     6475000 | PA      | $6740235.43    | 0.02%             | 2046-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP INC                                                                                  | PERFORMANCE FOOD GROUP INC 5.5% 10/15/2027 144A                                                                                  | CUSIP: 69346VAA7<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |      157000 | PA      | $156990.39     | 0.00%             | 2027-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                                            | CCO HLDGS LLC/CAP CORP 4.75% 03/01/2030 144A                                                                                     | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2560000 | PA      | $2438341.38    | 0.01%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FMC CORP                                                                                                    | FMC CORP 3.45% 10/01/2029                                                                                                        | CUSIP: 302491AU9<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |      355000 | PA      | $323202.26     | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FMC CORP                                                                                                    | FMC CORP 4.5% 10/01/2049                                                                                                         | CUSIP: 302491AV7<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |     1106000 | PA      | $735015.11     | 0.00%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ADVANCED DRAIN SYS INC DEL                                                                                  | ADVANCED DRAIN SYS INC DEL 5% 09/30/2027 144A                                                                                    | CUSIP: 00790RAA2<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |      500000 | PA      | $499353.05     | 0.00%             | 2027-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                                              | OMEGA HEALTHCARE INVESTORS INC 3.625% 10/01/2029                                                                                 | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |     7647000 | PA      | $7377949.25    | 0.02%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2.5% 06/01/2031#J34501                                                                                                 | CUSIP: 31307RAA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      503085 | PA      | $489478.56     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC NATIONAL FINANCE PTY LTD                                                                            | PACIFIC NATIONAL FINANCE PTY LTD 3.7% 09/24/2029                                                                                 | CUSIP: N/A<br>LEI: 213800SSTRDXLWWVF948       | Long             | DBT              | CORP              | AU        |      570000 | PA      | $345297.13     | 0.00%             | 2029-09-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEX INC                                                                                             | ENTERGY TEX INC 3.55% 09/30/2049                                                                                                 | CUSIP: 29365TAJ3<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |       22000 | PA      | $16029.60      | 0.00%             | 2049-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5% 04/48#784805                                                                                                          | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2287920 | PA      | $2340085.40    | 0.01%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 04/49#MA5876                                                                                                          | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1498193 | PA      | $1445827.42    | 0.00%             | 2049-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOTHEBYS                                                                                                    | SOTHEBYS 7.375% 10/15/2027 144A                                                                                                  | CUSIP: 835898AH0<br>LEI: 549300P5BAAMQQ7VL735 | Long             | DBT              | CORP              | US        |      460000 | PA      | $457971.26     | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B13 MTG TR                                                                                   | BENCHMARK 2019-B13 A4 2.952% 08/15/2057                                                                                          | CUSIP: 08162DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7629000 | PA      | $7260361.38    | 0.02%             | 2057-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2019-BROOK                                                                | J P MORGAN CHASE COML MTG SECS TR 2019-BROOK TSFR1M+136.448 09/15/2029 144A                                                      | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2433272 | PA      | $2360809.38    | 0.01%             | 2029-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 10/01/2041#AJ1616                                                                                                 | CUSIP: 3138ASYN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      285045 | PA      | $272652.77     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROVIDENCE ST JOSEPH HEALTH OBLIGATED GROUP                                                                 | PROVIDENCE ST JOSEPH HEALTH OBLIGATED GROUP 2.532% 10/01/2029                                                                    | CUSIP: 743820AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2405000 | PA      | $2268091.77    | 0.01%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 12/46#AS8573                                                                                                      | CUSIP: 3138WJQ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      214175 | PA      | $201419.40     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 12/01/2045#G61242                                                                                                 | CUSIP: 31335BLX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      220912 | PA      | $222599.51     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                                                | HUDSON PACIFIC PROPERTIES LP 3.25% 01/15/2030                                                                                    | CUSIP: 44409MAC0<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     1772000 | PA      | $1492291.39    | 0.00%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY IND INC                                                                                         | DUKE ENERGY IND INC 3.25% 10/01/2049                                                                                             | CUSIP: 26443TAB2<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |      125000 | PA      | $87290.41      | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FREMF 2019-K736 MTG TR                                                                                      | FREMF 2019-K736 MTG TR CSTR 07/25/2026 144A                                                                                      | CUSIP: 30298MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      905000 | PA      | $898280.28     | 0.00%             | 2026-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                                             | BANK 2019-BN21 A5 2.851% 10/17/2052                                                                                              | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      838000 | PA      | $792991.86     | 0.00%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 09/20/2049#MA6153                                                                                                     | CUSIP: 36179UZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      520453 | PA      | $471901.42     | 0.00%             | 2049-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                                             | BANK 2019-BNK20 2.6% 10/17/2052                                                                                                  | CUSIP: 06540BBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4086706 | PA      | $3886042.57    | 0.01%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA BRISTOL LLC                                                                                    | VIRGIN MEDIA TERM N 01/31/2028                                                                                                   | CUSIP: N/A<br>LEI: 213800IQ982XX69LE276       | Long             | LON              | CORP              | US        |       33570 | PA      | $33537.41      | 0.00%             | 2028-01-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 11/01/2049#                                                                                                         | CUSIP: 31418DHL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      542883 | PA      | $488904.61     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                                                | NEXTERA ENERGY CAP HLDGS INC 2.75% 11/01/2029                                                                                    | CUSIP: 65339KBM1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     1660000 | PA      | $1579385.55    | 0.00%             | 2029-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMENT INC                                                                               | LIVE NATION ENTERTAINMENT INC 4.75% 10/15/2027 144A                                                                              | CUSIP: 538034AR0<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |      562000 | PA      | $561044.21     | 0.00%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 09/01/2049#CA4142                                                                                                   | CUSIP: 3140QBS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4105545 | PA      | $3721710.63    | 0.01%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 10/01/2049#CA4406                                                                                                   | CUSIP: 3140QB3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5043386 | PA      | $4571870.40    | 0.01%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                                                            | VIRGIN MEDIA SECD FIN PLC 4.25% 01/15/2030 REGS                                                                                  | CUSIP: N/A<br>LEI: 213800X3RLP4NOTPY579       | Long             | DBT              | CORP              | GB        |     2800000 | PA      | $3406737.94    | 0.01%             | 2030-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                                             | AASET 2019-2 TR 3.376% 10/16/2039 144A                                                                                           | CUSIP: 00038RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      449893 | PA      | $448543.75     | 0.00%             | 2039-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                                             | AASET 2019-2 B TR 4.458% 10/16/2039 144A                                                                                         | CUSIP: 00038RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      263377 | PA      | $259953.11     | 0.00%             | 2039-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 11/01/2049#                                                                                                         | CUSIP: 3132DV4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      712207 | PA      | $641392.71     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 11/49#MA3833                                                                                                      | CUSIP: 31418DHK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      501175 | PA      | $432648.40     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IVORY COAST (COTE D'IVOIRE)                                                                                 | IVORY COAST (COTE D'IVOIRE) 5.875% 10/17/2031 REGS                                                                               | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |     4472000 | PA      | $5143680.69    | 0.01%             | 2031-10-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH ST PERSINCOME TAX REV                                                                 | NEW YORK ST D 5.628% 3/15/2039                                                                                                   | CUSIP: 64990FMT8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      990000 | PA      | $1027481.40    | 0.00%             | 2039-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.8% 03/01/2050                                  | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      488000 | PA      | $374993.80     | 0.00%             | 2050-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 11/01/2049#MA3835                                                                                                 | CUSIP: 31418DHM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      842662 | PA      | $788526.89     | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEALTH                                                                                            | ASCENSION HEALTH 3.106% 11/15/2039                                                                                               | CUSIP: 04352EAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      610000 | PA      | $491106.61     | 0.00%             | 2039-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEALTH                                                                                            | ASCENSION HEALTH 2.532% 11/15/2029                                                                                               | CUSIP: 04352EAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      295000 | PA      | $279342.52     | 0.00%             | 2029-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE ED REFI LN TR 2019-F                                                                        | NAVIENT PRIVATE ED REFI LN TR 2019-F 2.6% 08/15/2068 144A                                                                        | CUSIP: 63935CAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1424896 | PA      | $1377347.19    | 0.00%             | 2068-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                                                | CHARLES RIVER LABS INTL INC 4.25% 05/01/2028 144A                                                                                | CUSIP: 159864AE7<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |      175000 | PA      | $173183.15     | 0.00%             | 2028-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREMF 2019-K98 MTG TR                                                                                       | FREMF 2019-K98 MTG TR CSTR 10/25/2052 144A                                                                                       | CUSIP: 30312DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      321808 | PA      | $314263.44     | 0.00%             | 2052-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP                                                       | ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP 6.25% 05/15/2026                                                           | CUSIP: 451102BT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       68000 | PA      | $67934.91      | 0.00%             | 2026-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN BLDRS and CONTRACTORS SUPPLY CO INC                                                                | AMERICAN BLDRS and CONTRACTORS SUPPLY CO INC 4% 01/15/2028 144A                                                                  | CUSIP: 024747AF4<br>LEI: 549300H5GQ4C1BEKG397 | Long             | DBT              | CORP              | US        |      282000 | PA      | $278959.48     | 0.00%             | 2028-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.5% 07/01/2034#BO1835                                                                                                 | CUSIP: 3140JWBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      146279 | PA      | $144014.54     | 0.00%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.5% 08/01/2034#CA4087                                                                                                 | CUSIP: 3140QBRH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      560214 | PA      | $551539.59     | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.5% 07/01/2034#CA3925                                                                                                 | CUSIP: 3140QBLF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      437122 | PA      | $430354.28     | 0.00%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 2.879%/VAR 10/30/2030                                                                                     | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    21665000 | PA      | $20653648.55   | 0.05%             | 2030-10-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 02/01/2049#BM5577                                                                                                   | CUSIP: 3140JAFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1062980 | PA      | $1085968.84    | 0.00%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CF 2019-CF2                                                                                                 | CF 2019-CF2 2.6236% 11/15/2052                                                                                                   | CUSIP: 12528YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      748970 | PA      | $711425.00     | 0.00%             | 2052-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 2.976%/VAR 11/05/2030                                                                                              | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2132000 | PA      | $2034329.22    | 0.00%             | 2030-11-05      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II SARL                                                                                   | DH EUROPE FINANCE II SARL 3.25% 11/15/2039                                                                                       | CUSIP: 23291KAJ4<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |      305000 | PA      | $253301.45     | 0.00%             | 2039-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                                                | COMCAST CORP 3.45% 02/01/2050                                                                                                    | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      123000 | PA      | $84442.93      | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS FINANCE BV                                                                              | BRASKEM NETHERLANDS FIN BV 4.5% 01/31/2030 144A                                                                                  | CUSIP: 10554TAD7<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |     1080000 | PA      | $383400.00     | 0.00%             | 2030-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 09/01/2049#FM1534                                                                                                 | CUSIP: 3140X4V45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1020491 | PA      | $1019504.85    | 0.00%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                                                                                        | JETBLUE AIRWAYS CORP 2.75% 11/15/2033                                                                                            | CUSIP: 477143AH4<br>LEI: 54930070J9H97ZO93T57 | Long             | DBT              | CORP              | US        |     1295216 | PA      | $1158510.73    | 0.00%             | 2033-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GSA1                                                                                    | GS MTG SECS TR 2019-GSA1 A4 3.0479% 11/10/2052                                                                                   | CUSIP: 36261PAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1300000 | PA      | $1234473.37    | 0.00%             | 2052-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT III AIRCRAFT LEASE LTD                                                                          | THUNDERBOLT III AIRCRAFT LEASE LTD 2019-1 A 3.671% 11/15/2039 144A                                                               | CUSIP: 88607AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3932853 | PA      | $3858378.66    | 0.01%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2019 C-17                                                                     | UBS COMMERCIAL MORTGAGE TRUST 2019 C-17 2.6686% 10/15/2052                                                                       | CUSIP: 90278MAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1064954 | PA      | $1015220.99    | 0.00%             | 2052-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AQUA FINANCE TRUST 2019-A                                                                                   | AQUA FINANCE TRUST 2019-A 3.47% 07/16/2040 144A                                                                                  | CUSIP: 038370AB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      232566 | PA      | $227677.73     | 0.00%             | 2040-07-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGARA MED TERM NTS BOOK ENTRY REG S                                                     | PERUSAHAAN LISTRIK NEGARA PNBE 1.875% 11/05/2031 144A                                                                            | CUSIP: N/A<br>LEI: 254900OYVDRYS9J51J61       | Long             | DBT              | CORP              | ID        |     1500000 | PA      | $1561581.62    | 0.00%             | 2031-11-05      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                                                    | MSCI INC 4% 11/15/2029 144A                                                                                                      | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |      200000 | PA      | $196258.56     | 0.00%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORDSTROM INC                                                                                               | NORDSTROM INC 4.375% 04/01/2030                                                                                                  | CUSIP: 655664AT7<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |      453000 | PA      | $425812.71     | 0.00%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 11/01/2049#CA4628                                                                                                   | CUSIP: 3140QCEA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      756688 | PA      | $732025.22     | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                                            | HILTON DOMESTIC OPERATING CO INC 4.875% 01/15/2030                                                                               | CUSIP: 432833AF8<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |       73000 | PA      | $73159.87      | 0.00%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                                                        | ONEMAIN FINANCE CORP 5.375% 11/15/2029                                                                                           | CUSIP: 85172FAR0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      104000 | PA      | $103659.95     | 0.00%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 12/01/2049#MA3870                                                                                                 | CUSIP: 31418DJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      777225 | PA      | $670953.55     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                                                                   | BENCHMARK 2019-B14 MTG TR CSTR 12/15/2062                                                                                        | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19617918 | PA      | $392440.76     | 0.00%             | 2062-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                                                    | VISTRA OPERATIONS CO LLC 3.7% 01/30/2027 144A                                                                                    | CUSIP: 92840VAG7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2876887.00    | 0.01%             | 2027-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC                          | DOMINOS PIZZA MASTER ISR LLC 3.668% 10/25/2049 144A                                                                              | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1196160 | PA      | $1155059.46    | 0.00%             | 2049-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                                                           | HEALTHPEAK OP LLC 3% 01/15/2030                                                                                                  | CUSIP: 42250PAA1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |     1625000 | PA      | $1541068.91    | 0.00%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ADVOCATE HEALTH and HOSPITALS CORP                                                                          | ADVOCATE HEALTH and HOSPITALS CORP 3.387% 10/15/2049                                                                             | CUSIP: 007589AC8<br>LEI: 549300AEHU3PPOUCIL87 | Long             | DBT              | CORP              | US        |      510000 | PA      | $376842.88     | 0.00%             | 2049-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC                                      | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 4.625% 01/15/2027 144A                                    | CUSIP: 013092AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      990000 | PA      | $989263.24     | 0.00%             | 2027-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 10/20/2049#MA6219                                                                                                   | CUSIP: 36179U4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1132298 | PA      | $1054994.84    | 0.00%             | 2049-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C54                                                                            | WELLS FARGO COML MTG TR 2019-C54 ASB 3.063% 12/15/2052                                                                           | CUSIP: 95001YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2109146 | PA      | $2071707.13    | 0.00%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ASGN INC                                                                                                    | ASGN INC 4.625% 05/15/2028 144A                                                                                                  | CUSIP: 00191UAA0<br>LEI: LZBNYYCBUKY537072438 | Long             | DBT              | CORP              | US        |      265000 | PA      | $259624.29     | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                                                                             | SEALED AIR CORP 4% 12/01/2027 144A                                                                                               | CUSIP: 81211KAY6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |      244000 | PA      | $242933.82     | 0.00%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONCOR ELEC DELIVERY CO LLC                                                                                  | ONCOR ELEC DELIVERY CO LLC 3.1% 09/15/2049                                                                                       | CUSIP: 68233JBR4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |       54000 | PA      | $36707.04      | 0.00%             | 2049-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE MTG TR INC                                                                                       | BLACKSTONE MTG TR TERM B 04/23/2026                                                                                              | CUSIP: 09259GAC7<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | LON              | CORP              | US        |       40337 | PA      | $40337.26      | 0.00%             | 2026-04-23      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                                                  | INTEL CORP 3.25% 11/15/2049                                                                                                      | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     1355000 | PA      | $891744.02     | 0.00%             | 2049-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMEREN ILL CO                                                                                               | AMEREN ILL CO 3.25% 03/15/2050                                                                                                   | CUSIP: 02361DAU4<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |      115000 | PA      | $80887.86      | 0.00%             | 2050-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 11/20/2049#MA6282                                                                                                   | CUSIP: 36179U6T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      241600 | PA      | $211470.14     | 0.00%             | 2049-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE CO                                                                                   | ARIZONA PUBLIC SERVICE CO 3.5% 12/01/2049                                                                                        | CUSIP: 040555DA9<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $794582.11     | 0.00%             | 2049-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATI INC                                                                                                     | ATI INC 5.875% 12/01/2027                                                                                                        | CUSIP: 01741RAH5<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |      348000 | PA      | $348549.14     | 0.00%             | 2027-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                                                       | VICI PROPERTIES LP / VICI NOTE CO INC 4.625% 12/01/2029 144A                                                                     | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1833000 | PA      | $1822858.47    | 0.00%             | 2029-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| S and P GLOBAL INC                                                                                          | S and P GLOBAL INC 3.25% 12/01/2049                                                                                              | CUSIP: 78409VAQ7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |      315000 | PA      | $226717.98     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                                                      | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A                                                                    | CUSIP: 72703PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5857638 | PA      | $5621381.41    | 0.01%             | 2049-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                                                      | DIAMONDBACK ENERGY INC 3.5% 12/01/2029                                                                                           | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     4296000 | PA      | $4167148.40    | 0.01%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 11/01/2049#BO4757                                                                                                   | CUSIP: 3140K0JB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1986836 | PA      | $1801083.09    | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA INSTITUTE OF TECHNOLOGY                                                                          | CALIFORNIA INST TECHNOLOGY 3.65% 09/01/2119                                                                                      | CUSIP: 13034VAD6<br>LEI: 549300CITPNHOTVPHC04 | Long             | DBT              | CORP              | US        |      535000 | PA      | $348612.13     | 0.00%             | 2119-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 12/01/2049#MA3871                                                                                                   | CUSIP: 31418DJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      664615 | PA      | $598532.48     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                                                      | DIAMONDBACK ENERGY INC 3.25% 12/01/2026                                                                                          | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     4003000 | PA      | $3969579.23    | 0.01%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                                                  | HESS MIDSTREAM PARTNERS LP 5.125% 06/15/2028 144A                                                                                | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      290000 | PA      | $290056.55     | 0.00%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                                                 | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                                                                               | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3714891 | PA      | $3534574.86    | 0.01%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                                                 | BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A                                                                               | CUSIP: 05492PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      752000 | PA      | $702338.82     | 0.00%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                                                       | ELECTRICITE DE FRANCE 2% 12/09/2049 REGS                                                                                         | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | CORP              | FR        |     1600000 | PA      | $1109933.04    | 0.00%             | 2049-12-09      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                                                                                           | LITHIA MOTORS INC 4.625% 12/15/2027 144A                                                                                         | CUSIP: 536797AE3<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |       11000 | PA      | $10987.38      | 0.00%             | 2027-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORPORATION                                                                                      | FAIR ISAAC CORPORATION 4% 06/15/2028 144A                                                                                        | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |      500000 | PA      | $492857.85     | 0.00%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                                                               | CLEARWAY ENERGY OPER LLC 4.75% 03/15/2028 144A                                                                                   | CUSIP: 18539UAC9<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |       60000 | PA      | $59985.65      | 0.00%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 4% 05/01/2038#C91994                                                                                                   | CUSIP: 3128P8GB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1314748 | PA      | $1306163.92    | 0.00%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MICHIGAN FIN AUTH RE                                                                                        | MICHIGAN FIN AU 3.384% 12/1/2040                                                                                                 | CUSIP: 59447TXX6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      545000 | PA      | $464668.47     | 0.00%             | 2040-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MOOG INC                                                                                                    | MOOG INC 4.25% 12/15/2027 144A                                                                                                   | CUSIP: 615394AM5<br>LEI: 549300WM2I4U7OBAHG07 | Long             | DBT              | CORP              | US        |      360000 | PA      | $357937.96     | 0.00%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TR 2019-OC11                                                                                             | BX TR 2019-OC11 4.075457% 12/09/2041 144A                                                                                        | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4140000 | PA      | $3823737.95    | 0.01%             | 2041-12-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                                                                             | CAMERON LNG LLC 3.302% 01/15/2035 144A                                                                                           | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     1158000 | PA      | $1023846.33    | 0.00%             | 2035-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                                                                             | CAMERON LNG LLC 3.402% 01/15/2038 144A                                                                                           | CUSIP: 133434AC4<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |      697000 | PA      | $608598.02     | 0.00%             | 2038-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 12/20/2049#MA6338                                                                                                     | CUSIP: 36179VBF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      857895 | PA      | $777059.27     | 0.00%             | 2049-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                                                                            | WELLTOWER OP LLC 2.7% 02/15/2027                                                                                                 | CUSIP: 95040QAK0<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |     2590000 | PA      | $2553954.01    | 0.01%             | 2027-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERSYS                                                                                                     | ENERSYS 4.375% 12/15/2027 144A                                                                                                   | CUSIP: 29275YAC6<br>LEI: 7ZS3DE5PN30BYUJFWP05 | Long             | DBT              | CORP              | US        |       31000 | PA      | $30787.62      | 0.00%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                                                                          | STEEL DYNAMICS INC 3.45% 04/15/2030                                                                                              | CUSIP: 858119BK5<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |     8400000 | PA      | $8126641.99    | 0.02%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TEXAS PRIVATE ACTIVITY BD SURFACE TRANSN CORP REV                                                           | TX PABSTC 3.922% 12/31/2049                                                                                                      | CUSIP: 882667AZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      390000 | PA      | $315454.70     | 0.00%             | 2049-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 01/01/2050#MA3905                                                                                                   | CUSIP: 31418DKT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      574871 | PA      | $517712.17     | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-NUGS                                                                           | MORGAN STANLEY CAP I TR 2019-NUGS A TSFR1M+106.448 4 12/15/2021 144A                                                             | CUSIP: 61692AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5200000 | PA      | $3973433.36    | 0.01%             | 2036-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 02/01/2049#CA3084                                                                                                   | CUSIP: 3140QANA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1229601 | PA      | $1188371.19    | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS L P / ARCHROCK PARTNERS FIN CORP                                                          | ARCHROCK PARTNERS LP / FIN CORP 6.25% 04/01/2028 144A                                                                            | CUSIP: 03959KAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      265000 | PA      | $266627.10     | 0.00%             | 2028-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                                                       | BAUSCH HEALTH COS INC 5.25% 01/30/2030 144A                                                                                      | CUSIP: 071734AJ6<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      825000 | PA      | $606375.00     | 0.00%             | 2030-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                                                       | BAUSCH HEALTH COS INC 5% 01/30/2028 144A                                                                                         | CUSIP: 071734AH0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |       25000 | PA      | $22531.25      | 0.00%             | 2028-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS INSTITUTE OF TECHNOLOGY                                                                       | MASSACHUSETTS INSTITUTE OF TECHNOLOGY 2.989% 07/01/2050                                                                          | CUSIP: 575718AG6<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |      865000 | PA      | $596742.48     | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2019                                                                                                   | BANK 2019 2.846% 12/15/2052                                                                                                      | CUSIP: 06541RAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      326231 | PA      | $318094.37     | 0.00%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CALPINE CORPORATION                                                                                         | CALPINE CORPORATION 5.125% 03/15/2028 144A                                                                                       | CUSIP: 131347CN4<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     4340000 | PA      | $4352173.70    | 0.01%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 06/01/2045#Q33869                                                                                                   | CUSIP: 3132QQJP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       50513 | PA      | $49424.24      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984                                                                                     | CUSIP: 3617M76V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30262 | PA      | $27940.47      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 12/49#BR8986                                                                                                        | CUSIP: 3617M76X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7091 | PA      | $6557.97       | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 12/20/2049#BR8987                                                                                                   | CUSIP: 3617M76Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23574 | PA      | $21824.63      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 12/20/2049#BR8985                                                                                                   | CUSIP: 3617M76W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       66012 | PA      | $61092.66      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNP PARIBAS 3.052%/VAR 01/13/2031 144A                                                                                           | CUSIP: 09659W2K9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     6950000 | PA      | $6582532.79    | 0.01%             | 2031-01-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 4.271% 01/09/2027                                                                                       | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       85000 | PA      | $84602.19      | 0.00%             | 2027-01-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                                                       | INDONESIA REPUBLIC OF 2.85% 02/14/2030                                                                                           | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     1430000 | PA      | $1351350.00    | 0.00%             | 2030-02-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                                                                                   | TEGNA INC 4.625% 03/15/2028                                                                                                      | CUSIP: 87901JAJ4<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |      266000 | PA      | $262786.93     | 0.00%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 5% 05/15/2050                                                                                                 | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1498000 | PA      | $1273794.52    | 0.00%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES LTD                                                                                       | NABORS INDUSTRIES LTD 7.5% 01/15/2028 144A                                                                                       | CUSIP: 629571AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      140000 | PA      | $140180.60     | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 7.125%/VAR PERP                                                                                               | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | EP               | CORP              | US        |     2890000 | PA      | $2968272.76    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                                         | AMERICAN TOWER CORP 2.9% 01/15/2030                                                                                              | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     1255000 | PA      | $1187597.41    | 0.00%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTICE FING SA                                                                                              | ALTICE FING SA 5% 01/15/2028 144A                                                                                                | CUSIP: 02154CAF0<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |      135000 | PA      | $90243.45      | 0.00%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2020-1                                                                            | NEW RESIDENTIAL MTG LN TR 2020-1 3.5% 10/25/2059 144A                                                                            | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1288919 | PA      | $1221322.37    | 0.00%             | 2059-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                                            | GEORGIA POWER CO 3.7% 01/30/2050                                                                                                 | CUSIP: 373334KN0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      356000 | PA      | $272440.22     | 0.00%             | 2050-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/ FIN CORP                                                                                 | GENESIS ENERGY LP/ FIN CORP 7.75% 02/01/2028                                                                                     | CUSIP: 37185LAL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      293000 | PA      | $294967.50     | 0.00%             | 2028-02-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 02/01/2050#SD8043                                                                                                 | CUSIP: 3132DV5C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      350148 | PA      | $302271.88     | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                                                | NOVELIS CORP 4.75% 01/30/2030 144A                                                                                               | CUSIP: 670001AE6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96210.25      | 0.00%             | 2030-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 12/49#FM2050                                                                                                        | CUSIP: 3140X5H48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      405843 | PA      | $365490.36     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                                                    | EQT CORP STEP 02/01/2030                                                                                                         | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2388000 | PA      | $2596390.75    | 0.01%             | 2030-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                                              | PNC FINANCIAL SERVICES GRP INC 2.55% 01/22/2030                                                                                  | CUSIP: 693475AZ8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |      427000 | PA      | $402509.00     | 0.00%             | 2030-01-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 2.699%/VAR 01/22/2031                                                                                             | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    30822000 | PA      | $28957376.57   | 0.07%             | 2031-01-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                                                | ROCKIES EXPRESS PIPELINE LLC 4.8% 05/15/2030 144A                                                                                | CUSIP: 77340RAT4<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      115000 | PA      | $112707.77     | 0.00%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RENEW POWER LTD                                                                                             | RENEW POWER LTD 5.875% 03/05/2027 REGS                                                                                           | CUSIP: N/A<br>LEI: 335800GORQFN2NQGG764       | Long             | DBT              | CORP              | IN        |      900000 | PA      | $895455.00     | 0.00%             | 2027-03-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                                                       | VICI PROPERTIES LP / VICI NOTE CO INC 4.125% 08/15/2030 144A                                                                     | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      305000 | PA      | $295898.57     | 0.00%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 05/01/2047#BM4754                                                                                                 | CUSIP: 3140J9H87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2251425 | PA      | $2120858.29    | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC                                      | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 4.875% 02/15/2030 144A                                    | CUSIP: 013092AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      579000 | PA      | $574638.57     | 0.00%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 2.666%/VAR 01/29/2031                                                                                              | CUSIP: 172967ML2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    13635000 | PA      | $12779177.00   | 0.03%             | 2031-01-29      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 12/34#FM0045                                                                                                        | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      195235 | PA      | $190022.26     | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB                                                                         | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 2.624%/VAR PERP REGS                                                                         | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | EP               | CORP              | SE        |      625000 | PA      | $523056.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                                                                                         | STATION CASINOS LLC 4.5% 02/15/2028 144A                                                                                         | CUSIP: 857691AG4<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |      442000 | PA      | $437196.83     | 0.00%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOBSOHIO BEVERAGE SYS OHIO STATEWIDE LIQUOR PROFITS REV                                                     | JOBSOHIO BEVERA 2.833% 1/1/2038                                                                                                  | CUSIP: 47770VBQ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      325000 | PA      | $276584.30     | 0.00%             | 2038-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED GROUP BV                                                                                             | UNITED GROUP BV 3.625% 02/15/2028 REGS                                                                                           | CUSIP: N/A<br>LEI: 213800PC85O8BJ7DU398       | Long             | DBT              | CORP              | NL        |     2000000 | PA      | $2297725.06    | 0.01%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                                            | CCO HLDGS LLC/CAP CORP 4.5% 08/15/2030 144A                                                                                      | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1189000 | PA      | $1112538.26    | 0.00%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                                                                                      | OPEN TEXT HOLDINGS INC 4.125% 02/15/2030 144A                                                                                    | CUSIP: 683720AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $95337.23      | 0.00%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORPORATION                                                                                       | OPEN TEXT CORPORATION 3.875% 02/15/2028 144A                                                                                     | CUSIP: 683715AC0<br>LEI: 549300UQROQS42RKHM85 | Long             | DBT              | CORP              | CA        |      490000 | PA      | $477889.36     | 0.00%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                                                 | APOLLO AVIATION SECURITIZATION EQUITY TRUST 3.351% 01/16/2040 144A                                                               | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      643669 | PA      | $637161.03     | 0.00%             | 2040-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                                                 | APOLLO AVIATION SECURITIZATION EQUITY TRUST 4.335% 01/16/2040 144A                                                               | CUSIP: 00255UAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      135302 | PA      | $130392.38     | 0.00%             | 2040-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                                                 | PROLOGIS LP 3% 04/15/2050                                                                                                        | CUSIP: 74340XBP5<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |      150000 | PA      | $100719.51     | 0.00%             | 2050-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 2.572%/VAR 02/11/2031                                                                                     | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     3439000 | PA      | $3220095.17    | 0.01%             | 2031-02-11      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 1.5% 02/15/2030                                                                                                        | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4824000 | PA      | $4438645.32    | 0.01%             | 2030-02-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 2% 02/15/2050                                                                                        | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    50935000 | PA      | $30799757.81   | 0.07%             | 2050-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                                                          | ESSEX PORTFOLIO LP 2.65% 03/15/2032                                                                                              | CUSIP: 29717PAV9<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |      115000 | PA      | $103084.72     | 0.00%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 2.6% 02/07/2030                                                                                    | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      622000 | PA      | $584353.93     | 0.00%             | 2030-02-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                                                     | HYUNDAI CAP AMER 3% 02/10/2027 144A                                                                                              | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      252000 | PA      | $248483.84     | 0.00%             | 2027-02-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                                                 | MATCH GROUP HLD II LLC 4.125% 08/01/2030 144A                                                                                    | CUSIP: 57665RAL0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      110000 | PA      | $104173.97     | 0.00%             | 2030-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 1.85% 05/25/2033                                                                                  | CUSIP: 3136ADB57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     3463431 | PA      | $3270903.57    | 0.01%             | 2033-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                                                    | BUILDERS FIRSTSOURCE INC 5% 03/01/2030 144A                                                                                      | CUSIP: 12008RAN7<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |      210000 | PA      | $209117.48     | 0.00%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3% 02/20/2050#BQ4127                                                                                                     | CUSIP: 3617LNSQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1230321 | PA      | $1110164.70    | 0.00%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ACCENTRO REAL ESTATE AG                                                                                     | ACCENTRO REAL ESTATE AG STEP 02/13/2026 REGS                                                                                     | CUSIP: N/A<br>LEI: 391200VKLY50XNAFCM46       | Long             | DBT              | CORP              | DE        |      733500 | PA      | $255760.57     | 0.00%             | 2026-02-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE                                                                                   | SAPPHIRE AVIATION FINANCE 3.228% 03/15/2040 144A                                                                                 | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3755082 | PA      | $3641241.29    | 0.01%             | 2040-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE                                                                                   | SAPPHIRE AVIATION FINANCE 4.335% 03/15/2040 144A                                                                                 | CUSIP: 80307AAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      350564 | PA      | $341998.42     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ZIGGO FINANCING PARTNERSHIP                                                                                 | LIBERTY GLOBAL/VODAFONE ZIGGO TERM I 1LN 4/30/2028                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |       37963 | PA      | $37936.93      | 0.00%             | 2028-04-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED PF HOLDINGS LLC                                                                                      | UNITED PLANET FITNESS TERM 1LN 12/30/2026                                                                                        | CUSIP: 91132UAG8<br>LEI: 2549002AF6PASVP2G486 | Long             | LON              | CORP              | US        |      127290 | PA      | $122304.24     | 0.00%             | 2026-12-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS MLP                                                                                        | BUCKEYE PARTNERS MLP 4.5% 03/01/2028 144A                                                                                        | CUSIP: 118230AU5<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |      150000 | PA      | $149203.25     | 0.00%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AMER INC                                                                               | UNITED RENTALS NORTH AMER INC 4% 07/15/2030                                                                                      | CUSIP: 911365BN3<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      195000 | PA      | $188365.77     | 0.00%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 2.496%/VAR 02/13/2031                                                                                | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    16862000 | PA      | $15757048.48   | 0.04%             | 2031-02-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 3.5% 09/01/2030                                                                                                          | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     2882000 | PA      | $2774112.33    | 0.01%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                                           | POST HLDGS INC 4.625% 04/15/2030 144A                                                                                            | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      456000 | PA      | $444150.57     | 0.00%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD RESIDENTIAL PPTYS INC / BROOKFIELD RESIDENTIAL US CORP                                           | BROOKFIELD RESIDENTIAL PPTYS INC / US CORP 4.875% 02/15/2030 144A                                                                | CUSIP: 11283YAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      500000 | PA      | $463750.00     | 0.00%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE GRO CO (THE)                                                                                 | SCOTTS MIRACLE GRO CO (THE) 4.5% 10/15/2029                                                                                      | CUSIP: 810186AS5<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |      585000 | PA      | $572817.26     | 0.00%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HECLA MINING CO                                                                                             | HECLA MINING CO 7.25% 02/15/2028                                                                                                 | CUSIP: 422704AH9<br>LEI: 5493009Y6HOBZD1QD537 | Long             | DBT              | CORP              | US        |      429000 | PA      | $431111.54     | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 12/01/2030#ZS8591                                                                                                   | CUSIP: 3132A9RL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       67331 | PA      | $66071.16      | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 07/20/2049#MA6038                                                                                                     | CUSIP: 36179UV74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      561571 | PA      | $509884.89     | 0.00%             | 2049-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GC45                                                                                    | GS MTG SECS TR 2020-GC45 2.8428% 02/13/2053                                                                                      | CUSIP: 36258YBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      744509 | PA      | $726387.35     | 0.00%             | 2053-02-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 03/01/2050#SD8049                                                                                                 | CUSIP: 3132DV5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1708399 | PA      | $1473738.89    | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/01/2050#MA3964                                                                                                 | CUSIP: 31418DMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2910791 | PA      | $2510974.58    | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                                                   | AMGEN INC 3.15% 02/21/2040                                                                                                       | CUSIP: 031162CR9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      155000 | PA      | $124003.76     | 0.00%             | 2040-02-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                                            | FIRSTENERGY CORP 3.4% 03/01/2050                                                                                                 | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     2269000 | PA      | $1591698.76    | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                                                        | FREEPORT-MCMORAN INC 4.125% 03/01/2028                                                                                           | CUSIP: 35671DCE3<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |      960000 | PA      | $957131.30     | 0.00%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                                                   | AMGEN INC 2.45% 02/21/2030                                                                                                       | CUSIP: 031162CU2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1864729.20    | 0.00%             | 2030-02-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA INC                                                                                  | BP CAP MARKETS AMERICA INC 3% 02/24/2050                                                                                         | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      278000 | PA      | $185653.18     | 0.00%             | 2050-02-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                                            | FIRSTENERGY CORP 2.65% 03/01/2030                                                                                                | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     1296000 | PA      | $1204801.40    | 0.00%             | 2030-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B16 MORTGAGE TRUST                                                                           | BENCHMARK 2020-B16 MORTGAGE TRUST 2.483% 02/15/2053                                                                              | CUSIP: 08161NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3200000 | PA      | $2994543.68    | 0.01%             | 2053-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                                                                                    | KLA CORP 3.3% 03/01/2050                                                                                                         | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |      252000 | PA      | $179411.41     | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MATTAMY GROUP CORP                                                                                          | MATTAMY GROUP CORP 4.625% 03/01/2030 144A                                                                                        | CUSIP: 57701RAM4<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |     1500000 | PA      | $1455243.30    | 0.00%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 02/35#BO9279                                                                                                      | CUSIP: 3140K5JZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      178260 | PA      | $170129.19     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 03/20/2050#MA6541                                                                                                     | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1422041 | PA      | $1287159.86    | 0.00%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                                                       | ENTERGY LOUISIANA LLC 2.9% 03/15/2051                                                                                            | CUSIP: 29364WBD9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |      118000 | PA      | $75792.12      | 0.00%             | 2051-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                                           | CIGNA GROUP (THE) 2.4% 03/15/2030                                                                                                | CUSIP: 125523CL2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     1499000 | PA      | $1393075.41    | 0.00%             | 2030-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                                           | CIGNA GROUP (THE) 3.2% 03/15/2040                                                                                                | CUSIP: 125523CJ7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     2430000 | PA      | $1941031.93    | 0.00%             | 2040-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES PASS THROUGH TRUST                                                                          | DELTA AIR LINES PASS THROUGH TRUST 2% 12/10/2029                                                                                 | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      213814 | PA      | $205299.76     | 0.00%             | 2029-12-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                                                   | ONEOK INC 3.1% 03/15/2030                                                                                                        | CUSIP: 682680BB8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     3705000 | PA      | $3523957.40    | 0.01%             | 2030-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY IND INC                                                                                         | DUKE ENERGY IND INC 2.75% 04/01/2050                                                                                             | CUSIP: 26443TAC0<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |      298000 | PA      | $189115.03     | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP                                                       | ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP 5.25% 05/15/2027                                                           | CUSIP: 451102BZ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      278000 | PA      | $274427.37     | 0.00%             | 2027-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE ED LN TR 2020-C                                                                             | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-C 2.15% 11/15/2068 144A                                                           | CUSIP: 63941KAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      583359 | PA      | $562663.82     | 0.00%             | 2068-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC                                                                                                 | TEXTRON INC 3% 06/01/2030                                                                                                        | CUSIP: 883203CB5<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |      550000 | PA      | $522068.60     | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-1745                                                                           | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-1745 CSTR 06/15/2036 144A                                                             | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5400000 | PA      | $5044515.84    | 0.01%             | 2036-06-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                                                  | VERIZON COMMUNICATIONS INC 3.15% 03/22/2030                                                                                      | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      175000 | PA      | $167859.93     | 0.00%             | 2030-03-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORP                                                                                            | EXXON MOBIL CORP 4.227% 03/19/2040                                                                                               | CUSIP: 30231GBF8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      490000 | PA      | $455040.09     | 0.00%             | 2040-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 5.316%/VAR 03/26/2041                                                                                              | CUSIP: 172967MM0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      244000 | PA      | $247137.93     | 0.00%             | 2041-03-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 01/01/2035#CA5039                                                                                                   | CUSIP: 3140QCS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      141335 | PA      | $137694.06     | 0.00%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 4.478%/VAR 04/04/2031                                                                                     | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    15500000 | PA      | $15668921.48   | 0.04%             | 2031-04-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                                                | COMCAST CORP 3.75% 04/01/2040                                                                                                    | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     4161000 | PA      | $3478046.66    | 0.01%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 4.412%/VAR 03/31/2031                                                                                              | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    15729000 | PA      | $15779786.27   | 0.04%             | 2031-03-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT VAR 04/25/2028                                                                                    | CUSIP: 3137FG6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      289920 | PA      | $286259.50     | 0.00%             | 2028-04-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                                                          | PANAMA REPUBLIC OF 4.5% 04/01/2056                                                                                               | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      680000 | PA      | $507280.00     | 0.00%             | 2056-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                                                | AUTOZONE INC 4% 04/15/2030                                                                                                       | CUSIP: 053332AZ5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     7024000 | PA      | $6968069.08    | 0.02%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 3.622%/VAR 04/01/2031                                                                                             | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    13084000 | PA      | $12757472.29   | 0.03%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                                                | UBS GROUP AG 4.194%/VAR 04/01/2031 144A                                                                                          | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    21240000 | PA      | $21090414.96   | 0.05%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                                            | PARAMOUNT GLOBAL 4.95% 01/15/2031                                                                                                | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      770000 | PA      | $759778.34     | 0.00%             | 2031-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 3.6% 04/01/2050                                                                                                      | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      540000 | PA      | $357203.91     | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                                            | BAT CAPITAL CORP 4.7% 04/02/2027                                                                                                 | CUSIP: 05526DBP9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      425000 | PA      | $427558.41     | 0.00%             | 2027-04-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                                            | BAT CAPITAL CORP 5.282% 04/02/2050                                                                                               | CUSIP: 05526DBQ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      662000 | PA      | $606735.59     | 0.00%             | 2050-04-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                                                     | AEP TRANSMISSION CO LLC 3.65% 04/01/2050                                                                                         | CUSIP: 00115AAM1<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |       58000 | PA      | $43888.97      | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                                                 | VENTAS RLTY LTD PARTNERSHIP 4.75% 11/15/2030                                                                                     | CUSIP: 92277GAV9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    13000000 | PA      | $13212932.72   | 0.03%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                                                                    | VISA INC 2.7% 04/15/2040                                                                                                         | CUSIP: 92826CAK8<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |      183000 | PA      | $142350.54     | 0.00%             | 2040-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS and ELECTRIC CO                                                                               | SAN DIEGO GAS and ELECTRIC CO 3.32% 04/15/2050                                                                                   | CUSIP: 797440BY9<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |      139000 | PA      | $97851.26      | 0.00%             | 2050-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMEREN CORP                                                                                                 | AMEREN CORP 3.5% 01/15/2031                                                                                                      | CUSIP: 023608AJ1<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |      119000 | PA      | $114435.87     | 0.00%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                                                 | EQUINOR ASA 3.7% 04/06/2050                                                                                                      | CUSIP: 29446MAH5<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |      920000 | PA      | $714634.78     | 0.00%             | 2050-04-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 02/01/2050#SD7512                                                                                                   | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11499138 | PA      | $10416875.67   | 0.02%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                                             | BAE SYSTEMS PLC 3.4% 04/15/2030 144A                                                                                             | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |     2985000 | PA      | $2890650.06    | 0.01%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/01/2050#MA4019                                                                                                 | CUSIP: 31418DPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2403198 | PA      | $2073103.01    | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYCARE HEALTH SYSTEM INC                                                                                   | BAYCARE HEALTH SYSTEM INC 3.831% 11/15/2050                                                                                      | CUSIP: 072722AE1<br>LEI: 1H90SRZU22X0SF1UZR52 | Long             | DBT              | CORP              | US        |     2320000 | PA      | $1820653.41    | 0.00%             | 2050-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 05/01/2040#MA4016                                                                                                 | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74077 | PA      | $67600.62      | 0.00%             | 2040-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 3.7% 04/01/2051                                  | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      712000 | PA      | $458193.13     | 0.00%             | 2051-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 2.8% 04/01/2031                                  | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1640000 | PA      | $1473445.22    | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DPL INC                                                                                                     | DPL INC 4.35% 04/15/2029                                                                                                         | CUSIP: 233293AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1990000 | PA      | $1953283.70    | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 2.522%/VAR 04/22/2031                                                                                      | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3080000 | PA      | $2876415.17    | 0.01%             | 2031-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                                           | PERU REPUBLIC OF 2.783% 01/23/2031                                                                                               | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      772000 | PA      | $716416.00     | 0.00%             | 2031-01-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                                            | HILTON DOMESTIC OPERATING CO INC 5.75% 05/01/2028 144A                                                                           | CUSIP: 432833AH4<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25071.43      | 0.00%             | 2028-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                                                               | FORD MOTOR CO 9.625% 04/22/2030                                                                                                  | CUSIP: 345370CX6<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      481000 | PA      | $558271.25     | 0.00%             | 2030-04-22      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SONOCO PRODUCTS CO                                                                                          | SONOCO PRODUCTS CO 3.125% 05/01/2030                                                                                             | CUSIP: 835495AL6<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |      802000 | PA      | $760391.33     | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 2.592%/VAR 04/29/2031                                                                                | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      175000 | PA      | $163620.21     | 0.00%             | 2031-04-29      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                                                           | HYATT HOTELS CORP 5.75% 04/23/2030                                                                                               | CUSIP: 448579AJ1<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     3300000 | PA      | $3451588.57    | 0.01%             | 2030-04-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GRIFFON CORP                                                                                                | GRIFFON CORP 5.75% 03/01/2028                                                                                                    | CUSIP: 398433AP7<br>LEI: 5493000C2SGNC7ZN3242 | Long             | DBT              | CORP              | US        |      431000 | PA      | $431525.82     | 0.00%             | 2028-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 3.068%/VAR 04/30/2041                                                                                     | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      410000 | PA      | $323772.27     | 0.00%             | 2041-04-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                                                | ENTEGRIS INC 4.375% 04/15/2028 144A                                                                                              | CUSIP: 29362UAC8<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |      245000 | PA      | $242620.44     | 0.00%             | 2028-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                                                | ECOPETROL SA 6.875% 04/29/2030                                                                                                   | CUSIP: 279158AN9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     1534000 | PA      | $1558160.50    | 0.00%             | 2030-04-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                                                                                  | BIOGEN INC 2.25% 05/01/2030                                                                                                      | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |      790000 | PA      | $727078.31     | 0.00%             | 2030-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                                             | PHILIP MORRIS INTL INC 2.1% 05/01/2030                                                                                           | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2291004.60    | 0.01%             | 2030-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 5.93% 05/01/2060                                                                                                       | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     5583000 | PA      | $5542640.77    | 0.01%             | 2060-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 5.15% 05/01/2030                                                                                                       | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     4430000 | PA      | $4565914.48    | 0.01%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 5.04% 05/01/2027                                                                                                       | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     4200000 | PA      | $4241287.85    | 0.01%             | 2027-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 5.705% 05/01/2040                                                                                                      | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     3235000 | PA      | $3323442.21    | 0.01%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 5.805% 05/01/2050                                                                                                      | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1395000 | PA      | $1389214.11    | 0.00%             | 2050-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SBALR COMMERCIAL MORTGAGE 2020-RR1 TRUST                                                                    | SBALR COMMERCIAL MORTGAGE 2020-RR1 TRUST 2.825% 02/13/2053                                                                       | CUSIP: 78397EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      954370 | PA      | $844868.85     | 0.00%             | 2053-02-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                                            | CENTENE CORP 4.25% 12/15/2027                                                                                                    | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     5569000 | PA      | $5500588.73    | 0.01%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS and ANNUITY ASSN AMER                                                                          | TEACHERS INS and ANNUITY ASSN AMER 3.3% 05/15/2050 144A                                                                          | CUSIP: 878091BG1<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     1220000 | PA      | $849040.30     | 0.00%             | 2050-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                                                | NEXTERA ENERGY CAP HLDGS INC 2.25% 06/01/2030                                                                                    | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      970000 | PA      | $892064.83     | 0.00%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                                            | CENTENE CORP 3.375% 02/15/2030                                                                                                   | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     6720000 | PA      | $6170854.37    | 0.01%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 1.25% 05/15/2050                                                                                     | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5230000 | PA      | $2594570.31    | 0.01%             | 2050-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 2.956%/VAR 05/13/2031                                                                                      | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     5386000 | PA      | $5085069.10    | 0.01%             | 2031-05-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| OWENS-BROCKWAY GLASS CONTAINER INC                                                                          | OWENS-BROCKWAY GLASS CONTAINER INC 6.625% 05/13/2027 144A                                                                        | CUSIP: 69073TAT0<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |      251000 | PA      | $251480.16     | 0.00%             | 2027-05-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                                            | CENTENE CORP 4.625% 12/15/2029                                                                                                   | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    10362000 | PA      | $10017103.94   | 0.02%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                                                    | LAMB WESTON HOLDINGS INC 4.875% 05/15/2028 144A                                                                                  | CUSIP: 513272AC8<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |      125000 | PA      | $125065.19     | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                                                  | ZOETIS INC 2% 05/15/2030                                                                                                         | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |      173000 | PA      | $158588.69     | 0.00%             | 2030-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                                                         | GLOBAL PAYMENTS INC 2.9% 05/15/2030                                                                                              | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      246000 | PA      | $227919.48     | 0.00%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF COLORADO                                                                               | PUBLIC SERVICE CO OF COLORADO 2.7% 01/15/2051                                                                                    | CUSIP: 744448CU3<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |      198000 | PA      | $122354.82     | 0.00%             | 2051-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP IND                                                                                   | LINCOLN NATIONAL CORP IND 3.4% 01/15/2031                                                                                        | CUSIP: 534187BK4<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |     2550000 | PA      | $2418223.83    | 0.01%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                                                       | BAUSCH HEALTH COS INC 6.25% 02/15/2029 144A                                                                                      | CUSIP: 071734AK3<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $81947.94      | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REGENCY CTRS LP                                                                                             | REGENCY CTRS LP 3.7% 06/15/2030                                                                                                  | CUSIP: 75884RBA0<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |      177000 | PA      | $173582.13     | 0.00%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ITC HLDGS CORP                                                                                              | ITC HLDGS CORP 2.95% 05/14/2030 144A                                                                                             | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |      262000 | PA      | $247544.14     | 0.00%             | 2030-05-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                                                 | MATCH GROUP HLD II LLC 4.625% 06/01/2028 144A                                                                                    | CUSIP: 57665RAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $99019.73      | 0.00%             | 2028-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                                            | WILLIAMS COS INC 3.5% 11/15/2030                                                                                                 | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    11542000 | PA      | $11071687.85   | 0.03%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMENT INC                                                                               | LIVE NATION ENTERTAINMENT INC 6.5% 05/15/2027 144A                                                                               | CUSIP: 538034AV1<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |      433000 | PA      | $437319.18     | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 2.75% 05/15/2040                                                                                          | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      700000 | PA      | $531336.04     | 0.00%             | 2040-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 1.125% 05/15/2040                                                                                    | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12872200 | PA      | $8328212.87    | 0.02%             | 2040-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                                                    | AES CORP 3.95% 07/15/2030 144A                                                                                                   | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     9327000 | PA      | $9096476.57    | 0.02%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                                                  | PFIZER INC 2.7% 05/28/2050                                                                                                       | CUSIP: 717081FA6<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      340000 | PA      | $217616.07     | 0.00%             | 2050-05-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                                                                        | DUKE ENERGY OHIO INC 2.125% 06/01/2030                                                                                           | CUSIP: 26442EAH3<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      982000 | PA      | $902429.66     | 0.00%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                                                          | AUTONATION INC DEL 4.75% 06/01/2030                                                                                              | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      953000 | PA      | $962640.42     | 0.00%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                                           | NATWEST GROUP PLC 3.073%/VAR 05/22/2028                                                                                          | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     5999000 | PA      | $5913108.12    | 0.01%             | 2028-05-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FND TR II                                                                                      | FIVE CORNERS FND TR II 2.85% 05/15/2030 144A                                                                                     | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    12846000 | PA      | $12109898.12   | 0.03%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                                                                           | UNITED KINGDOM G.B. and N.IRELAND 0.5% 10/22/2061 REGS                                                                           | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     1900000 | PA      | $657776.92     | 0.00%             | 2061-10-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                                                     | PIEDMONT NATURAL GAS CO 3.35% 06/01/2050                                                                                         | CUSIP: 720186AM7<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |       83000 | PA      | $58338.14      | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                                                          | BANCO SANTANDER SA 3.49% 05/28/2030                                                                                              | CUSIP: 05971KAF6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     1000000 | PA      | $965510.79     | 0.00%             | 2030-05-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                                                | COMCAST CORP 1.95% 01/15/2031                                                                                                    | CUSIP: 20030NDM0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      119000 | PA      | $106014.85     | 0.00%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                                                | COMCAST CORP 2.8% 01/15/2051                                                                                                     | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     1480000 | PA      | $884041.84     | 0.00%             | 2051-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EDGEWELL PERSONAL CARE CO                                                                                   | EDGEWELL PERSONAL CARE CO 5.5% 06/01/2028 144A                                                                                   | CUSIP: 28035QAA0<br>LEI: 549300CY8QZDL4Z3RU59 | Long             | DBT              | CORP              | US        |      348000 | PA      | $347270.14     | 0.00%             | 2028-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                                                   | EGYPT (ARAB) REPUBLIC OF 8.875% 05/29/2050 REGS                                                                                  | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |      300000 | PA      | $288409.50     | 0.00%             | 2050-05-29      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                                                     | MPLX LP 4.25% 12/01/2027                                                                                                         | CUSIP: 55336VBN9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     4150000 | PA      | $4159609.08    | 0.01%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                                                     | MPLX LP 5.2% 12/01/2047                                                                                                          | CUSIP: 55336VBP4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     1795000 | PA      | $1619292.40    | 0.00%             | 2047-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NUCOR CORP                                                                                                  | NUCOR CORP 2.7% 06/01/2030                                                                                                       | CUSIP: 670346AS4<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |     1090000 | PA      | $1025225.18    | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                                                | AT and T INC 3.65% 06/01/2051                                                                                                    | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       50000 | PA      | $35922.61      | 0.00%             | 2051-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TELEFLEX INC                                                                                                | TELEFLEX INC 4.25% 06/01/2028 144A                                                                                               | CUSIP: 879369AG1<br>LEI: UUL85LWXB4NGSWWXIQ25 | Long             | DBT              | CORP              | US        |      260000 | PA      | $256477.52     | 0.00%             | 2028-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 0.5% 05/31/2027                                                                                                        | CUSIP: 912828ZS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15788000 | PA      | $15091107.89   | 0.03%             | 2027-05-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                                                | AT and T INC 3.5% 06/01/2041                                                                                                     | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     5306000 | PA      | $4231666.16    | 0.01%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                                                | AT and T INC 3.85% 06/01/2060                                                                                                    | CUSIP: 00206RKB7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      650000 | PA      | $460007.61     | 0.00%             | 2060-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 2.572%/VAR 06/03/2031                                                                                              | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     5801000 | PA      | $5381631.79    | 0.01%             | 2031-06-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                                                  | DAVITA INC 4.625% 06/01/2030 144A                                                                                                | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |      887000 | PA      | $860334.74     | 0.00%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOTAL CAPITAL INTL SA                                                                                       | TOTAL CAP INTL 3.127% 05/29/2050                                                                                                 | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |      347000 | PA      | $237684.67     | 0.00%             | 2050-05-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                                                   | EGYPT (ARAB) REPUBLIC OF 7.625% 05/29/2032 REGS                                                                                  | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |      350000 | PA      | $358050.00     | 0.00%             | 2032-05-29      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                                                      | WESCO DISTRIBUTION INC 7.25% 06/15/2028 144A                                                                                     | CUSIP: 95081QAP9<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |     1025000 | PA      | $1040383.20    | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 07/01/2050#                                                                                                       | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      986668 | PA      | $850217.94     | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA FINANCE PLC                                                                                    | VIRGIN MEDIA FINANCE PLC 5% 07/15/2030 144A                                                                                      | CUSIP: 92769VAJ8<br>LEI: 2138001LVYC87DDHT482 | Long             | DBT              | CORP              | GB        |       70000 | PA      | $61951.65      | 0.00%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                                              | AMAZON.COM INC 2.5% 06/03/2050                                                                                                   | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      250000 | PA      | $154226.36     | 0.00%             | 2050-06-03      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS LLC / AXALTA COATING SYSTEMS DUTCH HOLDING B BV                                      | AXALTA COAT/DUTCH HLD BV 4.75% 06/15/2027 144A                                                                                   | CUSIP: 05454NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      240000 | PA      | $239987.93     | 0.00%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY COMPANY                                                                                         | PECO ENERGY COMPANY 2.8% 06/15/2050                                                                                              | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |       21000 | PA      | $13503.67      | 0.00%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                                                                                         | HUNGARY REPUBLIC OF 1.75% 06/05/2035 REGS                                                                                        | CUSIP: N/A<br>LEI: 5299008DH62LEB10JK83       | Long             | DBT              | NUSS              | HU        |     1370000 | PA      | $1289627.49    | 0.00%             | 2035-06-05      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                                                       | TENET HEALTHCARE CORP 4.625% 06/15/2028                                                                                          | CUSIP: 88033GDH0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     3374000 | PA      | $3375427.20    | 0.01%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS and ELECTRIC CO                                                                               | BALTIMORE GAS and ELECTRIC CO 2.9% 06/15/2050                                                                                    | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |      214000 | PA      | $139922.60     | 0.00%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                                                                     | CENTERPOINT ENERGY HOUSTON ELECTRIC LLC 2.9% 07/01/2050                                                                          | CUSIP: 15189XAU2<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |       58000 | PA      | $38362.26      | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| YALE UNIVERSITY                                                                                             | YALE UNIVERSITY 2.402% 04/15/2050                                                                                                | CUSIP: 98459LAC7<br>LEI: 9SFB6DIM0FRWV0EV8S84 | Long             | DBT              | CORP              | US        |     2140000 | PA      | $1311427.31    | 0.00%             | 2050-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EAST OHIO GAS CO/THE                                                                                        | EAST OHIO GAS CO/THE 2% 06/15/2030 144A                                                                                          | CUSIP: 27409LAC7<br>LEI: BC95Y6MXLT75BGO7UM71 | Long             | DBT              | CORP              | US        |     1960000 | PA      | $1778229.05    | 0.00%             | 2030-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA VENDOR FINANCING NOTES III DAC                                                                 | VIRGIN MEDIA VENDOR FINANCING NOTES III DAC 4.875% 07/15/2028 REGS                                                               | CUSIP: N/A<br>LEI: 635400SSKC2QCGEPIQ43       | Long             | DBT              | CORP              | IE        |     1385000 | PA      | $1778543.88    | 0.00%             | 2028-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                                                                       | SOUTHWEST AIRLINES CO 5.125% 06/15/2027                                                                                          | CUSIP: 844741BK3<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |     5340000 | PA      | $5399971.40    | 0.01%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                                                         | SIRIUS XM RADIO INC 4.125% 07/01/2030 144A                                                                                       | CUSIP: 82967NBG2<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      720000 | PA      | $681742.87     | 0.00%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                                            | BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030                                                                                | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    12288000 | PA      | $12127456.54   | 0.03%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES POWER CO (MN)                                                                               | NORTHERN STATES POWER CO (MN) 2.6% 06/01/2051                                                                                    | CUSIP: 665772CS6<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |       43000 | PA      | $26911.23      | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                                                 | PHILLIPS 66 2.15% 12/15/2030                                                                                                     | CUSIP: 718546AW4<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |      385000 | PA      | $345751.73     | 0.00%             | 2030-12-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 02/01/2042#BM1065                                                                                                 | CUSIP: 3140J5FF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85567 | PA      | $89004.09      | 0.00%             | 2042-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BWX TECHNOLOGIES INC                                                                                        | BWX TECHNOLOGIES INC 4.125% 06/30/2028 144A                                                                                      | CUSIP: 05605HAB6<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |      220000 | PA      | $215834.65     | 0.00%             | 2028-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN AXLE and MANUFACTURING INC                                                                         | AMERICAN AXLE and MFG INC 6.875% 07/01/2028                                                                                      | CUSIP: 02406PBA7<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |      216000 | PA      | $216912.82     | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY MI UNIV REVS                                                                                     | UNIV MICH REVS 2.437% 4/1/2040                                                                                                   | CUSIP: 914455UF5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      570000 | PA      | $439053.62     | 0.00%             | 2040-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                                                  | VOLKSWAGEN INTL FINANCE NV 3.875%/VAR PERP REGS                                                                                  | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |      400000 | PA      | $455924.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEMORIAL SLOAN KETTERING CANCER CTR                                                                         | MEMORIAL SLOAN KTTRNG CNCR CTR 2.955% 01/01/2050                                                                                 | CUSIP: 586054AD0<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |      290000 | PA      | $197422.63     | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                                                                                    | ACADIA HEALTHCARE CO INC 5.5% 07/01/2028 144A                                                                                    | CUSIP: 00404AAN9<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |       63000 | PA      | $62412.12      | 0.00%             | 2028-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 06/01/2050#SD7518                                                                                                   | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2228527 | PA      | $2017392.70    | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 02/01/2050#CA5122                                                                                                   | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1210759 | PA      | $1096427.77    | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 2.676%/VAR 06/19/2041                                                                                | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     7608000 | PA      | $5723951.84    | 0.01%             | 2041-06-19      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DANA INC                                                                                                    | DANA INC 5.625% 06/15/2028                                                                                                       | CUSIP: 235825AG1<br>LEI: KVWHW7YLZPFJM8QYNJ51 | Long             | DBT              | CORP              | US        |      652000 | PA      | $652299.92     | 0.00%             | 2028-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                                               | PG and E CORP 5% 07/01/2028                                                                                                      | CUSIP: 69331CAH1<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |      542000 | PA      | $538047.68     | 0.00%             | 2028-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                                               | PG and E CORP 5.25% 07/01/2030                                                                                                   | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     4362000 | PA      | $4320494.70    | 0.01%             | 2030-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 3.5% 08/01/2050                                                                                      | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1029000 | PA      | $708229.88     | 0.00%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 3.3% 08/01/2040                                                                                      | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     2035000 | PA      | $1556692.85    | 0.00%             | 2040-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITED CO                                                                                | PERRIGO FINANCE UNLIMITED CO STEP 06/15/2030                                                                                     | CUSIP: 71429MAC9<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |      200000 | PA      | $193235.04     | 0.00%             | 2030-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                                                  | STANDARD INDUSTRIES INC/NJ 4.375% 07/15/2030 144A                                                                                | CUSIP: 853496AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      896000 | PA      | $868791.17     | 0.00%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                                                                            | WELLTOWER OP LLC 2.75% 01/15/2031                                                                                                | CUSIP: 95040QAL8<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |     8865000 | PA      | $8267637.83    | 0.02%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGIZER HLDGS INC NEW                                                                                     | ENERGIZER HLDGS INC 4.75% 06/15/2028 144A                                                                                        | CUSIP: 29272WAC3<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |      165000 | PA      | $162947.14     | 0.00%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                                           | IRON MOUNTAIN INC 5% 07/15/2028 144A                                                                                             | CUSIP: 46284VAG6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |      395000 | PA      | $392985.58     | 0.00%             | 2028-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                                           | IRON MOUNTAIN INC 5.25% 07/15/2030 144A                                                                                          | CUSIP: 46284VAJ0<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |      185000 | PA      | $183387.65     | 0.00%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                                                | GLP CAP LP / GLP FING II INC 4% 01/15/2031                                                                                       | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1772000 | PA      | $1696851.43    | 0.00%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                                                 | GARTNER INC 4.5% 07/01/2028 144A                                                                                                 | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     2754000 | PA      | $2744208.65    | 0.01%             | 2028-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 07/01/2050#CA6312                                                                                                   | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2789733 | PA      | $2523684.97    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 06/01/2050#MA4047                                                                                                   | CUSIP: 31418DP97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5126806 | PA      | $4221412.89    | 0.01%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 05/01/2035#MA4013                                                                                                 | CUSIP: 31418DN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1205409 | PA      | $1147792.11    | 0.00%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 06/01/2040#MA4045                                                                                                   | CUSIP: 31418DP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      851360 | PA      | $754658.67     | 0.00%             | 2040-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 08/01/2047#BH7565                                                                                                   | CUSIP: 3140GWMP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      235006 | PA      | $228007.07     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 06/01/2050#RA2677                                                                                                   | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3096065 | PA      | $2574456.02    | 0.01%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| 280 PK AVE 2017-280P MTG TR                                                                                 | 280 PK AVE 2017-280P MTG TR STEP 09/15/2034 144A                                                                                 | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      104000 | PA      | $103163.30     | 0.00%             | 2034-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 1.94% 02/25/2035                                                                                  | CUSIP: 3137FTZL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1053190 | PA      | $869383.81     | 0.00%             | 2035-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 07/01/2050#RA2976                                                                                                 | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2783241 | PA      | $2419209.65    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 05/50#FM3269                                                                                                        | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      299907 | PA      | $271586.71     | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WORLDLINE SA/FRANCE                                                                                         | WORLDLINE SA/FRANCE 0.875% 06/30/2027 REGS                                                                                       | CUSIP: N/A<br>LEI: 549300CJMQNCA0U4TS33       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $103764.82     | 0.00%             | 2027-06-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                                                  | INTUIT INC 1.35% 07/15/2027                                                                                                      | CUSIP: 46124HAC0<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |      200000 | PA      | $192401.97     | 0.00%             | 2027-07-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SSE PLC                                                                                                     | SSE PLC 3.74%/VAR PERP REGS                                                                                                      | CUSIP: N/A<br>LEI: 549300KI75VYLLMSK856       | Long             | EP               | CORP              | GB        |      390000 | PA      | $514776.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL CO LTD                                                                                | TAKEDA PHARMACEUTICAL CO LTD 3.175% 07/09/2050                                                                                   | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |      308000 | PA      | $210525.20     | 0.00%             | 2050-07-09      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL CO LTD                                                                                | TAKEDA PHARMACEUTICAL CO LTD 2.05% 03/31/2030                                                                                    | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |     1600000 | PA      | $1464976.80    | 0.00%             | 2030-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                                                 | CHENIERE ENERGY PARTNERS LP 4.5% 10/01/2029                                                                                      | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     8713000 | PA      | $8710521.94    | 0.02%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                                               | AEP TEXAS INC 2.1% 07/01/2030                                                                                                    | CUSIP: 00108WAM2<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     1303000 | PA      | $1187785.82    | 0.00%             | 2030-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL CO LTD                                                                                | TAKEDA PHARMACEUTICAL CO LTD 3.025% 07/09/2040                                                                                   | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |     2260000 | PA      | $1752489.07    | 0.00%             | 2040-07-09      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JORDAN KINGDOM OF                                                                                           | JORDAN KINGDOM OF 5.85% 07/07/2030 REGS                                                                                          | CUSIP: N/A<br>LEI: 5493000JZ4MYPVMBVN50       | Long             | DBT              | NUSS              | JO        |      200000 | PA      | $200900.00     | 0.00%             | 2030-07-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS TRUST 2020-A                                                                         | HILTON GRAND VACATIONS TRUST 2020-A 6.42% 02/25/2039 144A                                                                        | CUSIP: 43285HAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       44373 | PA      | $44962.00      | 0.00%             | 2039-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 08/01/2050#MA4096                                                                                                 | CUSIP: 31418DRS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5706951 | PA      | $4917713.20    | 0.01%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 4.95% 07/01/2050                                                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     6344000 | PA      | $5475416.32    | 0.01%             | 2050-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 4.55% 07/01/2030                                                                                     | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     4952000 | PA      | $4934712.32    | 0.01%             | 2030-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                                            | CCO HLDGS LLC/CAP CORP 4.25% 02/01/2031 144A                                                                                     | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1630000 | PA      | $1501607.35    | 0.00%             | 2031-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                                                | SBA TOWER TR 1.884% 07/15/2050 144A                                                                                              | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2753000 | PA      | $2742424.90    | 0.01%             | 2050-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                                                | SBA TOWER TR 2.328% 07/15/2052 144A                                                                                              | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2105000 | PA      | $2019723.71    | 0.00%             | 2052-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 4.5% 07/01/2040                                                                                      | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     5420000 | PA      | $4764234.85    | 0.01%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                                                                         | AVANTOR FUNDING INC 4.625% 07/15/2028 144A                                                                                       | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |      913000 | PA      | $904376.99     | 0.00%             | 2028-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                                                     | CF HIPPOLYTA ISSUER LLC 1.99% 07/15/2060 144A                                                                                    | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6398200 | PA      | $5353169.84    | 0.01%             | 2060-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                                                     | CF HIPPOLYTA ISSUER LLC 1.69% 07/15/2060 144A                                                                                    | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16425954 | PA      | $14022313.06   | 0.03%             | 2060-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 07/01/2050#CA6417                                                                                                   | CUSIP: 3140QEDX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1975801 | PA      | $1786140.28    | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 07/01/2050#CA6416                                                                                                   | CUSIP: 3140QEDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1798541 | PA      | $1627019.55    | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY PA TRUSTEES                                                                                      | UNIVERSITY PA TRUSTEES 2.396% 10/01/2050                                                                                         | CUSIP: 91481CAD2<br>LEI: 549300FG60YK9HZ7DS75 | Long             | DBT              | CORP              | US        |      495000 | PA      | $297700.28     | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMMUNITIES INC                                                                             | TAYLOR MORRISON COMMUNITIES INC 5.125% 08/01/2030 144A                                                                           | CUSIP: 87724RAJ1<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |     1250000 | PA      | $1255672.50    | 0.00%             | 2030-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 04/01/2049#BN6567                                                                                                 | CUSIP: 3140JPJM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33573 | PA      | $31468.78      | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 3.5% 05/01/2038#ZA2505                                                                                                 | CUSIP: 31329KYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33143 | PA      | $32371.06      | 0.00%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTYS LP and RHP FIN CORP                                                                         | RHP HOTEL PPTYS LP and RHP FIN CORP 4.75% 10/15/2027                                                                             | CUSIP: 749571AF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      223000 | PA      | $222484.40     | 0.00%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                                                        | FREEPORT-MCMORAN INC 4.375% 08/01/2028                                                                                           | CUSIP: 35671DCG8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     6105000 | PA      | $6095087.98    | 0.01%             | 2028-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                                                        | FREEPORT-MCMORAN INC 4.625% 08/01/2030                                                                                           | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |      824000 | PA      | $828446.17     | 0.00%             | 2030-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                                                   | CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029                                                                                      | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |     4448000 | PA      | $4194333.23    | 0.01%             | 2029-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LTD                                                                                   | MELCO RESORTS FINANCE LTD 5.75% 07/21/2028 REGS                                                                                  | CUSIP: N/A<br>LEI: 5493000FQDBWKDBZEF60       | Long             | DBT              | CORP              | KY        |     1150000 | PA      | $1143915.81    | 0.00%             | 2028-07-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                                           | CIGNA GROUP (THE) 4.5% 02/25/2026                                                                                                | CUSIP: 125523BZ2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     2521000 | PA      | $2520934.63    | 0.01%             | 2026-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIX FLAGS ENTERTAINMENT CORP / CANADA'S WONDERLAND CO / MAGNUM MANAGEMENT CORP                              | SIX FLAGS ENTERTAINMENT CORP / CANADA'S WONDERLAND CO / MAGNUM MANAGEMENT CORP 5.25% 07/15/2029                                  | CUSIP: 150190AE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      281000 | PA      | $260677.60     | 0.00%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 08/01/2050#RA3206                                                                                                   | CUSIP: 3133KJR38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15436 | PA      | $12835.13      | 0.00%             | 2050-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                                                     | BRISTOL-MYERS SQUIBB CO 4.125% 06/15/2039                                                                                        | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      300000 | PA      | $276476.27     | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 1.898%/VAR 07/23/2031                                                                                | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      718000 | PA      | $647294.78     | 0.00%             | 2031-07-23      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                                                | AT and T INC 1.65% 02/01/2028                                                                                                    | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     4120000 | PA      | $3918108.88    | 0.01%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CALPINE CORPORATION                                                                                         | CALPINE CORPORATION 4.625% 02/01/2029 144A                                                                                       | CUSIP: 131347CP9<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1191175.32    | 0.00%             | 2029-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CALPINE CORPORATION                                                                                         | CALPINE CORPORATION 5% 02/01/2031 144A                                                                                           | CUSIP: 131347CQ7<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     3365000 | PA      | $3372251.58    | 0.01%             | 2031-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 08/01/2040#MA4093                                                                                                   | CUSIP: 31418DRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2110514 | PA      | $1869871.57    | 0.00%             | 2040-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                                                       | KINDER MORGAN INC DEL 3.25% 08/01/2050                                                                                           | CUSIP: 49456BAS0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      351000 | PA      | $234199.80     | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RELIANCE INC                                                                                                | RELIANCE INC 2.15% 08/15/2030                                                                                                    | CUSIP: 759509AG7<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |     2150000 | PA      | $1948399.42    | 0.00%             | 2030-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHILDREN'S HEALTH SYSTEM OF TEXAS                                                                           | CHILDREN'S HEALTH SYS OF TX 2.511% 08/15/2050                                                                                    | CUSIP: 16876HAB5<br>LEI: 254900FK4IY1J5YO2L69 | Long             | DBT              | CORP              | US        |      360000 | PA      | $215917.56     | 0.00%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                                         | ALEXANDRIA REAL EST EQUITS INC 1.875% 02/01/2033                                                                                 | CUSIP: 015271AV1<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     1145000 | PA      | $941792.29     | 0.00%             | 2033-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AMER INC                                                                               | UNITED RENTALS NORTH AMER INC 3.875% 02/15/2031                                                                                  | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      300000 | PA      | $286790.25     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC                                                                                    | SENSATA TECHNOLOGIES INC 3.75% 02/15/2031 144A                                                                                   | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |      156000 | PA      | $145884.01     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GROUP 1 AUTOMOTIVE INC                                                                                      | GROUP 1 AUTOMOTIVE INC 4% 08/15/2028 144A                                                                                        | CUSIP: 398905AN9<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |      150000 | PA      | $146937.99     | 0.00%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL INC                                                                              | SERVICE CORP INTERNATIONAL INC 3.375% 08/15/2030                                                                                 | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |      100000 | PA      | $93709.19      | 0.00%             | 2030-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIE MAE 0.875% 08/05/2030                                                                                                     | CUSIP: 3135G05Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |      125000 | PA      | $110532.73     | 0.00%             | 2030-08-05      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC                                                                                                 | TEXTRON INC 2.45% 03/15/2031                                                                                                     | CUSIP: 883203CC3<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |     3245000 | PA      | $2947551.97    | 0.01%             | 2031-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                                                | AUTOZONE INC 1.65% 01/15/2031                                                                                                    | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |      505000 | PA      | $442586.24     | 0.00%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ELEMENT SOLUTIONS INC                                                                                       | ELEMENT SOLUTIONS INC 3.875% 09/01/2028 144A                                                                                     | CUSIP: 28618MAA4<br>LEI: 549300FLGN6P5CU20J91 | Long             | DBT              | CORP              | US        |      186000 | PA      | $181874.63     | 0.00%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2020-1 CLASS A PASS THROUGH TRUST                                                                   | JETBLUE 2020-1 CLASS A PASS THROUGH TRUST 4% 05/15/2034                                                                          | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      134563 | PA      | $127643.85     | 0.00%             | 2034-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC AND GAS CO                                                                          | PUBLIC SERVICE ELECTRIC AND GAS CO 2.05% 08/01/2050                                                                              | CUSIP: 74456QCE4<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |       88000 | PA      | $48808.71      | 0.00%             | 2050-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 1.375% 08/15/2050                                                                                    | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11453000 | PA      | $5825371.57    | 0.01%             | 2050-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA INC                                                                                  | BP CAP MARKETS AMERICA INC 2.772% 11/10/2050                                                                                     | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      119000 | PA      | $75384.38      | 0.00%             | 2050-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                                                                          | HOWARD HUGHES CORP 5.375% 08/01/2028 144A                                                                                        | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |      850000 | PA      | $851611.60     | 0.00%             | 2028-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRIME SEC SVCS BORROWER LLC / PRIME FIN INC                                                                 | PRIME SEC SVCS BORROWER LLC / PRIME FIN INC 3.375% 08/31/2027 144A                                                               | CUSIP: 74166MAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      525000 | PA      | $512516.60     | 0.00%             | 2027-08-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                                                  | DAVITA INC 3.75% 02/15/2031 144A                                                                                                 | CUSIP: 23918KAT5<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     1961000 | PA      | $1818450.40    | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SERVICENOW INC                                                                                              | SERVICENOW INC 1.4% 09/01/2030                                                                                                   | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |     1005000 | PA      | $886648.43     | 0.00%             | 2030-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES CO                                                                                | PIONEER NATURAL RESOURCES CO 1.9% 08/15/2030                                                                                     | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     2470000 | PA      | $2235249.17    | 0.01%             | 2030-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                                                 | PROLOGIS LP 2.125% 10/15/2050                                                                                                    | CUSIP: 74340XBQ3<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |       43000 | PA      | $23656.69      | 0.00%             | 2050-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                                                  | STANDARD INDUSTRIES INC/NJ 3.375% 01/15/2031 144A                                                                                | CUSIP: 853496AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      412000 | PA      | $377998.83     | 0.00%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 4.3% 11/15/2032                                                                                                     | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     4255000 | PA      | $4232405.78    | 0.01%             | 2032-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WYNDHAM HOTELS and RESORTS INC                                                                              | WYNDHAM HOTELS and RESORTS INC 4.375% 08/15/2028 144A                                                                            | CUSIP: 98311AAB1<br>LEI: 549300FE3MQ4RVXXC673 | Long             | DBT              | CORP              | US        |      255000 | PA      | $250960.75     | 0.00%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                                                   | BALL CORP 2.875% 08/15/2030                                                                                                      | CUSIP: 058498AW6<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |       60000 | PA      | $55323.90      | 0.00%             | 2030-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                                           | IRON MOUNTAIN INC 4.5% 02/15/2031 144A                                                                                           | CUSIP: 46284VAN1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |       44000 | PA      | $42083.65      | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY OP LLC                                                                                         | KIMCO REALTY OP LLC 1.9% 03/01/2028                                                                                              | CUSIP: 49446RAX7<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |     3540000 | PA      | $3378194.10    | 0.01%             | 2028-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                                                      | MOTOROLA SOLUTIONS INC 2.3% 11/15/2030                                                                                           | CUSIP: 620076BT5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |       87000 | PA      | $78913.59      | 0.00%             | 2030-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B18 MORTGAGE TRUST                                                                           | BENCHMARK 2020-B18 MORTGAGE TRUST 1.672% 07/15/2053                                                                              | CUSIP: 08163AAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $8964237.00    | 0.02%             | 2053-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN                                                   | TARGA RES P LP/TARGA RES P FIN 4.875% 02/01/2031                                                                                 | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1703000 | PA      | $1711097.31    | 0.00%             | 2031-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                                                     | MPLX LP 2.65% 08/15/2030                                                                                                         | CUSIP: 55336VBQ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     2470000 | PA      | $2286781.06    | 0.01%             | 2030-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS and RESORTS LP                                                                                  | HOST HOTELS and RESORTS LP 3.5% 09/15/2030                                                                                       | CUSIP: 44107TAZ9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |     1750000 | PA      | $1662699.26    | 0.00%             | 2030-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INC                                                                                       | WILLIAMS SCOTSMAN INC 4.625% 08/15/2028 144A                                                                                     | CUSIP: 96950GAE2<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |      120000 | PA      | $118539.10     | 0.00%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 10/01/2050#MA4158                                                                                                   | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18921299 | PA      | $15544324.32   | 0.04%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC                                      | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 3.5% 03/15/2029 144A                                      | CUSIP: 013092AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      609000 | PA      | $583862.19     | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                                                   | OCCIDENTAL PETROLEUM CORP 6.625% 09/01/2030                                                                                      | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      420000 | PA      | $452640.72     | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                                                   | OCCIDENTAL PETROLEUM CORP 6.375% 09/01/2028                                                                                      | CUSIP: 674599EC5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      340000 | PA      | $356703.00     | 0.00%             | 2028-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN AND HAMILTON INC                                                                                 | BOOZ ALLEN AND HAMILTON INC 3.875% 09/01/2028 144A                                                                               | CUSIP: 09951LAA1<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |      466000 | PA      | $458524.52     | 0.00%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 4.125% 08/17/2027                                                                                       | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      895000 | PA      | $885896.15     | 0.00%             | 2027-08-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                                             | CVS HEALTH CORP 1.3% 08/21/2027                                                                                                  | CUSIP: 126650DM9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      400000 | PA      | $381411.03     | 0.00%             | 2027-08-21      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                                             | CVS HEALTH CORP 1.75% 08/21/2030                                                                                                 | CUSIP: 126650DN7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     1275000 | PA      | $1133785.54    | 0.00%             | 2030-08-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 1.125% 08/15/2040                                                                                    | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9163400 | PA      | $5868513.42    | 0.01%             | 2040-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VICTORIA, TREASURY CORP OF                                                                                  | VICTORIA TREASURY CORP OF 2% 11/20/2037                                                                                          | CUSIP: N/A<br>LEI: 549300ZJM7BQW1P9UV75       | Long             | DBT              | NUSS              | AU        |     2630000 | PA      | $1202030.30    | 0.00%             | 2037-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                                                        | LXP INDUSTRIAL TRUST 2.7% 09/15/2030                                                                                             | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |      894000 | PA      | $821444.36     | 0.00%             | 2030-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTL INC                                                                                  | GRAPHIC PACKAGING INTL INC 3.5% 03/01/2029 144A                                                                                  | CUSIP: 38869AAC1<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |      175000 | PA      | $166886.69     | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOYD GAMING CORP                                                                                            | BOYD GAMING CORP 4.75% 12/01/2027                                                                                                | CUSIP: 103304BU4<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |      165000 | PA      | $164680.38     | 0.00%             | 2027-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NCR VOYIX CORP                                                                                              | NCR VOYIX CORP 5% 10/01/2028 144A                                                                                                | CUSIP: 62886EAY4<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |      422000 | PA      | $418899.10     | 0.00%             | 2028-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ON SEMICONDUCTOR CORP                                                                                       | ON SEMICONDUCTOR CORP 3.875% 09/01/2028 144A                                                                                     | CUSIP: 682189AQ8<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |      321000 | PA      | $312921.75     | 0.00%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                                                      | ROPER TECHNOLOGIES INC 1.75% 02/15/2031                                                                                          | CUSIP: 776743AL0<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |      200000 | PA      | $175408.12     | 0.00%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                                                    | DUKE ENERGY PROGRESS LLC 2.5% 08/15/2050                                                                                         | CUSIP: 26442UAK0<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      543000 | PA      | $326571.50     | 0.00%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST                                                                                     | KITE RLTY GROUP TRUST 4.75% 09/15/2030                                                                                           | CUSIP: 76131VAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10799000 | PA      | $10906484.82   | 0.02%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK LTD                                                                                 | NATIONAL AUSTRALIA BANK LTD 2.332% 08/21/2030 144A                                                                               | CUSIP: 632525AU5<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |      450000 | PA      | $409637.46     | 0.00%             | 2030-08-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                                                          | WYNN MACAU LIMITED 5.625% 08/26/2028 REGS                                                                                        | CUSIP: N/A<br>LEI: 254900NMDQ8ENTHU1I31       | Long             | DBT              | CORP              | KY        |      900000 | PA      | $893115.00     | 0.00%             | 2028-08-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| METHODIST HOSPITAL/THE                                                                                      | METHODIST HOSPITAL 2.705% 12/01/2050                                                                                             | CUSIP: 591539AA9<br>LEI: 549300Y1E42JLBRENF23 | Long             | DBT              | CORP              | US        |      820000 | PA      | $517654.19     | 0.00%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 0.5% 08/31/2027                                                                                                        | CUSIP: 91282CAH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    23311000 | PA      | $22124506.47   | 0.05%             | 2027-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GLENCORE FDG LLC                                                                                            | GLENCORE FDG LLC 2.5% 09/01/2030 144A                                                                                            | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |       80000 | PA      | $73425.72      | 0.00%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 09/01/2050#MA4119                                                                                                   | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5488594 | PA      | $4514163.76    | 0.01%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ECUADOR REPUBLIC OF                                                                                         | ECUADOR REPUBLIC OF STEP 07/31/2035 144A                                                                                         | CUSIP: N/A<br>LEI: 5299003Y2U5XK0A35H71       | Long             | DBT              | NUSS              | EC        |      320000 | PA      | $273280.00     | 0.00%             | 2035-07-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ECUADOR REPUBLIC OF                                                                                         | ECUADOR REPUBLIC OF STEP 07/31/2030 144A                                                                                         | CUSIP: N/A<br>LEI: 5299003Y2U5XK0A35H71       | Long             | DBT              | NUSS              | EC        |      430000 | PA      | $418175.00     | 0.00%             | 2030-07-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINL ISSUANCE TR 2020-2                                                                             | ONEMAIN FINL ISSUANCE TR 2020-2 2.21% 09/14/2035 144A                                                                            | CUSIP: 682696AB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1050000 | PA      | $1009074.47    | 0.00%             | 2035-09-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARGENTINA REPUBLIC OF                                                                                       | ARGENTINA REPUBLIC OF STEP 07/09/2030                                                                                            | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     3155490 | PA      | $2609590.56    | 0.01%             | 2030-07-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ARGENTINA REPUBLIC OF                                                                                       | ARGENTINA REPUBLIC OF 1% 07/09/2029                                                                                              | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     6602910 | PA      | $5757737.17    | 0.01%             | 2029-07-09      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ARGENTINA REPUBLIC OF                                                                                       | ARGENTINA REPUBLIC OF STEP 07/09/2035                                                                                            | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     2010000 | PA      | $1429361.25    | 0.00%             | 2035-07-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ARGENTINA REPUBLIC OF                                                                                       | ARGENTINA REPUBLIC OF 0.125% 07/09/2030                                                                                          | CUSIP: N/A<br>LEI: 549300KPBYGYF7HCHO27       | Long             | DBT              | NUSS              | AR        |     1278134 | PA      | $1193139.72    | 0.00%             | 2030-07-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2020-VIV3 B                                                                                        | BX TRUST 2020-VIV3 B 3.543% 03/09/2044 144A                                                                                      | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2635000 | PA      | $2494146.60    | 0.01%             | 2044-03-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NUSTAR LOGISTICS LP                                                                                         | NUSTAR LOGISTICS LP 6.375% 10/01/2030                                                                                            | CUSIP: 67059TAH8<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |      194000 | PA      | $203230.71     | 0.00%             | 2030-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BIG RIV STL LLC / BRS FIN CORP                                                                              | BIG RIV STL LLC / BRS FIN CORP 6.625% 01/31/2029 144A                                                                            | CUSIP: 08949LAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      162000 | PA      | $162352.19     | 0.00%             | 2029-01-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                                                                        | ENTERGY ARKANSAS LLC 2.65% 06/15/2051                                                                                            | CUSIP: 29366MAB4<br>LEI: KYX6QEFGFXUFFAWLGG05 | Long             | DBT              | CORP              | US        |      130000 | PA      | $79202.67      | 0.00%             | 2051-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL PLC                                                                                  | ANGLO AMERICAN CAPITAL PLC 2.625% 09/10/2030 144A                                                                                | CUSIP: 034863AX8<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     1035000 | PA      | $957996.00     | 0.00%             | 2030-09-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                                                                      | OREILLY AUTOMOTIVE INC 1.75% 03/15/2031                                                                                          | CUSIP: 67103HAK3<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |      938000 | PA      | $822398.54     | 0.00%             | 2031-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS and FRAGRANCES INC                                                                    | INTERNATIONAL FLAVS and FRAG INC 2.3% 11/01/2030 144A                                                                            | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     3430000 | PA      | $3093651.15    | 0.01%             | 2030-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| YUM BRANDS INC                                                                                              | YUM BRANDS INC 3.625% 03/15/2031                                                                                                 | CUSIP: 988498AN1<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |      490000 | PA      | $464520.00     | 0.00%             | 2031-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROCKET MORTGAGE LLC / ROCKET MORTGAGE CO-ISSUER INC                                                         | ROCKET MORTGAGE LLC / ROCKET MORTGAGE CO-ISSUER INC 3.625% 03/01/2029 144A                                                       | CUSIP: 74841CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      285000 | PA      | $275276.09     | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROCKET MORTGAGE LLC / ROCKET MORTGAGE CO-ISSUER INC                                                         | ROCKET MORTGAGE LLC / ROCKET MORTGAGE CO-ISSUER INC 3.875% 03/01/2031 144A                                                       | CUSIP: 74841CAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       81000 | PA      | $76606.71      | 0.00%             | 2031-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                                                                      | COX COMMUNICATIONS INC 1.8% 10/01/2030 144A                                                                                      | CUSIP: 224044CL9<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     1840000 | PA      | $1611707.72    | 0.00%             | 2030-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                                                  | COPT DEFENSE PROPERTIES LP 2.25% 03/15/2026                                                                                      | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     1775000 | PA      | $1763747.69    | 0.00%             | 2026-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I PLC                                                                                  | VMED O2 UK FINANCING I PLC 4.25% 01/31/2031 144A                                                                                 | CUSIP: 92858RAA8<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      215000 | PA      | $196472.55     | 0.00%             | 2031-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 09/01/2050#SD8090                                                                                                   | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    24938171 | PA      | $20510715.24   | 0.05%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 08/01/2049#QA1997                                                                                                   | CUSIP: 31334YGE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      406682 | PA      | $367390.14     | 0.00%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 03/01/2049#FM3664                                                                                                   | CUSIP: 3140X7CA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1573425 | PA      | $1521650.07    | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 10/01/2050#MA4159                                                                                                 | CUSIP: 31418DTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12033268 | PA      | $10354095.57   | 0.02%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 10/01/2050#SD8098                                                                                                   | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2572095 | PA      | $2113041.19    | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HOLOGIC INC                                                                                                 | HOLOGIC INC 3.25% 02/15/2029 144A                                                                                                | CUSIP: 436440AP6<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |      601000 | PA      | $593767.21     | 0.00%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                                                 | GARTNER INC 3.75% 10/01/2030 144A                                                                                                | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |      432000 | PA      | $409750.19     | 0.00%             | 2030-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CABLEVISION LIGHTPATH LLC                                                                                   | CABLEVISION LIGHTPATH LLC 5.625% 09/15/2028 144A                                                                                 | CUSIP: 12687GAB5<br>LEI: 5493002ZVBLRLGES1R71 | Long             | DBT              | CORP              | US        |       75000 | PA      | $73522.26      | 0.00%             | 2028-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 2.013%/VAR 09/22/2028                                                                                          | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     3943000 | PA      | $3796745.73    | 0.01%             | 2028-09-22      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CABLEVISION LIGHTPATH LLC                                                                                   | CABLEVISION LIGHTPATH LLC 3.875% 09/15/2027 144A                                                                                 | CUSIP: 12687GAA7<br>LEI: 5493002ZVBLRLGES1R71 | Long             | DBT              | CORP              | US        |      195000 | PA      | $192004.43     | 0.00%             | 2027-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                                                                           | NEXSTAR MEDIA INC 4.75% 11/01/2028 144A                                                                                          | CUSIP: 65336YAN3<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |      221000 | PA      | $219165.32     | 0.00%             | 2028-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BATH and BODY WORKS INC                                                                                     | BATH and BODY WORKS INC 6.625% 10/01/2030 144A                                                                                   | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |      330000 | PA      | $335331.81     | 0.00%             | 2030-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC                                                        | 1011778 BC ULC/NEW RED FIN INC 4% 10/15/2030 144A                                                                                | CUSIP: 68245XAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     5425000 | PA      | $5169410.89    | 0.01%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                                                  | VERIZON COMMUNICATIONS INC 1.5% 09/18/2030                                                                                       | CUSIP: 92343VFL3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     1029000 | PA      | $906627.18     | 0.00%             | 2030-09-18      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ENERGIZER HLDGS INC NEW                                                                                     | ENERGIZER HLDGS INC 4.375% 03/31/2029 144A                                                                                       | CUSIP: 29272WAD1<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |      233000 | PA      | $221665.74     | 0.00%             | 2029-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                                                               | METHANEX CORP 5.125% 10/15/2027                                                                                                  | CUSIP: 59151KAM0<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |      250000 | PA      | $250703.75     | 0.00%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                                                    | DUQUESNE LIGHT HLDGS INC 2.532% 10/01/2030 144A                                                                                  | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |      470000 | PA      | $426765.22     | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 0.375% 09/30/2027                                                                                                      | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4571000 | PA      | $4318345.11    | 0.01%             | 2027-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 11/01/2040#                                                                                                         | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8871588 | PA      | $7843736.58    | 0.02%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I PLC                                                                                  | VMED O2 UK FINANCING I PLC 4% 01/31/2029 REGS                                                                                    | CUSIP: N/A<br>LEI: 213800MRR46ECNGZ7L69       | Long             | DBT              | CORP              | GB        |     1470000 | PA      | $1841891.53    | 0.00%             | 2029-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B19 MTG TR                                                                                   | BENCHMARK 2020-B19 A5 1.787% 09/15/2053                                                                                          | CUSIP: 08162WBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5800000 | PA      | $5616011.24    | 0.01%             | 2053-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                                            | BAT CAPITAL CORP 2.259% 03/25/2028                                                                                               | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1008000 | PA      | $967554.94     | 0.00%             | 2028-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS and ELECTRIC CO                                                                               | SAN DIEGO GAS and ELECTRIC CO 1.7% 10/01/2030                                                                                    | CUSIP: 797440BZ6<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     5375000 | PA      | $4794709.57    | 0.01%             | 2030-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                                            | CENTENE CORP 3% 10/15/2030                                                                                                       | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     1673000 | PA      | $1492658.97    | 0.00%             | 2030-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNP PARIBAS 1.904%/VAR 09/30/2028 144A                                                                                           | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      400000 | PA      | $383265.77     | 0.00%             | 2028-09-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                                                         | GILEAD SCIENCES INC 1.65% 10/01/2030                                                                                             | CUSIP: 375558BY8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |      172000 | PA      | $154035.97     | 0.00%             | 2030-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES CORP                                                                                 | CENTERPOINT ENERGY RES CORP 1.75% 10/01/2030                                                                                     | CUSIP: 15189YAF3<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |       75000 | PA      | $66896.36      | 0.00%             | 2030-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                                                 | AVOLON HOLDINGS FUNDING LTD 5.5% 01/15/2026 144A                                                                                 | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |       93000 | PA      | $93040.10      | 0.00%             | 2026-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEX INC                                                                                             | ENTERGY TEX INC 1.75% 03/15/2031                                                                                                 | CUSIP: 29365TAK0<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |     3109000 | PA      | $2743531.80    | 0.01%             | 2031-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 1.2% 02/01/2026                                                                                    | CUSIP: 842400GV9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1789554.06    | 0.00%             | 2026-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                                                        | FRONTIER COMMUNICATIONS HOLDINGS LLC 5.875% 10/15/2027 144A                                                                      | CUSIP: 35906ABE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      362000 | PA      | $362489.02     | 0.00%             | 2027-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                                                                                    | ACADIA HEALTHCARE CO INC 5% 04/15/2029 144A                                                                                      | CUSIP: 00404AAP4<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |      468000 | PA      | $454684.70     | 0.00%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/01/2050#BP4416                                                                                                 | CUSIP: 3140KB4A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4415477 | PA      | $3808982.06    | 0.01%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 09/01/2040#MA4128                                                                                                   | CUSIP: 31418DSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      249880 | PA      | $221154.35     | 0.00%             | 2040-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                                                                                           | LITHIA MOTORS INC 4.375% 01/15/2031 144A                                                                                         | CUSIP: 536797AF0<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |       53000 | PA      | $50867.18      | 0.00%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENCOMPASS HEALTH CORP                                                                                       | ENCOMPASS HEALTH CORP 4.625% 04/01/2031                                                                                          | CUSIP: 29261AAE0<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |       46000 | PA      | $45361.31      | 0.00%             | 2031-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                                               | DISH DBS CORP 7.375% 07/01/2028                                                                                                  | CUSIP: 25470XBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      225000 | PA      | $209744.93     | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FINANCIAL GROUP INC                                                                               | JEFFERIES FINANCIAL GROUP INC 2.75% 10/15/2032                                                                                   | CUSIP: 47233JDX3<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |     1355000 | PA      | $1185403.92    | 0.00%             | 2032-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL HOTELS GROUP PLC NEW                                                                       | INTERCONTINENT HTL GRP PLC NEW 3.375% 10/08/2028 REGS                                                                            | CUSIP: N/A<br>LEI: 2138007ZFQYRUSLU3J98       | Long             | DBT              | CORP              | GB        |      155000 | PA      | $199111.14     | 0.00%             | 2028-10-08      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AQUA FIN TR 2020-A                                                                                          | AQUA FINANCE TRUST 2020-A 2.79% 07/17/2046 144A                                                                                  | CUSIP: 038413AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1186577 | PA      | $1139235.00    | 0.00%             | 2046-07-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AQUA FIN TR 2020-A                                                                                          | AQUA FIN TR 2020-A 3.97% 07/17/2046 144A                                                                                         | CUSIP: 038413AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       87062 | PA      | $84464.92      | 0.00%             | 2046-07-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTRAL GARDEN and PET CO                                                                                   | CENTRAL GARDEN and PET CO 4.125% 10/15/2030                                                                                      | CUSIP: 153527AN6<br>LEI: 5493004DVZLD37DJ0H83 | Long             | DBT              | CORP              | US        |      231000 | PA      | $221399.87     | 0.00%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 10/01/2050#CA7229                                                                                                 | CUSIP: 3140QFA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10835005 | PA      | $9424621.36    | 0.02%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER                                                      | ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER 4.25% 10/15/2027 144A                                                     | CUSIP: 01883LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      340000 | PA      | $335341.97     | 0.00%             | 2027-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 2.5% 03/01/2050#BP1381                                                                                            | CUSIP: 3140K8RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      176466 | PA      | $152943.84     | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EVEREST REINSURANCE HOLDINGS INC                                                                            | EVEREST REINSURANCE HOLDINGS INC 3.5% 10/15/2050                                                                                 | CUSIP: 299808AH8<br>LEI: 254900P29PM5UJR3VU91 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $1478831.38    | 0.00%             | 2050-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                                                        | WEC ENERGY GROUP INC 1.8% 10/15/2030                                                                                             | CUSIP: 92939UAE6<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |      291000 | PA      | $259250.21     | 0.00%             | 2030-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LYB INTERNATIONAL FINANCE III LLC                                                                           | LYB INTERNATIONAL FINANCE III LLC 3.375% 10/01/2040                                                                              | CUSIP: 50249AAH6<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |      315000 | PA      | $232453.79     | 0.00%             | 2040-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                                                | WP CAREY INC 2.4% 02/01/2031                                                                                                     | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     2070000 | PA      | $1863413.23    | 0.00%             | 2031-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KAZMUAIGAZ NATIONAL CO JSC                                                                                  | KAZMUNAYGAS NATIONAL CO JSC 3.5% 04/14/2033 144A                                                                                 | CUSIP: 48126PAA0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |      870000 | PA      | $785723.10     | 0.00%             | 2033-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                                              | OMEGA HEALTHCARE INVESTORS INC 3.375% 02/01/2031                                                                                 | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |     2682000 | PA      | $2503897.02    | 0.01%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BN28                                                                                              | BANK 2020-BN28 1.584% 03/15/2063                                                                                                 | CUSIP: 06540YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8715000 | PA      | $7780411.25    | 0.02%             | 2063-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GRAY TELEVISION INC                                                                                         | GRAY TELEVISION INC 4.75% 10/15/2030 144A                                                                                        | CUSIP: 389375AL0<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |       61000 | PA      | $47071.06      | 0.00%             | 2030-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WINGSTOP FUNDING LLC                                                                                        | WINGSTOP FUNDING LLC 20-1A A2 2.841% 12/05/2050 144A                                                                             | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3694735 | PA      | $3569148.00    | 0.01%             | 2050-12-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                                                             | ROLLS-ROYCE PLC 5.75% 10/15/2027 144A                                                                                            | CUSIP: 77578JAC2<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |      800000 | PA      | $820204.56     | 0.00%             | 2027-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CELLNEX TELECOM SAU                                                                                         | CELLNEX TELECOM SAU 1.75% 10/23/2030 REGS                                                                                        | CUSIP: N/A<br>LEI: 5493008T4YG3AQUI7P67       | Long             | DBT              | CORP              | ES        |     5500000 | PA      | $5961171.24    | 0.01%             | 2030-10-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2020-2                                                                            | RMF BUYOUT ISSUANCE TRUST 2020-2 1.7188% 10/25/2050 144A                                                                         | CUSIP: 76971EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      532692 | PA      | $502617.30     | 0.00%             | 2050-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 08/20/2046#MA3872                                                                                                   | CUSIP: 36179SJR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      101894 | PA      | $90303.92      | 0.00%             | 2046-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B19 MTG TR                                                                                   | BENCHMARK 2020-B19 A5 1.546% 09/15/2053                                                                                          | CUSIP: 08162WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12500000 | PA      | $11345463.75   | 0.03%             | 2053-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP                                                                                            | LAMAR MEDIA CORP 4.875% 01/15/2029                                                                                               | CUSIP: 513075BW0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      250000 | PA      | $249492.00     | 0.00%             | 2029-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP                                                                                            | LAMAR MEDIA CORP 4% 02/15/2030                                                                                                   | CUSIP: 513075BT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      172000 | PA      | $166407.11     | 0.00%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 1.922%/VAR 10/24/2031                                                                                | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3363000 | PA      | $3016444.33    | 0.01%             | 2031-10-24      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR SA                                                                                   | MILLICOM INTL CELLULAR SA 4.5% 04/27/2031 144A                                                                                   | CUSIP: 600814AR8<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |       95000 | PA      | $88136.25      | 0.00%             | 2031-04-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                                          | VLS COMMERCIAL MORTGAGE TRUST 2020 2.13% 10/10/2042 144A                                                                         | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3760000 | PA      | $3235275.83    | 0.01%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                                          | VLS COMMERCIAL MORTGAGE TRUST 2020 2.453% 10/10/2042 144A                                                                        | CUSIP: 92858TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $246484.29     | 0.00%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                                          | VLS COMMERCIAL MORTGAGE TRUST 2020-LAB X CSTR 10/10/2042 144A                                                                    | CUSIP: 92858TAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8700000 | PA      | $153991.74     | 0.00%             | 2042-10-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                                         | PETROLEOS MEXICANOS 7.69% 01/23/2050                                                                                             | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    25840000 | PA      | $23041528.00   | 0.05%             | 2050-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                                         | PETROLEOS MEXICANOS 6.84% 01/23/2030                                                                                             | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      300000 | PA      | $303735.00     | 0.00%             | 2030-01-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 0.5% 10/31/2027                                                                                                        | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10580000 | PA      | $9994380.50    | 0.02%             | 2027-10-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP                                                                                            | LAMAR MEDIA CORP 3.75% 02/15/2028                                                                                                | CUSIP: 513075BR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       27000 | PA      | $26465.59      | 0.00%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                                         | PETROLEOS MEXICANOS 5.95% 01/28/2031                                                                                             | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     5032000 | PA      | $4851149.92    | 0.01%             | 2031-01-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORPUS CHRISTI HOLDINGS LLC                                                                        | CHENIERE CORPUS CHRISTI HOLDINGS LLC 3.7% 11/15/2029                                                                             | CUSIP: 16412XAJ4<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     1664000 | PA      | $1626830.75    | 0.00%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 1.2% 10/25/2030                                                                                   | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      140639 | PA      | $135108.57     | 0.00%             | 2030-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA VAR 10/25/2030                                                                                    | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2281288 | PA      | $80741.86      | 0.00%             | 2030-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 2.75% 02/01/2026                                                                                                       | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     5900000 | PA      | $5882901.03    | 0.01%             | 2026-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 3.625% 02/01/2031                                                                                                      | CUSIP: 097023DC6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      500000 | PA      | $480750.47     | 0.00%             | 2031-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                                                    | EQT CORP 5% 01/15/2029                                                                                                           | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1746000 | PA      | $1770056.13    | 0.00%             | 2029-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SMYRNA READY MIX CONCRETE LLC                                                                               | SMYRNA READY MIX CONCRETE LLC 6% 11/01/2028 144A                                                                                 | CUSIP: 85236FAA1<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |      565000 | PA      | $566275.21     | 0.00%             | 2028-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 12/01/2050#MA4208                                                                                                   | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4566201 | PA      | $3748395.04    | 0.01%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                                                       | MOLINA HEALTHCARE INC 3.875% 11/15/2030 144A                                                                                     | CUSIP: 60855RAK6<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |      100000 | PA      | $92384.75      | 0.00%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 1.625% 11/15/2050                                                                                    | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   148541700 | PA      | $80641895.61   | 0.18%             | 2050-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS LLC                                                                                  | AXALTA COATING SYSTEMS LLC 3.375% 02/15/2029 144A                                                                                | CUSIP: 05453GAC9<br>LEI: 549300G80QONCHILSF69 | Long             | DBT              | CORP              | US        |      385000 | PA      | $371850.17     | 0.00%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                                                     | BRISTOL-MYERS SQUIBB CO 2.35% 11/13/2040                                                                                         | CUSIP: 110122DR6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      407000 | PA      | $292403.81     | 0.00%             | 2040-11-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 1.794%/VAR 02/13/2032                                                                                             | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     8025000 | PA      | $7072817.94    | 0.02%             | 2032-02-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 4% 11/13/2030                                                                                           | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      265000 | PA      | $249667.74     | 0.00%             | 2030-11-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION INC                                                                                    | ALLISON TRANSMISSION INC 3.75% 01/30/2031 144A                                                                                   | CUSIP: 019736AG2<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |      366000 | PA      | $341326.84     | 0.00%             | 2031-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 12/01/2050#                                                                                                         | CUSIP: 3132DWAN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      756615 | PA      | $621105.43     | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 3% 07/01/2036#MA2672                                                                                                   | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54711 | PA      | $51961.60      | 0.00%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRAVIS PERKINS PLC                                                                                          | TRAVIS PERKINS PLC 3.75% 02/17/2026 REGS                                                                                         | CUSIP: N/A<br>LEI: 2138001I27OUBAF22K83       | Long             | DBT              | CORP              | GB        |      255000 | PA      | $332272.76     | 0.00%             | 2026-02-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                                                  | VERIZON COMMUNICATIONS INC 2.65% 11/20/2040                                                                                      | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     1515000 | PA      | $1100103.12    | 0.00%             | 2040-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                                                       | ENTERGY LOUISIANA LLC 1.6% 12/15/2030                                                                                            | CUSIP: 29364WBE7<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |      218000 | PA      | $193836.07     | 0.00%             | 2030-12-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+61.448 10/20/2049                                                                          | CUSIP: 38382AFL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      186347 | PA      | $183024.34     | 0.00%             | 2049-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC                                                                                 | ASBURY AUTOMOTIVE GROUP INC 4.75% 03/01/2030                                                                                     | CUSIP: 043436AV6<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |       36000 | PA      | $35342.73      | 0.00%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC                                                                                 | ASBURY AUTOMOTIVE GROUP INC 4.5% 03/01/2028                                                                                      | CUSIP: 043436AU8<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |      118000 | PA      | $117409.81     | 0.00%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO/THE                                                                                             | CHEMOURS CO/THE 5.75% 11/15/2028 144A                                                                                            | CUSIP: 163851AF5<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |      603000 | PA      | $585240.56     | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 2.525%/VAR 11/19/2041                                                                                      | CUSIP: 46647PBV7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    10730000 | PA      | $7841114.24    | 0.02%             | 2041-11-19      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 1.764%/VAR 11/19/2031                                                                                      | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1110000 | PA      | $988337.75     | 0.00%             | 2031-11-19      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 1.375% 11/15/2040                                                                                    | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5875200 | PA      | $3890484.00    | 0.01%             | 2040-11-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 12/01/2035#MA4206                                                                                                   | CUSIP: 31418DU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3458724 | PA      | $3222981.87    | 0.01%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                                                       | GFL ENVIRONMENTAL INC 4% 08/01/2028 144A                                                                                         | CUSIP: 36168QAL8<br>LEI: 5493008HF9XC5H29ZX61 | Long             | DBT              | CORP              | CA        |      345000 | PA      | $338245.76     | 0.00%             | 2028-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                                           | STORE CAPITAL LLC 2.75% 11/18/2030                                                                                               | CUSIP: 862121AC4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     1957000 | PA      | $1786076.89    | 0.00%             | 2030-11-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                                            | HILTON DOMESTIC OPERATING CO INC 3.75% 05/01/2029 144A                                                                           | CUSIP: 432833AJ0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      355000 | PA      | $344425.30     | 0.00%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                                            | HILTON DOMESTIC OPERATING CO INC 4% 05/01/2031 144A                                                                              | CUSIP: 432833AL5<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      911000 | PA      | $870076.97     | 0.00%             | 2031-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                                                | MEXICO UNITED MEXICAN STATES 2.659% 05/24/2031                                                                                   | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     2470000 | PA      | $2203240.00    | 0.00%             | 2031-05-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                                              | NRG ENERGY INC 3.375% 02/15/2029 144A                                                                                            | CUSIP: 629377CQ3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      188000 | PA      | $180114.72     | 0.00%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                                              | NRG ENERGY INC 3.625% 02/15/2031 144A                                                                                            | CUSIP: 629377CR1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      748000 | PA      | $700015.13     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                                              | NRG ENERGY INC 2.45% 12/02/2027 144A                                                                                             | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      106000 | PA      | $101977.84     | 0.00%             | 2027-12-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 11/20/2050#MA6994                                                                                                     | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7267174 | PA      | $6065154.67    | 0.01%             | 2050-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 10/20/2050#MA6930                                                                                                     | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    24720062 | PA      | $20626632.42   | 0.05%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE LLC                                                                                  | ALLIANT ENERGY FINANCE LLC 1.4% 03/15/2026 144A                                                                                  | CUSIP: 01882YAC0<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2277828.07    | 0.01%             | 2026-03-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                                              | NRG ENERGY INC 2% 12/02/2025 144A                                                                                                | CUSIP: 629377CN0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     3120000 | PA      | $3119791.08    | 0.01%             | 2025-12-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                                                  | ABBVIE INC 3.2% 11/21/2029                                                                                                       | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     1675000 | PA      | $1624639.65    | 0.00%             | 2029-11-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                                                  | ABBVIE INC 4.05% 11/21/2039                                                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     8538000 | PA      | $7725060.90    | 0.02%             | 2039-11-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                                                  | ABBVIE INC 4.25% 11/21/2049                                                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      515000 | PA      | $434758.10     | 0.00%             | 2049-11-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                                                  | ABBVIE INC 4.55% 03/15/2035                                                                                                      | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     2200000 | PA      | $2191221.82    | 0.00%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                                                       | BAUSCH HEALTH COS INC 5.25% 02/15/2031 144A                                                                                      | CUSIP: 071734AL1<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     4796000 | PA      | $3237300.00    | 0.01%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                                                       | BAUSCH HEALTH COS INC 5% 02/15/2029 144A                                                                                         | CUSIP: 071734AM9<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      400000 | PA      | $318036.84     | 0.00%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MOBICO GROUP PLC                                                                                            | MOBICO GROUP PLC 4.25%/VAR PERP REGS                                                                                             | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | EP               | CORP              | GB        |      215000 | PA      | $150750.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                                                        | FRONTIER COMMUNICATIONS HOLDINGS LLC 5% 05/01/2028 144A                                                                          | CUSIP: 35906ABF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4196000 | PA      | $4210786.70    | 0.01%             | 2028-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                                                        | FRONTIER COMMUNICATIONS HOLDINGS LLC 6.75% 05/01/2029 144A                                                                       | CUSIP: 35906ABG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $100938.00     | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                                                      | MPT OPER PARTNERSHIP LP/CORP 3.5% 03/15/2031                                                                                     | CUSIP: 55342UAM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1075000 | PA      | $788133.13     | 0.00%             | 2031-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 3.85% 04/01/2061                                 | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      515000 | PA      | $315057.87     | 0.00%             | 2061-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 2.3% 02/01/2032                                  | CUSIP: 161175BX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1788000 | PA      | $1536582.67    | 0.00%             | 2032-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 12/01/2040#MA4204                                                                                                   | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3696864 | PA      | $3266470.54    | 0.01%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B21 MTG TR                                                                                   | BENCHMARK 2020-B21 A5 MTG TR 1.9775% 12/17/2053                                                                                  | CUSIP: 08163LAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69000 | PA      | $61124.66      | 0.00%             | 2053-12-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                                           | PERU REPUBLIC OF 1.862% 12/01/2032                                                                                               | CUSIP: 715638DP4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     2350000 | PA      | $1956375.00    | 0.00%             | 2032-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| IVORY COAST (COTE D'IVOIRE)                                                                                 | IVORY COAST (COTE D'IVOIRE) 4.875% 01/30/2032 REGS                                                                               | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |     1930000 | PA      | $2131622.35    | 0.00%             | 2032-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 1.47% 09/25/2027                                                                                  | CUSIP: 3137F72B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3100000 | PA      | $2976823.36    | 0.01%             | 2027-09-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 11/01/2050#MA4182                                                                                                   | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5350420 | PA      | $4395505.08    | 0.01%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 11/01/2050#SD8107                                                                                                 | CUSIP: 3132DWAG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      942523 | PA      | $810999.05     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA INC                                                                                  | BP CAP MARKETS AMERICA INC 2.939% 06/04/2051                                                                                     | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      186000 | PA      | $121330.90     | 0.00%             | 2051-06-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| C AND S GROUP ENTERPRISES LLC                                                                               | C AND S GROUP ENTERPRISES LLC 5% 12/15/2028 144A                                                                                 | CUSIP: 12467AAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $92882.53      | 0.00%             | 2028-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 12/20/2050#MA7052                                                                                                   | CUSIP: 36179VZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      763043 | PA      | $662757.73     | 0.00%             | 2050-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CALPINE CORPORATION                                                                                         | CALPINE CORPORATION 3.75% 03/01/2031 144A                                                                                        | CUSIP: 131347CR5<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |      350000 | PA      | $337716.82     | 0.00%             | 2031-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GRAND CITY PROPERTIES SA                                                                                    | GRAND CITY PROPERTIES SA 1.5%/VAR PERP REGS                                                                                      | CUSIP: N/A<br>LEI: 5299002QLUYKK2WBMB18       | Long             | EP               | CORP              | LU        |      500000 | PA      | $569997.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 11/01/2050#SD7530                                                                                                 | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3297541 | PA      | $2866241.50    | 0.01%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 1.093%/VAR 12/09/2026                                                                              | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       91000 | PA      | $90931.53      | 0.00%             | 2026-12-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 12/20/2050#MA7051                                                                                                     | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    27356353 | PA      | $22812271.12   | 0.05%             | 2050-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                                            | PUGET ENERGY INC 4.1% 06/15/2030                                                                                                 | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     5379000 | PA      | $5267782.77    | 0.01%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                                            | SOCIETE GENERALE FRANCE 1.488%/VAR 12/14/2026 144A                                                                               | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    10614000 | PA      | $10599813.86   | 0.02%             | 2026-12-14      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 01/01/2051#                                                                                                       | CUSIP: 31418DV82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14835456 | PA      | $12755981.71   | 0.03%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 01/01/2051#MA4237                                                                                                   | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16966597 | PA      | $13938486.97   | 0.03%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                                                        | ONEMAIN FINANCE CORP 4% 09/15/2030                                                                                               | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      425000 | PA      | $398880.52     | 0.00%             | 2030-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCHWAB CHARLES CORP                                                                                         | SCHWAB CHARLES CORP 4%/VAR PERP                                                                                                  | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | EP               | CORP              | US        |      220000 | PA      | $205061.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                                             | CVS HEALTH CORP 1.875% 02/28/2031                                                                                                | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     2540000 | PA      | $2233919.31    | 0.01%             | 2031-02-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENFRAGEN ENERGIA SUR SA                                                                                     | ENFRAGEN ENERGIA SUR SA 5.375% 12/30/2030 144A                                                                                   | CUSIP: 29280LAA1<br>LEI: 2549002TO75PYMY3VY07 | Long             | DBT              | CORP              | ES        |      290000 | PA      | $269337.50     | 0.00%             | 2030-12-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 08/01/2050#SD0499                                                                                                   | CUSIP: 3132DMRU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      758999 | PA      | $686615.33     | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 01/01/2051#SD8121                                                                                                   | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      415309 | PA      | $340927.53     | 0.00%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 11/01/2049#SD7509                                                                                                   | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5261475 | PA      | $4769570.64    | 0.01%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 07/01/2050#MA4077                                                                                                   | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10676119 | PA      | $8780709.82    | 0.02%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 01/01/2051#SD8122                                                                                                 | CUSIP: 3132DWAX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5984895 | PA      | $5145997.11    | 0.01%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 11/01/2050#SD8106                                                                                                   | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11974160 | PA      | $9837074.20    | 0.02%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                                                       | TRANSCONTINENTAL GAS LINE LLC 3.25% 05/15/2030                                                                                   | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3285000 | PA      | $3143887.34    | 0.01%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ADAPTHEALTH LLC                                                                                             | ADAPTHEALTH LLC 4.625% 08/01/2029 144A                                                                                           | CUSIP: 00653VAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      143000 | PA      | $137987.91     | 0.00%             | 2029-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 1.5% 11/01/2035#SB8073                                                                                                 | CUSIP: 3132D56J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1631831 | PA      | $1483757.78    | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 1.5% 01/01/2036#SB8083                                                                                                 | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2072844 | PA      | $1878923.64    | 0.00%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 12/01/2035#FM4701                                                                                                 | CUSIP: 3140X8GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12713 | PA      | $11523.26      | 0.00%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 12/01/2035#MA4205                                                                                                 | CUSIP: 31418DU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1855519 | PA      | $1681929.96    | 0.00%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 1.5% 12/01/2035#SB8078                                                                                                 | CUSIP: 3132D56P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2770536 | PA      | $2511343.96    | 0.01%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SCRIPPS ESCROW II INC                                                                                       | SCRIPPS ESCROW II INC 3.875% 01/15/2029 144A                                                                                     | CUSIP: 81105DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      359000 | PA      | $334090.17     | 0.00%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                                                | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6% 12/31/2030 144A                                                  | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2782000 | PA      | $2772726.48    | 0.01%             | 2030-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GSA2                                                                                    | GS MTG SECS TR 2020-GSA2 1.721% 12/12/2053                                                                                       | CUSIP: 36264KAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4940000 | PA      | $4437471.58    | 0.01%             | 2053-12-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                                                          | ONE NEW YORK PLAZA TRUST 2020-1NYP TSFR1M+106.448 01/15/2026 144A                                                                | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      311000 | PA      | $299043.08     | 0.00%             | 2036-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SBA COMMUNICATIONS CORP                                                                                     | SBA COMMUNICATIONS CORP 3.875% 02/15/2027                                                                                        | CUSIP: 78410GAD6<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |      230000 | PA      | $228901.91     | 0.00%             | 2027-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 01/01/2041#MA4232                                                                                                   | CUSIP: 31418DV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1283693 | PA      | $1133582.71    | 0.00%             | 2041-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LENDING FUNDING TRUST 2020-2                                                                                | LENDING FUNDING TRUST 2020-2 2.32% 04/21/2031 144A                                                                               | CUSIP: 51507KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3340674 | PA      | $3277521.35    | 0.01%             | 2031-04-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY FIN LTD                                                                                         | STUDIO CITY FIN LTD 5% 01/15/2029 REGS                                                                                           | CUSIP: N/A<br>LEI: 254900D6R731QAUIG324       | Long             | DBT              | CORP              | VG        |      900000 | PA      | $849654.00     | 0.00%             | 2029-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                                                       | INDONESIA REPUBLIC OF 3.05% 03/12/2051                                                                                           | CUSIP: 455780CW4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     1180000 | PA      | $793845.00     | 0.00%             | 2051-03-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 2.95% 02/01/2051                                                                                   | CUSIP: 842400GY3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      257000 | PA      | $160263.91     | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 02/01/2041#                                                                                                         | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7094479 | PA      | $6260710.56    | 0.01%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX 2021-MFM1                                                                                                | BX 2021-MFM1 TSFR1M+311.448 01/15/2034 144A                                                                                      | CUSIP: 05608VAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       40957 | PA      | $40923.09      | 0.00%             | 2034-01-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN CORP                                                                                 | BERKSHIRE HATHAWAY FIN CORP 2.5% 01/15/2051                                                                                      | CUSIP: 084664CX7<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |      355000 | PA      | $218326.08     | 0.00%             | 2051-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECURITIZATION TR 2007 HE1                                                                        | HSI ASSET SECURITIZ TR 07 HE1 TSFR1M+25.448 01/25/2037                                                                           | CUSIP: 40430FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2157005 | PA      | $1690564.15    | 0.00%             | 2037-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| OHIO POWER CO                                                                                               | OHIO POWER CO 1.625% 01/15/2031                                                                                                  | CUSIP: 677415CT6<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     1075000 | PA      | $940670.78     | 0.00%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                                                      | STANDARD CHARTERED PLC 1.456%/VAR 01/14/2027 144A                                                                                | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $199266.42     | 0.00%             | 2027-01-14      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP/FIN CO                                                                                  | HILCORP ENERGY I LP/FIN CO 5.75% 02/01/2029 144A                                                                                 | CUSIP: 431318AU8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      620000 | PA      | $608954.82     | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP/FIN CO                                                                                  | HILCORP ENERGY I LP/FIN CO 6% 02/01/2031 144A                                                                                    | CUSIP: 431318AV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      150000 | PA      | $141122.01     | 0.00%             | 2031-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED LLC TR 2006 CB5                                                                    | SECURITIZED AB LLC TR 06 CB5 TSFR1M+39.448 06/25/2036                                                                            | CUSIP: 81376WAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1885092 | PA      | $1298654.30    | 0.00%             | 2036-06-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ANTERO RESOURCES CORPORATION                                                                                | ANTERO RESOURCES CORP 7.625% 02/01/2029 144A                                                                                     | CUSIP: 03674XAQ9<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |     3251000 | PA      | $3303016.00    | 0.01%             | 2029-02-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAP LLC / OUTFRONT MEDIA CAP CORP                                                            | OUTFRONT MEDIA CAP LLC / OUTFRONT MEDIA CAP CORP 4.25% 01/15/2029 144A                                                           | CUSIP: 69007TAE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      280000 | PA      | $272043.66     | 0.00%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 02/01/2051#MA4256                                                                                                 | CUSIP: 31418DWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5967853 | PA      | $5131343.97    | 0.01%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 02/01/2051#                                                                                                       | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5749510 | PA      | $4943605.64    | 0.01%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RALI SER 2007-QS3 TR                                                                                        | RALI SER 2007-QS3 TR 6.25% 02/25/2037                                                                                            | CUSIP: 75116BAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1838226 | PA      | $1502181.75    | 0.00%             | 2037-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RALI SER 2007-QS8 TR                                                                                        | RALI SERIES 2007-QS8 TRUST 6% 06/25/2037                                                                                         | CUSIP: 74922UAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      686182 | PA      | $561202.04     | 0.00%             | 2037-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR                                                                                         | CITIGROUP MTG LN TR 6% 11/25/2035                                                                                                | CUSIP: 17307GL71<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      761957 | PA      | $735215.71     | 0.00%             | 2035-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RALI SER 2006 QS4 TR                                                                                        | RALI SER 2006 QS4 TR 6% 04/25/2036                                                                                               | CUSIP: 749228AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1164887 | PA      | $952613.64     | 0.00%             | 2036-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 07/01/2040#MA4071                                                                                                   | CUSIP: 31418DQZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      523143 | PA      | $463718.06     | 0.00%             | 2040-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CROWDSTRIKE HOLDINGS INC                                                                                    | CROWDSTRIKE HOLDINGS INC 3% 02/15/2029                                                                                           | CUSIP: 22788CAA3<br>LEI: 549300YBY08K9KM4HX32 | Long             | DBT              | CORP              | US        |      200000 | PA      | $191571.84     | 0.00%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 02/01/2051#MA4255                                                                                                   | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2143780 | PA      | $1759829.72    | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECS TR                                                                                  | MASTR ASSET BACKED SECS TR TSFR1M+183.948 06/25/2035                                                                             | CUSIP: 57643LKC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1816559 | PA      | $1841733.77    | 0.00%             | 2035-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COML MTG SE 2021                                                                            | JP MORGAN CHASE COML MTG SE 2021 1.97387% 01/05/2040 144A                                                                        | CUSIP: 46592FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5725000 | PA      | $5262331.84    | 0.01%             | 2040-01-05      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 02/01/2051#SD8128                                                                                                   | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1331988 | PA      | $1093429.23    | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTG LN TR                                                                                        | CARRINGTON MTG LN TR STEP 12/25/2035                                                                                             | CUSIP: 144531EG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6683506 | PA      | $6523474.32    | 0.01%             | 2035-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                                                      | LOGICOR FINANCING SARL 0.875% 01/14/2031 REGS                                                                                    | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |      400000 | PA      | $405577.44     | 0.00%             | 2031-01-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                                                 | AVOLON HOLDINGS FUNDING LTD 2.125% 02/21/2026 144A                                                                               | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |       97000 | PA      | $96401.63      | 0.00%             | 2026-02-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS 06 HE4                                                                                   | MORGAN STANLEY ABS 06 HE4 STEP 06/25/2036                                                                                        | CUSIP: 61748BAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3171925 | PA      | $1610110.87    | 0.00%             | 2036-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYLOR SCOTT and WHITE HLDGS                                                                                | BAYLOR SCOTT and WHITE HLDGS 2.839% 11/15/2050                                                                                   | CUSIP: 072863AJ2<br>LEI: 549300JQDKSBWYRGGV95 | Long             | DBT              | CORP              | US        |      120000 | PA      | $78336.31      | 0.00%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 07/01/2050#RA3078                                                                                                   | CUSIP: 3133KJM33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1630893 | PA      | $1475360.02    | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERN FIN 2020-2 TR                                                                                | COREVEST AMERICAN FINANCE 2020-2 TRUST 4.244% 05/15/2052 144A                                                                    | CUSIP: 21872VAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3444135 | PA      | $3428205.88    | 0.01%             | 2052-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYLOR SCOTT and WHITE HLDGS                                                                                | BAYLOR SCOTT and WHITE HLDGS 1.777% 11/15/2030                                                                                   | CUSIP: 072863AH6<br>LEI: 549300JQDKSBWYRGGV95 | Long             | DBT              | CORP              | US        |      870000 | PA      | $780667.44     | 0.00%             | 2030-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES CO                                                                                | PIONEER NATURAL RESOURCES CO 2.15% 01/15/2031                                                                                    | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |      285000 | PA      | $259078.45     | 0.00%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                                                    | AMERICAN ASSETS TRUST LP 3.375% 02/01/2031                                                                                       | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |     3370000 | PA      | $3087371.21    | 0.01%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                                                       | CPI PROPERTY GROUP SA 3.75%/VAR PERP REGS                                                                                        | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | EP               | CORP              | LU        |      195000 | PA      | $202154.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                                                       | CPI PROPERTY GROUP SA 1.5% 01/27/2031 REGS                                                                                       | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | DBT              | CORP              | LU        |      175000 | PA      | $166510.22     | 0.00%             | 2031-01-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                                            | HILTON DOMESTIC OPERATING CO INC 3.625% 02/15/2032 144A                                                                          | CUSIP: 432833AN1<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      462000 | PA      | $429328.79     | 0.00%             | 2032-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                                                        | COMMERCIAL METALS CO 3.875% 02/15/2031                                                                                           | CUSIP: 201723AP8<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |      235000 | PA      | $222303.47     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                                                                          | HOWARD HUGHES CORP 4.375% 02/01/2031 144A                                                                                        | CUSIP: 44267DAF4<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |      455000 | PA      | $434692.03     | 0.00%             | 2031-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                                                                          | HOWARD HUGHES CORP 4.125% 02/01/2029 144A                                                                                        | CUSIP: 44267DAE7<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |      300000 | PA      | $291229.41     | 0.00%             | 2029-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WAMU MTG PASS THROUGH CTFS                                                                                  | WAMU MTG PASS THROUGH CTFS STEP 01/25/2045                                                                                       | CUSIP: 92922FD39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      660294 | PA      | $653371.85     | 0.00%             | 2045-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 2.802%/VAR 01/25/2052                                                                                             | CUSIP: 6174468Y8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      105000 | PA      | $68199.88      | 0.00%             | 2052-01-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LN TR 2007-OH3                                                                                  | ALTERNATIVE LN TR 2007-OH3 STEP 09/25/2047                                                                                       | CUSIP: 02151DAD6<br>LEI: 549300TXT201GGLA0F48 | Long             | ABS-CBDO         | CORP              | US        |     1469758 | PA      | $1332086.29    | 0.00%             | 2047-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AHS HOSPITAL CORP                                                                                           | AHS HOSPITAL CORP 2.78% 07/01/2051                                                                                               | CUSIP: 001306AC3<br>LEI: 549300D7W3C9Z4RGJG34 | Long             | DBT              | CORP              | US        |      315000 | PA      | $201123.06     | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020 MORTGAGE TRUST                                                                               | BENCHMARK 2020 MORTGAGE TRUST 1.685% 01/15/2054                                                                                  | CUSIP: 08163BBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3175000 | PA      | $2832263.51    | 0.01%             | 2054-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 1.928%/VAR 04/28/2032                                                                                             | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     5373000 | PA      | $4733100.47    | 0.01%             | 2032-04-28      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 1.992%/VAR 01/27/2032                                                                              | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     9990000 | PA      | $8898635.66    | 0.02%             | 2032-01-27      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MURPHY OIL USA INC                                                                                          | MURPHY OIL USA INC 3.75% 02/15/2031 144A                                                                                         | CUSIP: 626738AF5<br>LEI: N32S6DTR2ZZ5222WHV58 | Long             | DBT              | CORP              | US        |      340000 | PA      | $318762.04     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 10/01/2043#BM5466                                                                                                 | CUSIP: 3140JACC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      493996 | PA      | $442498.32     | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BCAP LLC 2010-RR4-II TR                                                                                     | BCAP LLC 2010-RR4-II TR CSTR 01/26/2037 144A                                                                                     | CUSIP: 05532XCY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2484195 | PA      | $1887927.73    | 0.00%             | 2037-01-26      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PHH                                             | J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PHH TSFR1M+125.7 06/15/2035 144A                                     | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      484543 | PA      | $409596.32     | 0.00%             | 2035-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                                                | US FOODS INC 4.75% 02/15/2029 144A                                                                                               | CUSIP: 90290MAD3<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99534.24      | 0.00%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 03/01/2036#                                                                                                       | CUSIP: 31418DXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      260735 | PA      | $236342.38     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NRZ EXCESS SPREAD-COLLATERALIZED NOTES SERIES 2020-PLS1                                                     | NRZ EXCESS SPREAD-COLLATERALIZED NOTES SERIES 2020-PLS1 3.844% 12/25/2025 144A                                                   | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       93178 | PA      | $93070.98      | 0.00%             | 2025-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                                                | UBS GROUP AG 1.305%/VAR 02/02/2027 144A                                                                                          | CUSIP: 225401AT5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      500000 | PA      | $497370.27     | 0.00%             | 2027-02-02      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT CSTR 06/25/2029                                                                                   | CUSIP: 3137FNAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13344686 | PA      | $378538.03     | 0.00%             | 2029-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 1.04%/VAR 02/04/2027                                                                                       | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     5245000 | PA      | $5217534.09    | 0.01%             | 2027-02-04      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 1.953%/VAR 02/04/2032                                                                                      | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3520000 | PA      | $3137371.92    | 0.01%             | 2032-02-04      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 01/01/2048#FM5661                                                                                                 | CUSIP: 3140X9JF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      923117 | PA      | $880014.95     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA DEPT ARPTS REV                                                                               | LA CA AIRPT 2.163% 5/15/2035                                                                                                     | CUSIP: 544445UE7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      500000 | PA      | $414533.75     | 0.00%             | 2035-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA DEPT ARPTS REV                                                                               | LA CA AIRPT 2.063% 5/15/2034                                                                                                     | CUSIP: 544445UD9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      500000 | PA      | $421500.40     | 0.00%             | 2034-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTG SECS TR 2007 1                                                                                | NEWCASTLE MTG SECS TR 2007 1 STEP 04/25/2037                                                                                     | CUSIP: 65106FAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      604035 | PA      | $600953.37     | 0.00%             | 2037-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK31                                                                                             | BANK 2021-BNK31 02/2054                                                                                                          | CUSIP: 06541ABN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7000000 | PA      | $246996.40     | 0.00%             | 2054-02-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / ACRISURE FINANCE INC                                                                         | ACRISURE LLC / ACRISURE FINANCE INC 4.25% 02/15/2029 144A                                                                        | CUSIP: 00489LAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $97132.45      | 0.00%             | 2029-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B23 MTG TR                                                                                   | BENCHMARK 2021-B23 MTG TR 1.823% 02/15/2054                                                                                      | CUSIP: 08162RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1765491.60    | 0.00%             | 2054-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HENLEY CLO IV DAC                                                                                           | HENLEY CLO IV DAC A 3MEUR+90 04/25/2034 144A                                                                                     | CUSIP: N/A<br>LEI: 6354009HFM8XXW6PPK55       | Long             | ABS-CBDO         | CORP              | IE        |     1802828 | PA      | $2091785.76    | 0.00%             | 2034-04-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                                            | ALTRIA GROUP INC 2.45% 02/04/2032                                                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      157000 | PA      | $139160.53     | 0.00%             | 2032-02-04      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                                            | ALTRIA GROUP INC 3.4% 02/04/2041                                                                                                 | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     2030000 | PA      | $1582208.41    | 0.00%             | 2041-02-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                                                   | APPLE INC 2.65% 02/08/2051                                                                                                       | CUSIP: 037833EF3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     1211000 | PA      | $773710.84     | 0.00%             | 2051-02-08      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 2.196% 02/04/2026                                                                                                      | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    38850000 | PA      | $38693763.95   | 0.09%             | 2026-02-04      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LEVI STRAUSS and CO                                                                                         | LEVI STRAUSS and CO 3.5% 03/01/2031 144A                                                                                         | CUSIP: 52736RBJ0<br>LEI: MB0UERO0RDFKU8258G77 | Long             | DBT              | CORP              | US        |      170000 | PA      | $158444.05     | 0.00%             | 2031-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                                                          | EXPAND ENERGY CORP 5.875% 02/01/2029 144A                                                                                        | CUSIP: 165167DG9<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     1575000 | PA      | $1576501.29    | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 09/01/2049#CA4106                                                                                                   | CUSIP: 3140QBR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      392886 | PA      | $357750.40     | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WHITBREAD GROUP PLC                                                                                         | WHITBREAD GROUP PLC 2.375% 05/31/2027 REGS                                                                                       | CUSIP: N/A<br>LEI: 2138006LIAYQKUCYBB20       | Long             | DBT              | CORP              | GB        |      195000 | PA      | $249908.63     | 0.00%             | 2027-05-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 06/01/2048#SD0354                                                                                                   | CUSIP: 3132DMMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7961526 | PA      | $7326659.86    | 0.02%             | 2048-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 1.875% 02/15/2051                                                                                    | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    39961000 | PA      | $23077477.50   | 0.05%             | 2051-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DIVERSIFIED HEALTHCARE TR                                                                                   | DIVERSIFIED HEALTHCARE TR 4.375% 03/01/2031                                                                                      | CUSIP: 25525PAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      350000 | PA      | $308046.03     | 0.00%             | 2031-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UPBOUND GROUP INC                                                                                           | UPBOUND GROUP INC 6.375% 02/15/2029 144A                                                                                         | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |      300000 | PA      | $292942.23     | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2049                                                                                   | CUSIP: 3137FRHM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1615923 | PA      | $1343653.54    | 0.00%             | 2049-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTG SECS INC                                                                                     | AMERIQUEST MTG SECS INC TSFR1M+131.448 11/25/2034                                                                                | CUSIP: 03072SVT9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3108480 | PA      | $2966009.55    | 0.01%             | 2034-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES 2006-A2                                                       | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES 2006-A2 STEP 02/25/2036                                                            | CUSIP: 590215AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5043070 | PA      | $2662046.20    | 0.01%             | 2036-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV                                                                 | NYC TFA (PIT) 1.97% 2/1/2033                                                                                                     | CUSIP: 64971XXC7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     2015000 | PA      | $1723923.58    | 0.00%             | 2033-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ADTALEM GLOBAL EDUCATION INC                                                                                | ADTALEM GLOBAL EDUCATION INC 5.5% 03/01/2028 144A                                                                                | CUSIP: 00737WAA7<br>LEI: 549300Z467EZLMODV621 | Long             | DBT              | CORP              | US        |      445000 | PA      | $443996.30     | 0.00%             | 2028-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES STEEL CORP                                                                                    | UNITED STATES STEEL CORP 6.875% 03/01/2029                                                                                       | CUSIP: 912909AU2<br>LEI: JNLUVFYJT1OZSIQ24U47 | Long             | DBT              | CORP              | US        |      167000 | PA      | $168393.28     | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                                                             | PENNYMAC FINANCIAL SERVICES INC 4.25% 02/15/2029 144A                                                                            | CUSIP: 70932MAB3<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |     2325000 | PA      | $2272333.64    | 0.01%             | 2029-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2051#MA4281                                                                                                   | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    30984807 | PA      | $25435434.24   | 0.06%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PERATON CORP                                                                                                | PERATON TERM B 1LN 02/01/2028                                                                                                    | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |      297259 | PA      | $260262.02     | 0.00%             | 2028-02-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS BIDCO LTD                                                                            | GALAXY PIPELINE ASSETS BIDCO LTD 2.16% 03/31/2034 REGS                                                                           | CUSIP: N/A<br>LEI: 549300L82YB0C6JQIC26       | Long             | DBT              | CORP              | JE        |      251708 | PA      | $227108.94     | 0.00%             | 2034-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                                                        | CLEVELAND-CLIFFS INC 4.875% 03/01/2031 144A                                                                                      | CUSIP: 185899AL5<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      110000 | PA      | $104372.93     | 0.00%             | 2031-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                                                        | CLEVELAND-CLIFFS INC 4.625% 03/01/2029 144A                                                                                      | CUSIP: 185899AK7<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      194000 | PA      | $189524.94     | 0.00%             | 2029-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTYS LP and RHP FIN CORP                                                                         | RHP HOTEL PPTYS LP and RHP FIN CORP 4.5% 02/15/2029 144A                                                                         | CUSIP: 749571AG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $98646.58      | 0.00%             | 2029-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                                            | CROWN CASTLE INC 2.1% 04/01/2031                                                                                                 | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $881582.33     | 0.00%             | 2031-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 03/01/2051#SD8134                                                                                                   | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4141215 | PA      | $3399524.11    | 0.01%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 02/01/2041#MA4269                                                                                                 | CUSIP: 31418DW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      327631 | PA      | $297370.37     | 0.00%             | 2041-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/01/2051#MA4282                                                                                                 | CUSIP: 31418DXL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6870885 | PA      | $5907798.12    | 0.01%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 11/01/2050#MA4183                                                                                                 | CUSIP: 31418DUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      936272 | PA      | $805620.39     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                                            | CENTENE CORP 2.5% 03/01/2031                                                                                                     | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     3755000 | PA      | $3237345.09    | 0.01%             | 2031-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 2.9% 02/16/2028                                                                                         | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      275000 | PA      | $263765.91     | 0.00%             | 2028-02-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 3.875%/VAR PERP                                                                                                    | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EP               | CORP              | US        |     4320000 | PA      | $4302871.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ONE 2021-PARK MORTGAGE TRUST                                                                                | ONE 2021-PARK MORTGAGE TRUST TSFR1M+186.448 03/15/2036 144A                                                                      | CUSIP: 682413AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2326000 | PA      | $2165705.80    | 0.00%             | 2036-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 1.875% 02/15/2041                                                                                    | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      638700 | PA      | $455098.70     | 0.00%             | 2041-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | USTN TII 0.125% 02/15/2051                                                                                                       | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    39600000 | PA      | $27534989.04   | 0.06%             | 2051-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO I DAC                                                                                      | INVESCO EURO CLO I DAC A1R 3MEUR+65 07/15/2031 144A                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |     5760164 | PA      | $6670839.95    | 0.02%             | 2031-07-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 02/01/2051#FM5997                                                                                                   | CUSIP: 3140X9UX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32787 | PA      | $27263.52      | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 01/20/2051#MA7135                                                                                                     | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    38035964 | PA      | $31720894.92   | 0.07%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 02/20/2051#MA7192                                                                                                     | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6089125 | PA      | $5076489.90    | 0.01%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INGENOVIS HEALTH INC                                                                                        | CCRR PARENT TERM B 1LN 3/6/2028                                                                                                  | CUSIP: 12510MAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      111086 | PA      | $34992.05      | 0.00%             | 2028-03-06      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                                                | WP CAREY INC 2.25% 04/01/2033                                                                                                    | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     3969000 | PA      | $3356008.55    | 0.01%             | 2033-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                                                                            | ANCESTRY.COM TERM B 1LN 12/6/2027                                                                                                | CUSIP: 03952HAD6<br>LEI: 2549009ADY4208OH2Y47 | Long             | LON              | CORP              | US        |      107295 | PA      | $107421.54     | 0.00%             | 2027-12-06      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR RENT LLC / AVIS BUDGET FINANCE INC                                                          | AVIS BUDG CAR RENT LLC/FIN INC 5.375% 03/01/2029 144A                                                                            | CUSIP: 053773BF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       68000 | PA      | $65913.39      | 0.00%             | 2029-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BATTALION CLO X LTD / BATTALION CLO X LLC                                                                   | BATTALION CLO X LTD / BATTALION CLO X LLC A1R2 TSFR3M+143.161 01/25/2035 144A                                                    | CUSIP: 07132JBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12000000 | PA      | $12001488.00   | 0.03%             | 2035-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC                                                                                      | COMSTOCK RESOURCES INC 6.75% 03/01/2029 144A                                                                                     | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |      496000 | PA      | $497503.87     | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 3.5% 06/01/2041                                  | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8794000 | PA      | $6274322.28    | 0.01%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2021-C9                                                                                        | BBCMS MTG TR 2021-C9 A4 2.021% 02/15/2054                                                                                        | CUSIP: 05493EAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9940254 | PA      | $8989358.02    | 0.02%             | 2054-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 3.9% 06/01/2052                                  | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1255000 | PA      | $823901.10     | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                                                                         | SPECTRUM BRANDS INC 3.875% 03/15/2031 144A                                                                                       | CUSIP: 84762LAX3<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |      254000 | PA      | $207006.93     | 0.00%             | 2031-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 04/50#CA5539                                                                                                        | CUSIP: 3140QDEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9917693 | PA      | $8978072.74    | 0.02%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2021                                                                                              | CIM TRUST 2021-R1 A2 2.4% 08/25/2056 144A                                                                                        | CUSIP: 12563RAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3378432 | PA      | $3140637.58    | 0.01%             | 2056-08-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HUDBAY MINERALS INC                                                                                         | HUDBAY MINERALS INC 4.5% 04/01/2026 144A                                                                                         | CUSIP: 443628AJ1<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |      190000 | PA      | $190182.40     | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPERATING CO LLC / GD FINANCE CO INC                                                               | GO DADDY OPERATING CO LLC / GD FINANCE CO INC 3.5% 03/01/2029 144A                                                               | CUSIP: 38016LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      465000 | PA      | $445007.65     | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRINET GROUP INC                                                                                            | TRINET GROUP INC 3.5% 03/01/2029 144A                                                                                            | CUSIP: 896288AA5<br>LEI: 5299003FJVBETSFKE990 | Long             | DBT              | CORP              | US        |      165000 | PA      | $155693.44     | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 1.5% 03/01/2036#RC1880                                                                                                 | CUSIP: 3133L8CR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      312852 | PA      | $283583.58     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                                                          | ESSEX PORTFOLIO LP 1.7% 03/01/2028                                                                                               | CUSIP: 29717PAY3<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |      515000 | PA      | $488363.31     | 0.00%             | 2028-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TTM TECHNOLOGIES INC                                                                                        | TTM TECHNOLOGIES INC 4% 03/01/2029 144A                                                                                          | CUSIP: 87305RAK5<br>LEI: 549300SC4BDOIS008048 | Long             | DBT              | CORP              | US        |      265000 | PA      | $256668.21     | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPIN HOLDCO INC                                                                                             | CSC SERVICEWORKS TERM B 1LN 03/04/2028                                                                                           | CUSIP: 84850XAK8<br>LEI: 549300QAS44U2GUXGK45 | Long             | LON              | CORP              | US        |      351857 | PA      | $286411.33     | 0.00%             | 2028-03-04      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                                            | GEORGIA POWER CO 3.25% 03/15/2051                                                                                                | CUSIP: 373334KP5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      189000 | PA      | $131384.40     | 0.00%             | 2051-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 09/01/2035#MA4124                                                                                                 | CUSIP: 31418DSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3128154 | PA      | $2977654.81    | 0.01%             | 2035-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SERBIA REPUBLIC OF                                                                                          | SERBIA REPUBLIC OF 1.65% 03/03/2033 REGS                                                                                         | CUSIP: N/A<br>LEI: 254900W94OCY91V32O78       | Long             | DBT              | NUSS              | RS        |      183000 | PA      | $178086.67     | 0.00%             | 2033-03-03      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                                                | SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030                                                                                     | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    13346000 | PA      | $13425103.34   | 0.03%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 03/01/2041#MA4287                                                                                                   | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1878600 | PA      | $1656877.51    | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES CSTR 12/25/2027                                                     | CUSIP: 3137FF3Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   138627116 | PA      | $1294000.95    | 0.00%             | 2027-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| HILLENBRAND INC                                                                                             | HILLENBRAND INC 3.75% 03/01/2031                                                                                                 | CUSIP: 431571AE8<br>LEI: U246OE781574J2BUD366 | Long             | DBT              | CORP              | US        |      291000 | PA      | $291125.13     | 0.00%             | 2031-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC                                   | ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 3.25% 09/01/2028 144A                                  | CUSIP: 03969YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      280000 | PA      | $269568.01     | 0.00%             | 2028-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC                                   | ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 4% 09/01/2029 144A                                     | CUSIP: 03969YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      210000 | PA      | $195455.32     | 0.00%             | 2029-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DATABANK ISSUER LLC 2021-1A                                                                                 | DATABANK ISSUER LLC 2021-1A A2 2.06% 02/27/2051 144A                                                                             | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      564627 | PA      | $560367.57     | 0.00%             | 2051-02-27      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SERBIA REPUBLIC OF                                                                                          | SERBIA REPUBLIC OF 1.65% 03/03/2033 144A                                                                                         | CUSIP: N/A<br>LEI: 254900W94OCY91V32O78       | Long             | DBT              | NUSS              | RS        |      671000 | PA      | $652984.45     | 0.00%             | 2033-03-03      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SUPERIOR PLUS LP / SUPERIOR GEN PARTNER INC                                                                 | SUPERIOR PLUS LP / SUPERIOR GEN PARTNER INC 4.5% 03/15/2029 144A                                                                 | CUSIP: 86828LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      216000 | PA      | $208916.13     | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRONOX INC                                                                                                  | TRONOX INC 4.625% 03/15/2029 144A                                                                                                | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |      100000 | PA      | $64595.02      | 0.00%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 1.431%/VAR 03/09/2027                                                                              | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     9480000 | PA      | $9408353.29    | 0.02%             | 2027-03-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ACCO BRANDS CORP                                                                                            | ACCO BRANDS CORP 4.25% 03/15/2029 144A                                                                                           | CUSIP: 00081TAK4<br>LEI: JCT8P4Y190IH4I1NX328 | Long             | DBT              | CORP              | US        |      462000 | PA      | $418824.81     | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                                           | CIGNA GROUP (THE) 2.375% 03/15/2031                                                                                              | CUSIP: 125523CM0<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     1938000 | PA      | $1756334.54    | 0.00%             | 2031-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                                                                                | NNN REIT INC 3.5% 04/15/2051                                                                                                     | CUSIP: 637417AQ9<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |      310000 | PA      | $220659.24     | 0.00%             | 2051-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                                                               | CLEARWAY ENERGY OPER LLC 3.75% 02/15/2031 144A                                                                                   | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |      225000 | PA      | $209646.29     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                                            | BRIXMOR OPERATING PARTNERSHIP LP 2.25% 04/01/2028                                                                                | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     3700000 | PA      | $3547292.68    | 0.01%             | 2028-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OWENS and MINOR INC                                                                                         | OWENS and MINOR INC 4.5% 03/31/2029 144A                                                                                         | CUSIP: 690732AF9<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |      255000 | PA      | $180335.19     | 0.00%             | 2029-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KFC HOLDING CO                                                                                              | YUM BRANDS TERM B 1LN 03/15/2028                                                                                                 | CUSIP: 72584DAF1<br>LEI: 549300G2LG4YUB3MM115 | Long             | LON              | CORP              | US        |      402281 | PA      | $402784.05     | 0.00%             | 2028-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CONSTANT CONTACT INC                                                                                        | CONSTANT CONTACT TERM B 1LN 02/10/2028                                                                                           | CUSIP: 21031HAC5<br>LEI: 2549000JW50H0AI5B946 | Long             | LON              | CORP              | US        |      197766 | PA      | $188937.67     | 0.00%             | 2028-02-10      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 03/20/2051#MA7254                                                                                                     | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3498525 | PA      | $2917668.86    | 0.01%             | 2051-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY INC                                                                                           | SUNCOR ENERGY INC 3.75% 03/04/2051                                                                                               | CUSIP: 867224AE7<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |      695000 | PA      | $502071.68     | 0.00%             | 2051-03-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                                           | PERU REPUBLIC OF 3.55% 03/10/2051                                                                                                | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     1000000 | PA      | $717000.00     | 0.00%             | 2051-03-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                                              | OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033                                                                                  | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |     5599000 | PA      | $4992130.04    | 0.01%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                                                  | COPT DEFENSE PROPERTIES LP 2.75% 04/15/2031                                                                                      | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     6209000 | PA      | $5649721.28    | 0.01%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC T1Y+NA 03/10/2032                                                                                                   | CUSIP: 06738EBR5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     8625000 | PA      | $7868461.14    | 0.02%             | 2032-03-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2051#                                                                                                       | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14895826 | PA      | $12807890.07   | 0.03%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 11/01/2049#QA4692                                                                                                   | CUSIP: 31346YF99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6629601 | PA      | $6009787.61    | 0.01%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 03/01/2051#SD8135                                                                                                 | CUSIP: 3132DWBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13456790 | PA      | $11570562.92   | 0.03%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 03/20/2051#MA7255                                                                                                   | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11251592 | PA      | $9774573.75    | 0.02%             | 2051-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AGILENT TECHNOLOGIES INC                                                                                    | AGILENT TECHNOLOGIES INC 2.3% 03/12/2031                                                                                         | CUSIP: 00846UAN1<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | DBT              | CORP              | US        |     1245000 | PA      | $1128124.23    | 0.00%             | 2031-03-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ATLANTIC CITY ELECTRIC CO                                                                                   | ATLANTIC CITY ELECTRIC CO 2.3% 03/15/2031                                                                                        | CUSIP: 048303CJ8<br>LEI: 549300S5TW3VP5V06B73 | Long             | DBT              | CORP              | US        |      425000 | PA      | $385573.88     | 0.00%             | 2031-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                                                           | BERKSHIRE HATHAWAY ENERGY COMPANY 2.85% 05/15/2051                                                                               | CUSIP: 084659BC4<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |       80000 | PA      | $50593.60      | 0.00%             | 2051-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                                                    | LLOYDS BANKING GROUP PLC 1.627%/VAR 05/11/2027                                                                                   | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      520000 | PA      | $514064.53     | 0.00%             | 2027-05-11      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B24 MTG TR                                                                                   | BENCHMARK 2021-B24 MTG TR 2.2638% 03/15/2054                                                                                     | CUSIP: 08163CBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5800000 | PA      | $5268772.20    | 0.01%             | 2054-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2051#BR5633                                                                                                   | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      479353 | PA      | $398144.48     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.5% 11/01/2050#MA4181                                                                                                 | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4276947 | PA      | $3332619.66    | 0.01%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 04/01/2051#MA4305                                                                                                   | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    24352228 | PA      | $19975528.95   | 0.05%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALCOA NEDERLAND HOLDING BV                                                                                  | ALCOA NEDERLAND HOLDING BV 4.125% 03/31/2029 144A                                                                                | CUSIP: 013822AG6<br>LEI: 5493000UL1QLQLT1VQ42 | Long             | DBT              | CORP              | NL        |      110000 | PA      | $107716.26     | 0.00%             | 2029-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                                                | CHARLES RIVER LABS INTL INC 3.75% 03/15/2029 144A                                                                                | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |      557000 | PA      | $537399.78     | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 2.651%/VAR 03/11/2032                                                                                | CUSIP: 06051GJP5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    22866000 | PA      | $21076659.36   | 0.05%             | 2032-03-11      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 4.2% 06/01/2041                                                                                      | CUSIP: 694308JU2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      263000 | PA      | $218815.01     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 1.5% 11/01/2050#SD8104                                                                                                 | CUSIP: 3132DWAD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3057569 | PA      | $2382474.33    | 0.01%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 1.658%/VAR 03/11/2027                                                                                | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2305000 | PA      | $2288429.61    | 0.01%             | 2027-03-11      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC / AADVANTAGE LOYALTY IP LTD                                                           | AMERICAN AIRLINES INC / AADVANTAGE LOYALTY IP LTD 5.5% 04/20/2026 144A                                                           | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       90337 | PA      | $90495.37      | 0.00%             | 2026-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC / AADVANTAGE LOYALTY IP LTD                                                           | AMERICAN AIRLINES INC / AADVANTAGE LOYALTY IP LTD 5.75% 04/20/2029 144A                                                          | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2515520 | PA      | $2545127.67    | 0.01%             | 2029-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                                                     | CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A                                                                                    | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8357192 | PA      | $6821630.64    | 0.02%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 03/01/2036#CA9439                                                                                                 | CUSIP: 3140QHPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2733330 | PA      | $2600118.03    | 0.01%             | 2036-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                                             | SANTANDER UK GROUP HOLDINGS PLC 2.896%/VAR 03/15/2032                                                                            | CUSIP: 80281LAP0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      204000 | PA      | $187664.87     | 0.00%             | 2032-03-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                                                     | PIEDMONT NATURAL GAS CO 2.5% 03/15/2031                                                                                          | CUSIP: 720186AN5<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |      147000 | PA      | $133693.53     | 0.00%             | 2031-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SYNAPTICS INC                                                                                               | SYNAPTICS INC 4% 06/15/2029 144A                                                                                                 | CUSIP: 87157DAG4<br>LEI: 549300AJ3LI4FWNRQX29 | Long             | DBT              | CORP              | US        |      290000 | PA      | $278607.58     | 0.00%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2049#FM6043                                                                                                 | CUSIP: 3140X9WD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      836965 | PA      | $786334.27     | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 3.25% 06/01/2031                                                                                     | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      550000 | PA      | $511207.42     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 1.5% 04/01/2051#SD8139                                                                                                 | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    39369547 | PA      | $30578536.04   | 0.07%             | 2051-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CWALT INC                                                                                                   | CWALT INC 6% 10/25/2034                                                                                                          | CUSIP: 12667FRY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        4942 | PA      | $5060.32       | 0.00%             | 2034-10-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 1.5% 12/01/2040#MA4202                                                                                                 | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1824671 | PA      | $1562913.88    | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                                                  | VERIZON COMMUNICATIONS INC 2.1% 03/22/2028                                                                                       | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3451944.10    | 0.01%             | 2028-03-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOMNIGROUP INTERNATIONAL INC                                                                                | SOMNIGROUP INTERNATIONAL INC 4% 04/15/2029 144A                                                                                  | CUSIP: 88023UAH4<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |     1006000 | PA      | $979543.91     | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SASOL FING USA LLC                                                                                          | SASOL FING USA LLC 4.375% 09/18/2026                                                                                             | CUSIP: 80386WAC9<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |      810000 | PA      | $804435.30     | 0.00%             | 2026-09-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 04/01/2051#SD8141                                                                                                 | CUSIP: 3132DWBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    17771488 | PA      | $15280472.32   | 0.03%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                                                     | ENTERGY MISSISSIPPI LLC 3.5% 06/01/2051                                                                                          | CUSIP: 29366WAB2<br>LEI: FKUZOUT82DOBGXFS6K20 | Long             | DBT              | CORP              | US        |       96000 | PA      | $68996.88      | 0.00%             | 2051-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 3% 03/01/2040#FM6134                                                                                                   | CUSIP: 3140X9Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41010 | PA      | $38995.41      | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO II LTD                                                                                         | GREYWOLF CLO II LTD A1SR TSFR3M+140 04/15/2034 144A                                                                              | CUSIP: 398079AW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    35000000 | PA      | $35025130.00   | 0.08%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                                              | MICROSOFT CORP 2.921% 03/17/2052                                                                                                 | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     1384000 | PA      | $940827.64     | 0.00%             | 2052-03-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                                                                     | SENSATA TECHNOLOGIES BV 4% 04/15/2029 144A                                                                                       | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |      105000 | PA      | $102522.54     | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FERRELLGAS L P /FERRELLGAS FIN                                                                              | FERRELLGAS L P /FERRELLGAS FIN 5.875% 04/01/2029 144A                                                                            | CUSIP: 315289AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1124000 | PA      | $1073704.48    | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRIMAS CORP                                                                                                 | TRIMAS CORP 4.125% 04/15/2029 144A                                                                                               | CUSIP: 896215AH3<br>LEI: 75G1WUQ8QK4P5MZOYD78 | Long             | DBT              | CORP              | US        |      266000 | PA      | $261011.33     | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| YUM BRANDS INC                                                                                              | YUM BRANDS INC 4.625% 01/31/2032                                                                                                 | CUSIP: 988498AP6<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |      520000 | PA      | $512013.06     | 0.00%             | 2032-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                                            | T-MOBILE USA INC 3.375% 04/15/2029                                                                                               | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     2445000 | PA      | $2383136.85    | 0.01%             | 2029-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                                            | T-MOBILE USA INC 2.625% 04/15/2026                                                                                               | CUSIP: 87264ABU8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     3800000 | PA      | $3780380.87    | 0.01%             | 2026-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VM CONSOLIDATED INC                                                                                         | VM CONSOLIDATED INC 5.5% 04/15/2029 144A                                                                                         | CUSIP: 91835HAA0<br>LEI: 549300GCTGJLEBXJUK89 | Long             | DBT              | CORP              | US        |      180000 | PA      | $179871.37     | 0.00%             | 2029-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 02/01/2050#SD0265                                                                                                   | CUSIP: 3132DMJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3614430 | PA      | $3273122.02    | 0.01%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CLEAN RENEWABLE POWER (MAURITIUS) PTE LTD                                                                   | CLEAN RENEWABLE POWER (MAURITIUS) PTE LTD 4.25% 03/25/2027 REGS                                                                  | CUSIP: N/A<br>LEI: 2138003P9CSDW7P4MT75       | Long             | DBT              | CORP              | MU        |     1078000 | PA      | $1048355.00    | 0.00%             | 2027-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK32                                                                                             | BANK 2021-BNK32 2.349% 04/15/2054                                                                                                | CUSIP: 06542BBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20000000 | PA      | $18353716.00   | 0.04%             | 2054-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                                                        | LIFE 2021-BMR MTG TR TSFR1M+121.448 03/15/2036 144A                                                                              | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      112353 | PA      | $111806.73     | 0.00%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG'06 PTY LTD                                                                                | FMG RES AUGUST 2006 PTY LTD 4.375% 04/01/2031 144A                                                                               | CUSIP: 30251GBC0<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |       76000 | PA      | $73308.90      | 0.00%             | 2031-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 1.25% 03/31/2028                                                                                                       | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2036400 | PA      | $1935375.46    | 0.00%             | 2028-03-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| TEREX CORP                                                                                                  | TEREX CORP NEW 5% 05/15/2029 144A                                                                                                | CUSIP: 880779BA0<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |      200000 | PA      | $198696.46     | 0.00%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                                                      | DIAMONDBACK ENERGY INC 3.125% 03/24/2031                                                                                         | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     4744000 | PA      | $4434291.00    | 0.01%             | 2031-03-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GREENKO DUTCH BV                                                                                            | GREENKO DUTCH BV 3.85% 03/29/2026 REGS                                                                                           | CUSIP: N/A<br>LEI: 724500PT585P4JPVRP08       | Long             | DBT              | CORP              | NL        |     1211000 | PA      | $1197376.25    | 0.00%             | 2026-03-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 3.65% 03/25/2041                                                                                                     | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      255000 | PA      | $194009.73     | 0.00%             | 2041-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 4.1% 03/25/2061                                                                                                      | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      429000 | PA      | $289696.80     | 0.00%             | 2061-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 2.3% 03/25/2028                                                                                                      | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1430930.12    | 0.00%             | 2028-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 3.95% 03/25/2051                                                                                                     | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       47000 | PA      | $32706.67      | 0.00%             | 2051-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NCR VOYIX CORP                                                                                              | NCR VOYIX CORP 5.125% 04/15/2029 144A                                                                                            | CUSIP: 62886EBA5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |      245000 | PA      | $242713.83     | 0.00%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GREENKO DUTCH BV                                                                                            | GREENKO DUTCH BV 3.85% 03/29/2026 144A                                                                                           | CUSIP: 39530LAD2<br>LEI: 724500PT585P4JPVRP08 | Long             | DBT              | CORP              | NL        |      173000 | PA      | $171053.75     | 0.00%             | 2026-03-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSAIL 2021-C20                                                                                              | CSAIL 2021-C20 2.4862% 03/15/2054                                                                                                | CUSIP: 22945EAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14793801 | PA      | $13802687.22   | 0.03%             | 2054-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                                                | ING GROEP NV 1.726%/VAR 04/01/2027                                                                                               | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     5935000 | PA      | $5886469.51    | 0.01%             | 2027-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GENPACT LUXEMBOURG SARL / GENPACT USA INC                                                                   | GENPACT LUXEMBOURG SARL / GENPACT USA INC 1.75% 04/10/2026                                                                       | CUSIP: 37190AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      960000 | PA      | $951300.44     | 0.00%             | 2026-04-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2051#BR0462                                                                                                 | CUSIP: 3140KXQQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      578364 | PA      | $501994.42     | 0.00%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                                                 | ROYAL CARIBBEAN CRUISES LTD 5.5% 04/01/2028 144A                                                                                 | CUSIP: 780153BG6<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     3845000 | PA      | $3913127.06    | 0.01%             | 2028-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DYCOM INDUSTRIES INC                                                                                        | DYCOM INDUSTRIES INC 4.5% 04/15/2029 144A                                                                                        | CUSIP: 267475AD3<br>LEI: 549300F56EKTHQI3WT60 | Long             | DBT              | CORP              | US        |      492000 | PA      | $485427.42     | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IMOLA MERGER CORP                                                                                           | IMOLA MERGER CORP 4.75% 05/15/2029 144A                                                                                          | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      677000 | PA      | $668704.31     | 0.00%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                                         | AMERICAN TOWER CORP 2.7% 04/15/2031                                                                                              | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     2270000 | PA      | $2083112.51    | 0.00%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                                                 | CENCORA INC 2.7% 03/15/2031                                                                                                      | CUSIP: 03073EAT2<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |     5980000 | PA      | $5532882.70    | 0.01%             | 2031-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BWX TECHNOLOGIES INC                                                                                        | BWX TECHNOLOGIES INC 4.125% 04/15/2029 144A                                                                                      | CUSIP: 05605HAC4<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |      442000 | PA      | $433759.00     | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                                                   | DUKE ENERGY CAROLINAS LLC 3.45% 04/15/2051                                                                                       | CUSIP: 26442CBC7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      410000 | PA      | $296388.31     | 0.00%             | 2051-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                                                          | EXPAND ENERGY CORP 6.75% 04/15/2029 144A                                                                                         | CUSIP: 92735LAA0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     1690000 | PA      | $1702292.64    | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KOHLS CORP                                                                                                  | KOHLS CORP 5.125% 05/01/2031                                                                                                     | CUSIP: 500255AX2<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |      100000 | PA      | $85885.79      | 0.00%             | 2031-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC                                                                               | UNITED WHOLESALE MORTGAGE LLC 5.5% 04/15/2029 144A                                                                               | CUSIP: 913229AA8<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98965.70      | 0.00%             | 2029-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE and RUBBER CO                                                                                 | GOODYEAR TIRE and RUBBER CO 5.25% 04/30/2031                                                                                     | CUSIP: 382550BJ9<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |      517000 | PA      | $493484.20     | 0.00%             | 2031-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE and RUBBER CO                                                                                 | GOODYEAR TIRE and RUBBER CO 5.625% 04/30/2033                                                                                    | CUSIP: 382550BK6<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |      100000 | PA      | $94189.50      | 0.00%             | 2033-04-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMCC 2021-MHC                                                                                              | JPMCC 2021-MHC E TSFR1M+256.448 04/15/2038 144A                                                                                  | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17000 | PA      | $16999.99      | 0.00%             | 2038-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 08/01/2050#BP6618                                                                                                 | CUSIP: 3140KEK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8183375 | PA      | $7051661.35    | 0.02%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 04/51#MA7311                                                                                                          | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      552901 | PA      | $460930.77     | 0.00%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2048#BM4426                                                                                                 | CUSIP: 3140J84L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1198447 | PA      | $1129694.23    | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 05/01/2051#MA4325                                                                                                   | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    24954864 | PA      | $20469855.87   | 0.05%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 04/51#MA7312                                                                                                        | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1168994 | PA      | $1015172.49    | 0.00%             | 2051-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PAKISTAN, ISLAMIC REP OF                                                                                    | PAKISTAN ISLAMIC REP OF 7.375% 04/08/2031 144A                                                                                   | CUSIP: 695847AT0<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |      500000 | PA      | $491000.00     | 0.00%             | 2031-04-08      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PAKISTAN, ISLAMIC REP OF                                                                                    | PAKISTAN ISLAMIC REP OF 8.875% 04/08/2051 144A                                                                                   | CUSIP: 695847AU7<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |      600000 | PA      | $574500.00     | 0.00%             | 2051-04-08      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| JPMCC 2021-MHC                                                                                              | JPMCC 2021-MHC VAR 04/15/2038 144A                                                                                               | CUSIP: 466330AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   164060500 | PA      | $164.06        | 0.00%             | 2038-04-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| MICHAELS COS INC                                                                                            | MICHAELS TERM 1LN 04/15/2028                                                                                                     | CUSIP: 59408UAB3<br>LEI: 549300H9LWMBP7HYLR98 | Long             | LON              | CORP              | US        |      748355 | PA      | $716474.76     | 0.00%             | 2028-04-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| ARETEC GROUP INC                                                                                            | ARETEC GROUP INC 7.5% 04/01/2029 144A                                                                                            | CUSIP: 040133AA8<br>LEI: 549300NV2T8A33L0PQ58 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50264.50      | 0.00%             | 2029-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC                                                  | UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC 4.75% 04/15/2028 144A                                                 | CUSIP: 91327BAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $197148.06     | 0.00%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                                                | MEXICO UNITED MEXICAN STATES 4.28% 08/14/2041                                                                                    | CUSIP: 91087BAQ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      400000 | PA      | $323200.00     | 0.00%             | 2041-08-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV                                                          | ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV 5.125% 04/30/2031 144A                                                        | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      810000 | PA      | $678338.39     | 0.00%             | 2031-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                                                                    | MHC COML MTG TR 2021-MHC A TSFR1M+91.544 096 04/15/2026 144A                                                                     | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      160041 | PA      | $159990.95     | 0.00%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                                                                    | MHC COML MTG TR 2021-MHC E TSFR1M+221.544 1 04/15/2026 144A                                                                      | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4340000 | PA      | $4339998.26    | 0.01%             | 2038-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2051#BR8759                                                                                                 | CUSIP: 3140L7WV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2386718 | PA      | $2052173.23    | 0.00%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                                                    | GENERAL MTRS FINL CO INC 2.4% 04/10/2028                                                                                         | CUSIP: 37045XDH6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     1895000 | PA      | $1818383.50    | 0.00%             | 2028-04-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2021-1 A                                                                       | FORD CREDIT AUTO OWNER TRUST 2021-1 A 1.91% 10/17/2033 144A                                                                      | CUSIP: 345340AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1190000 | PA      | $1177408.85    | 0.00%             | 2033-10-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC                                                                                            | MICHAELS COS INC 5.25% 05/01/2028 144A                                                                                           | CUSIP: 55916AAA2<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |      643000 | PA      | $605878.45     | 0.00%             | 2028-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC                                                                                            | MICHAELS COS INC 7.875% 05/01/2029 144A                                                                                          | CUSIP: 55916AAB0<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |      115000 | PA      | $104391.80     | 0.00%             | 2029-05-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.5% 12/01/2050#MA4209                                                                                                 | CUSIP: 31418DVB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10374050 | PA      | $8055726.75    | 0.02%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV                                                          | ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV 4.125% 04/30/2028 144A                                                        | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      690000 | PA      | $672450.75     | 0.00%             | 2028-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 05/51#RA5117                                                                                                        | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8948819 | PA      | $7410407.24    | 0.02%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 05/01/2036#MA4329                                                                                                   | CUSIP: 31418DY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8481695 | PA      | $7866486.54    | 0.02%             | 2036-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SCIH SALT HLDGS INC                                                                                         | SCIH SALT HLDGS INC 6.625% 05/01/2029 144A                                                                                       | CUSIP: 78433BAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      190000 | PA      | $190817.00     | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT CSTR 01/25/2030                                                                                   | CUSIP: 3137FRUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    56605041 | PA      | $2677435.43    | 0.01%             | 2030-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/01/2050#CA5416                                                                                                 | CUSIP: 3140QDAS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      569281 | PA      | $493399.14     | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.5% 03/51#MA4280                                                                                                      | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1858981 | PA      | $1443880.08    | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 04/01/2051#SD8140                                                                                                   | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5757518 | PA      | $4722749.61    | 0.01%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 05/01/2051#SD8146                                                                                                   | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    23137464 | PA      | $18979087.85   | 0.04%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 03/01/2051#QC0161                                                                                                   | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34360 | PA      | $28538.81      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 05/20/2051#MA7366                                                                                                     | CUSIP: 36179WFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1475171 | PA      | $1229789.29    | 0.00%             | 2051-05-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA6                                                                     | FREDDIE MAC STACR REMIC TRUST 2020-DNA6 SOFR30A+300 12/25/2050 144A                                                              | CUSIP: 35566CBD6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     3910000 | PA      | $4175878.83    | 0.01%             | 2050-12-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                                                         | UNITED AIRLINES INC 4.375% 04/15/2026 144A                                                                                       | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     1715000 | PA      | $1712837.73    | 0.00%             | 2026-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                                                         | UNITED AIRLINES INC 4.625% 04/15/2029 144A                                                                                       | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      905000 | PA      | $900421.35     | 0.00%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNP PARIBAS 2.871%/VAR 04/19/2032 144A                                                                                           | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     1500000 | PA      | $1372492.47    | 0.00%             | 2032-04-19      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DOLP TR 2021-NYC                                                                                            | DOLP TR 2021-NYC 2.956% 05/10/2041 144A                                                                                          | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8810000 | PA      | $7929948.84    | 0.02%             | 2041-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLDING LLC                                                                                       | HIGHTOWER HOLDING LLC 6.75% 04/15/2029 144A                                                                                      | CUSIP: 43118DAA8<br>LEI: 254900MKOSB7RTMA9K12 | Long             | DBT              | CORP              | US        |      350000 | PA      | $350356.65     | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                                                                                  | AUSTRALIA COMMONWEALTH OF 1.75% 11/21/2032 REGS                                                                                  | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |      205000 | PA      | $113978.57     | 0.00%             | 2032-11-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 2.58%/VAR 04/22/2032                                                                                       | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     6675000 | PA      | $6129934.32    | 0.01%             | 2032-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BOYNE USA INC                                                                                               | BOYNE USA INC 4.75% 05/15/2029 144A                                                                                              | CUSIP: 103557AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      325000 | PA      | $319828.37     | 0.00%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 3.21%/VAR 04/22/2042                                                                               | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      141000 | PA      | $110004.41     | 0.00%             | 2042-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 2.615%/VAR 04/22/2032                                                                              | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1832000 | PA      | $1675535.15    | 0.00%             | 2032-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 05/01/2041#MA4333                                                                                                   | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10440628 | PA      | $9196960.54    | 0.02%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/01/2051#MA4326                                                                                                 | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5044082 | PA      | $4337056.96    | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 05/01/2051#SD8147                                                                                                 | CUSIP: 3132DWBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7853713 | PA      | $6752864.18    | 0.02%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 01/01/2051#MA4239                                                                                                   | CUSIP: 31418DV90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1350656 | PA      | $1212140.53    | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                                                | ENTEGRIS INC 3.625% 05/01/2029 144A                                                                                              | CUSIP: 29362UAD6<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |      329000 | PA      | $313895.74     | 0.00%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 2.687%/VAR 04/22/2032                                                                                | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     6976000 | PA      | $6422527.23    | 0.01%             | 2032-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTRAL GARDEN and PET CO                                                                                   | CENTRAL GARDEN and PET CO 4.125% 04/30/2031 144A                                                                                 | CUSIP: 153527AP1<br>LEI: 5493004DVZLD37DJ0H83 | Long             | DBT              | CORP              | US        |      296000 | PA      | $279435.37     | 0.00%             | 2031-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 1.734%/VAR 07/22/2027                                                                                | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      155000 | PA      | $152588.19     | 0.00%             | 2027-07-22      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 3.217%/VAR 04/22/2042                                                                                             | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      350000 | PA      | $276635.01     | 0.00%             | 2042-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 1.593%/VAR 05/04/2027                                                                                             | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1317000 | PA      | $1302613.57    | 0.00%             | 2027-05-04      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                                          | ALLY FINL INC 4.7%/VAR PERP                                                                                                      | CUSIP: 02005NBM1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | EP               | CORP              | US        |      695000 | PA      | $680646.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HERENS US HOLDCO CORP                                                                                       | LONZA SPECIALTY INGREDIENTS TERM B 1LN 07/03/2028                                                                                | CUSIP: N/A<br>LEI: 549300Y0CIXN5D40L888       | Long             | LON              | CORP              | US        |      193107 | PA      | $171419.14     | 0.00%             | 2028-07-03      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/51#BR6470                                                                                                      | CUSIP: 3140L5FL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      598899 | PA      | $519818.03     | 0.00%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JAZZ SECURITIES DAC                                                                                         | JAZZ SECURITIES DAC 4.375% 01/15/2029 144A                                                                                       | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |       95000 | PA      | $93783.51      | 0.00%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLENCORE FDG LLC                                                                                            | GLENCORE FDG LLC 2.85% 04/27/2031 144A                                                                                           | CUSIP: 378272BE7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      754000 | PA      | $695940.73     | 0.00%             | 2031-04-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VICTORIA, TREASURY CORP OF                                                                                  | VICTORIA TREASURY CORP OF 2.25% 09/15/2033 REGS                                                                                  | CUSIP: N/A<br>LEI: 549300ZJM7BQW1P9UV75       | Long             | DBT              | NUSS              | AU        |     4300000 | PA      | $2332286.17    | 0.01%             | 2033-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| STANFORD HEALTHCARE                                                                                         | STANFORD HEALTHCARE 3.027% 08/15/2051                                                                                            | CUSIP: 85434VAC2<br>LEI: 5493005311WCPXQGDG42 | Long             | DBT              | CORP              | US        |      680000 | PA      | $455012.03     | 0.00%             | 2051-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 0.75% 04/30/2026                                                                                                       | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3946200 | PA      | $3896841.68    | 0.01%             | 2026-04-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CIM TRUST                                                                                                   | CIM TRUST 1.951% 06/25/2057 144A                                                                                                 | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      885200 | PA      | $824546.17     | 0.00%             | 2057-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 04/01/2051#QC0204                                                                                                 | CUSIP: 3133AJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3689795 | PA      | $3200272.57    | 0.01%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                                                       | WELLS FARGO COMMERCIAL MORTGAGE TRUST 21-C59 A4 2.343% 04/15/2054                                                                | CUSIP: 95003CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4569379.00    | 0.01%             | 2054-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SANTOS FINANCE LIMITED                                                                                      | SANTOS FINANCE LTD 3.649% 04/29/2031 144A                                                                                        | CUSIP: 803014AA7<br>LEI: 213800BKUBSWG53XNS94 | Long             | DBT              | CORP              | AU        |     4800000 | PA      | $4497429.60    | 0.01%             | 2031-04-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                                                           | BLACKSTONE PROP PARTNERS EUR HOLD 1% 05/04/2028 REGS                                                                             | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |      680000 | PA      | $753994.09     | 0.00%             | 2028-05-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2051#BR8460                                                                                                 | CUSIP: 3140L7MJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1788668 | PA      | $1524537.13    | 0.00%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 2.561%/VAR 05/01/2032                                                                                              | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2516000 | PA      | $2289341.46    | 0.01%             | 2032-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN BLDRS and CONTRACTORS SUPPLY CO INC                                                                | AMERICAN BLDRS and CONTRACTORS SUPPLY CO INC 3.875% 11/15/2029 144A                                                              | CUSIP: 024747AG2<br>LEI: 549300H5GQ4C1BEKG397 | Long             | DBT              | CORP              | US        |       80000 | PA      | $76575.18      | 0.00%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                                                                         | NOVA CHEMICALS CORP 4.25% 05/15/2029 144A                                                                                        | CUSIP: 66977WAS8<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |       27000 | PA      | $26151.93      | 0.00%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                                                                  | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A TSFR1M+131.448 12/31/2049 144A                                                 | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4470000 | PA      | $4461238.80    | 0.01%             | 2031-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP                                                 | ALLIED UNVL HOLDCO LLC / ALLIED UNVL FIN CORP 6% 06/01/2029 144A                                                                 | CUSIP: 019576AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1175000 | PA      | $1152106.65    | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ATLAS LUXCO 4 SARL / ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP                            | ATLAS LUXCO 4 SARL / ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP 4.625% 06/01/2028 144A                          | CUSIP: 019579AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1030000 | PA      | $1011055.83    | 0.00%             | 2028-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ATLAS LUXCO 4 SARL / ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP                            | ATLAS LUXCO 4 SARL / ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP 4.625% 06/01/2028 144A                          | CUSIP: 049362AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      520000 | PA      | $510696.42     | 0.00%             | 2028-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SAFEHOLD GL HOLDINGS LLC                                                                                    | SAFEHOLD GL HOLDINGS LLC 2.8% 06/15/2031                                                                                         | CUSIP: 78646UAA7<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |      146000 | PA      | $134511.98     | 0.00%             | 2031-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 06/01/2051#                                                                                                       | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18205071 | PA      | $15653280.40   | 0.04%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                                                 | EQUINIX INC 2.5% 05/15/2031                                                                                                      | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     2505000 | PA      | $2269853.82    | 0.01%             | 2031-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAJORDRIVE HOLDINGS IV LLC                                                                                  | CLUB CAR TERM 1LN 06/01/2028                                                                                                     | CUSIP: 56085UAB9<br>LEI: 25490044R1FR5N8FIT62 | Long             | LON              | CORP              | US        |      282859 | PA      | $252844.65     | 0.00%             | 2028-06-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 09/20/2050#MA6864                                                                                                     | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5965143 | PA      | $4984077.26    | 0.01%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 07/20/2050#MA6767                                                                                                   | CUSIP: 36179VQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26944 | PA      | $25078.84      | 0.00%             | 2050-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                                            | SOUTHERN COMPANY 3.75%/VAR 09/15/2051                                                                                            | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2960829.60    | 0.01%             | 2051-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                                                                             | NGPL PIPECO LLC 3.25% 07/15/2031 144A                                                                                            | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     1473000 | PA      | $1353640.73    | 0.00%             | 2031-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                                               | AEP TEXAS INC 3.45% 05/15/2051                                                                                                   | CUSIP: 00108WAN0<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      517000 | PA      | $357127.94     | 0.00%             | 2051-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                                            | DEUTSCHE BANK AG 4.625%/VAR PERP REGS                                                                                            | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | EP               | CORP              | DE        |      200000 | PA      | $229540.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 2.375% 05/15/2051                                                                                    | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   122368700 | PA      | $79597015.33   | 0.18%             | 2051-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                                                    | VISTRA OPERATIONS CO LLC 4.375% 05/01/2029 144A                                                                                  | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     1101000 | PA      | $1086997.37    | 0.00%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                                                        | FRONTIER COMMUNICATIONS HOLDINGS LLC 5.875% 11/01/2029                                                                           | CUSIP: 35908MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3597720 | PA      | $3650714.42    | 0.01%             | 2029-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                                                 | EQUINIX INC 3.4% 02/15/2052                                                                                                      | CUSIP: 29444UBT2<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |      245000 | PA      | $170936.75     | 0.00%             | 2052-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 10/01/2050#SD7525                                                                                                 | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4339295 | PA      | $3779876.22    | 0.01%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FIN CORP                                                                                          | BUNGE LTD FIN CORP 2.75% 05/14/2031                                                                                              | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |      310000 | PA      | $285930.30     | 0.00%             | 2031-05-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 07/01/2050#SD7521                                                                                                 | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4769999 | PA      | $4158035.99    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GLP PTE LTD                                                                                                 | GLP PTE LTD 4.5%/VAR PERP REGS                                                                                                   | CUSIP: N/A<br>LEI: 254900PC2NNG9BLIJO15       | Long             | DBT              | CORP              | SG        |      200000 | PA      | $126493.98     | 0.00%             | 2199-12-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                                                    | EQT CORP 3.625% 05/15/2031 144A                                                                                                  | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2534000 | PA      | $2389577.94    | 0.01%             | 2031-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                                                    | EQT CORP 3.125% 05/15/2026 144A                                                                                                  | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      444000 | PA      | $441024.12     | 0.00%             | 2026-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL INC                                                                              | SERVICE CORP INTERNATIONAL INC 4% 05/15/2031                                                                                     | CUSIP: 817565CG7<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |      255000 | PA      | $243444.24     | 0.00%             | 2031-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                                                | UBS GROUP AG 3.091%/VAR 05/14/2032 144A                                                                                          | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     9800000 | PA      | $9135403.00    | 0.02%             | 2032-05-14      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK33                                                                                             | BANK 2021-BNK33 VAR 05/15/2064                                                                                                   | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13313923 | PA      | $508959.31     | 0.00%             | 2064-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK33                                                                                             | BANK 2021-BNK33 2.27% 05/15/2064                                                                                                 | CUSIP: 06541CBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9000000 | PA      | $8169293.70    | 0.02%             | 2064-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                                            | CCO HLDGS LLC/CAP CORP 4.5% 05/01/2032                                                                                           | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2897000 | PA      | $2609815.47    | 0.01%             | 2032-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER                            | PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER 4.875% 05/15/2029 144A                          | CUSIP: 70052LAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      275000 | PA      | $266937.85     | 0.00%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 05/01/2041#MA4334                                                                                                 | CUSIP: 31418DY89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3724036 | PA      | $3375842.93    | 0.01%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 06/01/2051#SD8151                                                                                                 | CUSIP: 3132DWBU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1506037 | PA      | $1294937.19    | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/01/2051#FM6564                                                                                                 | CUSIP: 3140XAJJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      522594 | PA      | $451465.06     | 0.00%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CEDACRI SPA                                                                                                 | CEDACRI SPA FRN 3MEUR+462.5 05/15/2028 REGS                                                                                      | CUSIP: N/A<br>LEI: 815600E85FCD78B3EE61       | Long             | DBT              | CORP              | IT        |      100000 | PA      | $116881.71     | 0.00%             | 2028-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 06/01/2041#MA4364                                                                                                   | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9842567 | PA      | $8662284.33    | 0.02%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FRESENIUS MEDICAL CARE US FINANCE III INC                                                                   | FRESENIUS MEDICAL CARE US FINANCE III INC 1.875% 12/01/2026 144A                                                                 | CUSIP: 35805BAC2<br>LEI: 5299006ZHLMXOOUVTU44 | Long             | DBT              | CORP              | US        |      660000 | PA      | $644560.89     | 0.00%             | 2026-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                                                          | VORNADO REALTY LP 3.4% 06/01/2031                                                                                                | CUSIP: 929043AL1<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |     6373000 | PA      | $5764794.85    | 0.01%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                                                          | VORNADO REALTY LP 2.15% 06/01/2026                                                                                               | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |     1762000 | PA      | $1738415.26    | 0.00%             | 2026-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 2.25% 05/15/2041                                                                                     | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7769300 | PA      | $5830313.39    | 0.01%             | 2041-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B26 MTG TR                                                                                   | BENCHMARK 2021-B26 A4 2.295% 06/15/2054                                                                                          | CUSIP: 08163EBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8800000 | PA      | $8021119.92    | 0.02%             | 2054-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 1.5% 06/36#SB8106                                                                                                      | CUSIP: 3132D6AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       52674 | PA      | $47696.72      | 0.00%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 04/01/2036#MA4302                                                                                                 | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49885 | PA      | $45217.95      | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 05/36#MA4328                                                                                                      | CUSIP: 31418DY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4484300 | PA      | $4060576.57    | 0.01%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2% 06/01/2036#SB8107                                                                                                   | CUSIP: 3132D6AG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1927100 | PA      | $1787320.75    | 0.00%             | 2036-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 2.804%/VAR 05/24/2032                                                                                          | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     5336000 | PA      | $4887632.89    | 0.01%             | 2032-05-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ANTERO RESOURCES CORPORATION                                                                                | ANTERO RESOURCES CORP 5.375% 03/01/2030 144A                                                                                     | CUSIP: 03674XAS5<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |     3238000 | PA      | $3267786.36    | 0.01%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 3.05% 05/15/2041                                                                                          | CUSIP: 91324PEE8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     2030000 | PA      | $1561751.71    | 0.00%             | 2041-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 3.25% 05/15/2051                                                                                          | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     3742000 | PA      | $2582399.52    | 0.01%             | 2051-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                                                   | BLOCK INC 2.75% 06/01/2026                                                                                                       | CUSIP: 852234AN3<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      210000 | PA      | $208235.41     | 0.00%             | 2026-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                                                   | BLOCK INC 3.5% 06/01/2031                                                                                                        | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      435000 | PA      | $408055.88     | 0.00%             | 2031-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLOBAL INFRASTRUCTURE SOLUTIONS INC                                                                         | GLOBAL INFRASTRUCTURE SOLUTIONS INC 5.625% 06/01/2029 144A                                                                       | CUSIP: 37960XAA5<br>LEI: 2549003BGLQITAJ6ZT28 | Long             | DBT              | CORP              | US        |      598000 | PA      | $600009.88     | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC                                   | HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC 5% 06/01/2029 144A                                     | CUSIP: 43284MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      130000 | PA      | $124907.97     | 0.00%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.4% 12/01/2061                                  | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      916000 | PA      | $611948.94     | 0.00%             | 2061-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                                                       | TENET HEALTHCARE CORP 4.25% 06/01/2029                                                                                           | CUSIP: 88033GDM9<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     1773000 | PA      | $1737866.41    | 0.00%             | 2029-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING                                                                                        | STORE MASTER FUNDING 2.12% 06/20/2051 144A                                                                                       | CUSIP: 86190BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1466875 | PA      | $1368255.84    | 0.00%             | 2051-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GREYSTONE COMMERCIAL CAPITAL TRUST SERIES 2021-2                                                            | GREYSTONE COMMERCIAL CAPITAL TRUST SERIES 2021-2 FRN 1ML+227 05/31/2026 144A                                                     | CUSIP: 39810DAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7691819 | PA      | $6845718.73    | 0.02%             | 2026-05-31      | Variable      | 0.07%                 | No            |                  3 | On Loan: No      |
| AMGEN INC                                                                                                   | AMGEN INC 2.77% 09/01/2053                                                                                                       | CUSIP: 031162CY4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      291000 | PA      | $177063.78     | 0.00%             | 2053-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                                                                                           | LITHIA MOTORS INC 3.875% 06/01/2029 144A                                                                                         | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |     1795000 | PA      | $1729328.49    | 0.00%             | 2029-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DESSERT HOLDINGS INC                                                                                        | DESSERT HOLDINGS TERM 1LN 6/9/2028                                                                                               | CUSIP: 05552DAD4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      230713 | PA      | $229476.00     | 0.00%             | 2028-06-09      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST                                                                                      | LENDMARK FUNDING TRUST 21-1A A 1.9% 11/20/2031 144A                                                                              | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4200000 | PA      | $4079123.58    | 0.01%             | 2031-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CIMIC FINANCE LTD                                                                                           | CIMIC FINANCE LTD 1.5% 05/28/2029 REGS                                                                                           | CUSIP: N/A<br>LEI: 213800SWJBM5VMCQJW54       | Long             | DBT              | CORP              | AU        |      465000 | PA      | $502770.34     | 0.00%             | 2029-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                                                                                            | DT MIDSTREAM INC 4.125% 06/15/2029 144A                                                                                          | CUSIP: 23345MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      292000 | PA      | $286672.90     | 0.00%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                                                                                            | DT MIDSTREAM INC 4.375% 06/15/2031 144A                                                                                          | CUSIP: 23345MAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      148000 | PA      | $144757.59     | 0.00%             | 2031-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 0.75% 05/31/2026                                                                                                       | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    19455000 | PA      | $19168038.75   | 0.04%             | 2026-05-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 1.25% 05/31/2028                                                                                                       | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6857000 | PA      | $6492186.21    | 0.01%             | 2028-05-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO VII-R LTD                                                                                   | SOUND POINT CLO VII-R LTD A1R TSFR3M+133.161 10/23/2031 144A                                                                     | CUSIP: 83610HAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2788525 | PA      | $2789358.55    | 0.01%             | 2031-10-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 06/01/2051#QC2540                                                                                                 | CUSIP: 3133ALZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      368238 | PA      | $320074.38     | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                                            | T-MOBILE USA INC 3.6% 11/15/2060                                                                                                 | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     1136000 | PA      | $774907.47     | 0.00%             | 2060-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                                            | T-MOBILE USA INC 3.875% 04/15/2030                                                                                               | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    21448000 | PA      | $21127081.30   | 0.05%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                                            | T-MOBILE USA INC 3% 02/15/2041                                                                                                   | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     3650000 | PA      | $2753720.67    | 0.01%             | 2041-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FINANCE CORP                                                | ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FIN CORP 5.375% 06/15/2029 144A                                                  | CUSIP: 03690AAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      210000 | PA      | $210692.49     | 0.00%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                                                         | INTESA SANPAOLO SPA 4.95%/VAR 06/01/2042 144A                                                                                    | CUSIP: 46115HBS5<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      468000 | PA      | $399156.47     | 0.00%             | 2042-06-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 2.069%/VAR 06/01/2029                                                                                      | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     4885000 | PA      | $4661276.04    | 0.01%             | 2029-06-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                                                       | BAUSCH HEALTH COS INC 4.875% 06/01/2028 144A                                                                                     | CUSIP: 071734AN7<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      580000 | PA      | $524897.31     | 0.00%             | 2028-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP / BIP-V CHINOOK HOLDCO LLC                                                                    | CQP HOLDCO LP / BIP-V CHINOOK HOLDCO LLC 5.5% 06/15/2031 144A                                                                    | CUSIP: 12657NAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      165000 | PA      | $163653.96     | 0.00%             | 2031-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PENSKE AUTOMOTIVE GROUP INC                                                                                 | PENSKE AUTOMOTIVE GROUP INC 3.75% 06/15/2029                                                                                     | CUSIP: 70959WAK9<br>LEI: 549300W7UTQ0M4C7LB15 | Long             | DBT              | CORP              | US        |      312000 | PA      | $301658.17     | 0.00%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                                          | ALLY FINL INC 4.7%/VAR PERP                                                                                                      | CUSIP: 02005NBN9<br>LEI: 549300JBN1OSM8YNAI90 | Long             | EP               | CORP              | US        |       45000 | PA      | $41514.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRITAX EUROBOX PLC                                                                                          | TRITAX EUROBOX PLC 0.95% 06/02/2026 REGS                                                                                         | CUSIP: N/A<br>LEI: 213800HK59N7H979QU33       | Long             | DBT              | CORP              | GB        |      780000 | PA      | $897384.48     | 0.00%             | 2026-06-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                                               | UNICREDIT SPA 1.982%/VAR 06/03/2027 144A                                                                                         | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |      200000 | PA      | $197747.12     | 0.00%             | 2027-06-03      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                                               | UNICREDIT SPA 3.127%/VAR 06/03/2032 144A                                                                                         | CUSIP: 904678AY5<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     2515000 | PA      | $2340834.99    | 0.01%             | 2032-06-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 1.5% 04/01/2036#SB8097                                                                                                 | CUSIP: 3132D57J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       50636 | PA      | $45898.97      | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2% 05/01/2036#SB8512                                                                                                   | CUSIP: 3132D6N55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      194503 | PA      | $180577.59     | 0.00%             | 2036-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2% 02/01/2036#SB8510                                                                                                   | CUSIP: 3132D6N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2855401 | PA      | $2650965.53    | 0.01%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 1.5% 05/01/2036#RC1950                                                                                                 | CUSIP: 3133L8EX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3694589 | PA      | $3352412.57    | 0.01%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FLEX INTERMEDIATE HOLDCO LLC                                                                                | FLEX INTERMEDIATE HOLDCO LLC 3.363% 06/30/2031 144A                                                                              | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |     4800000 | PA      | $4449674.64    | 0.01%             | 2031-06-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIDELIDADE CO DE SEGUROS SAPORTUGAL                                                                         | FIDELIDADE CO DE SEGUROS SAPORTUGAL 4.25%/VAR 09/04/2031 REGS                                                                    | CUSIP: N/A<br>LEI: 529900FNLE8ZOPUOT704       | Long             | DBT              | CORP              | PT        |      500000 | PA      | $584461.17     | 0.00%             | 2031-09-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 06/20/2051#MA7418                                                                                                   | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2080752 | PA      | $1806957.14    | 0.00%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 06/01/2036#BT0154                                                                                                   | CUSIP: 3140LNE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      176621 | PA      | $164417.52     | 0.00%             | 2036-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                                                                            | CINEMARK USA INC 5.25% 07/15/2028 144A                                                                                           | CUSIP: 172441BF3<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |      204000 | PA      | $203468.58     | 0.00%             | 2028-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                                                       | GFL ENVIRONMENTAL INC 4.75% 06/15/2029 144A                                                                                      | CUSIP: 36168QAN4<br>LEI: 5493008HF9XC5H29ZX61 | Long             | DBT              | CORP              | CA        |      513000 | PA      | $512419.39     | 0.00%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| POLARIS NEWCO LLC                                                                                           | SOLERA TERM B 1LN 06/02/2028                                                                                                     | CUSIP: 73108RAB4<br>LEI: 254900LEPDAG7EDOA064 | Long             | LON              | CORP              | US        |      203796 | PA      | $191775.84     | 0.00%             | 2028-06-02      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 06/01/2051#FM7507                                                                                                 | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6678834 | PA      | $5796932.95    | 0.01%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 6.5%/VAR PERP                                                                                                 | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | EP               | CORP              | US        |     3770000 | PA      | $3779391.07    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 1.462%/VAR 06/09/2027                                                                                              | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      360000 | PA      | $354870.77     | 0.00%             | 2027-06-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                                            | SOCIETE GENERALE FRANCE 1.792%/VAR 06/09/2027 144A                                                                               | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     1500000 | PA      | $1479459.45    | 0.00%             | 2027-06-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                                            | SOCIETE GENERALE FRANCE 2.889%/VAR 06/09/2032 144A                                                                               | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      210000 | PA      | $190177.51     | 0.00%             | 2032-06-09      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 04/01/2048#ZM6138                                                                                                 | CUSIP: 3131Y0ZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       54956 | PA      | $54782.81      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/01/2051#FM7401                                                                                                 | CUSIP: 3140XBGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2882677 | PA      | $2500234.23    | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONCOR ELEC DELIVERY CO LLC                                                                                  | ONCOR ELEC DELIVERY CO LLC 5.35% 10/01/2052                                                                                      | CUSIP: 68233JBX1<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |       16000 | PA      | $15594.70      | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                                                         | SIRIUS XM RADIO INC 4% 07/15/2028 144A                                                                                           | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      713000 | PA      | $695056.00     | 0.00%             | 2028-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                                             | SANTANDER UK GROUP HOLDINGS PLC 1.673%/VAR 06/14/2027                                                                            | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     1065000 | PA      | $1050064.37    | 0.00%             | 2027-06-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 2.087%/VAR 06/14/2029                                                                                | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     9265000 | PA      | $8834423.95    | 0.02%             | 2029-06-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 07/01/2051#MA4379                                                                                                 | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      756638 | PA      | $648688.67     | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KAISER FNDTN HOSPS                                                                                          | KAISER FNDTN HOSPS 2.81% 06/01/2041                                                                                              | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |     5570000 | PA      | $4186769.76    | 0.01%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 07/51#MA4378                                                                                                        | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3136404 | PA      | $2572714.36    | 0.01%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JDE PEETS BV                                                                                                | JDE PEETS BV 0.5% 01/16/2029 REGS                                                                                                | CUSIP: N/A<br>LEI: 724500EHG519SE5ZRT89       | Long             | DBT              | CORP              | NL        |     5000000 | PA      | $5375280.16    | 0.01%             | 2029-01-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL POWR and LIGHT CO                                                                            | JERSEY CENTRAL POWR and LIGHT CO 2.75% 03/01/2032 144A                                                                           | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     3750000 | PA      | $3382224.64    | 0.01%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KAISER FNDTN HOSPS                                                                                          | KAISER FNDTN HOSPS 3.002% 06/01/2051                                                                                             | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |      975000 | PA      | $653532.74     | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DIAMOND INFRASTRUCTURE FUNDING LLC                                                                          | DIAMOND INFRASTRUCTURE FUNDING LLC 1.76% 04/15/2049 144A                                                                         | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1200000 | PA      | $1159959.36    | 0.00%             | 2049-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                                                  | UNUM GROUP 4.125% 06/15/2051                                                                                                     | CUSIP: 91529YAR7<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1147540.53    | 0.00%             | 2051-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2.5% 06/41#RB5115                                                                                                      | CUSIP: 3133KYVG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      891664 | PA      | $807120.91     | 0.00%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                                                      | OCP SA 3.75% 06/23/2031 144A                                                                                                     | CUSIP: 67091TAD7<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      269000 | PA      | $250758.44     | 0.00%             | 2031-06-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 11/01/2050#SD8108                                                                                                   | CUSIP: 3132DWAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      180694 | PA      | $162275.96     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 2.5% 06/01/2031                                                                                    | CUSIP: 842400HD8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      190000 | PA      | $170423.42     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                                                     | HYUNDAI CAP AMER 1.5% 06/15/2026 144A                                                                                            | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      367000 | PA      | $361743.05     | 0.00%             | 2026-06-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                                                 | GARTNER INC 3.625% 06/15/2029 144A                                                                                               | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     5436000 | PA      | $5220691.89    | 0.01%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GTC AURORA LUXEMBOURG SA                                                                                    | GTC AURORA LUXEMBOURG SA 2.25% 06/23/2026 REGS                                                                                   | CUSIP: N/A<br>LEI: 549300UAWIR6P1PVC062       | Long             | DBT              | CORP              | LU        |      875000 | PA      | $1000594.46    | 0.00%             | 2026-06-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                                                                                 | AKER BP ASA 3.1% 07/15/2031 144A                                                                                                 | CUSIP: 55037AAB4<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |     7295000 | PA      | $6685641.28    | 0.02%             | 2031-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK34                                                                                             | BANK 2021-BNK34 CSTR 06/15/2063                                                                                                  | CUSIP: 06541JAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   171794000 | PA      | $4119774.73    | 0.01%             | 2063-06-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                                                             | PERMIAN RESOURCES OPERATING LLC 5.875% 07/01/2029 144A                                                                           | CUSIP: 19416MAB5<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      540000 | PA      | $541350.00     | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 06/01/2041#MA4366                                                                                                 | CUSIP: 31418DZ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2147636 | PA      | $1944168.94    | 0.00%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/01/2051#BR9086                                                                                                 | CUSIP: 3140L8CY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2188380 | PA      | $1899416.75    | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                                                                         | MACQUARIE GROUP LTD 2.691%/VAR 06/23/2032 144A                                                                                   | CUSIP: 55607PAG0<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |      166000 | PA      | $151307.39     | 0.00%             | 2032-06-23      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L                                  | BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L 2.443% 07/15/2046 144A                                | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6122066 | PA      | $5803470.84    | 0.01%             | 2046-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                                                | SUN CMNTYS OPER LTD PRTNRSHP 2.7% 07/15/2031                                                                                     | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |    11527000 | PA      | $10512081.19   | 0.02%             | 2031-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 06/01/2051#MA4357                                                                                                   | CUSIP: 31418DZX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      755783 | PA      | $677565.27     | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 12/01/2050#MA4211                                                                                                   | CUSIP: 31418DVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2471827 | PA      | $2218330.89    | 0.01%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 3.5% 07/15/2051                                                                                                          | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     2078000 | PA      | $1445303.84    | 0.00%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIALS INC                                                                               | MARTIN MARIETTA MATERIALS INC 2.4% 07/15/2031                                                                                    | CUSIP: 573284AW6<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $995451.33     | 0.00%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 3.625% 06/17/2031                                                                                       | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     8245000 | PA      | $7540893.90    | 0.02%             | 2031-06-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                                                    | DUQUESNE LIGHT HLDGS INC 2.775% 01/07/2032 144A                                                                                  | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |     4273000 | PA      | $3816497.25    | 0.01%             | 2032-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 07/01/2050#FM3742                                                                                                 | CUSIP: 3140X7EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3759367 | PA      | $3270012.88    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 2.375% 07/15/2031                                                                                                        | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      775000 | PA      | $695090.88     | 0.00%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PRIVATE EXPORT FUNDING CORP                                                                                 | PRIVATE EXPORT FUNDING CORP 1.4% 07/15/2028                                                                                      | CUSIP: 742651DY5<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | USGSE             | US        |     2010000 | PA      | $1893076.05    | 0.00%             | 2028-07-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ITT HOLDINGS LLC                                                                                            | ITT HOLDINGS LLC 6.5% 08/01/2029 144A                                                                                            | CUSIP: 45074JAA2<br>LEI: 549300TH2PHOLK31LB42 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96927.23      | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CIM TR 2021-R4                                                                                              | CIM TR 2021-R4 A1A 2% 05/01/2061 144A                                                                                            | CUSIP: 12598HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4722828 | PA      | $4401286.64    | 0.01%             | 2061-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                                                  | CITIZENS FINANCIAL GRP INC 2.638% 09/30/2032                                                                                     | CUSIP: 174610AW5<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     9574000 | PA      | $8255418.17    | 0.02%             | 2032-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                                            | CENTENE CORP 2.45% 07/15/2028                                                                                                    | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     9865000 | PA      | $9196656.12    | 0.02%             | 2028-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                                                     | PHILIPPINES REPUBLIC OF 3.2% 07/06/2046                                                                                          | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     1180000 | PA      | $855500.00     | 0.00%             | 2046-07-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FKH 2021-SFR1 F1                                                                                            | FKH 2021-SFR1 F1 3.238% 08/17/2038 144A                                                                                          | CUSIP: 33767WAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $295352.52     | 0.00%             | 2038-08-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ELASTIC NV                                                                                                  | ELASTIC NV 4.125% 07/15/2029 144A                                                                                                | CUSIP: 28415LAA1<br>LEI: 2549003I48WHHH937I59 | Long             | DBT              | CORP              | NL        |      780000 | PA      | $752238.40     | 0.00%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FKH 2021-SFR1 F1                                                                                            | FKH 2021-SFR1 F1 1.888% 08/17/2038 144A                                                                                          | CUSIP: 33767WAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1100000 | PA      | $1077144.09    | 0.00%             | 2038-08-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                                                              | SALESFORCE INC 2.7% 07/15/2041                                                                                                   | CUSIP: 79466LAK0<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |      480000 | PA      | $352716.10     | 0.00%             | 2041-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                                                    | AMERICAN HOMES 4 RENT LP 2.375% 07/15/2031                                                                                       | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |      704000 | PA      | $629487.98     | 0.00%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                                                    | AMERICAN HOMES 4 RENT LP 3.375% 07/15/2051                                                                                       | CUSIP: 02666TAD9<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     1089000 | PA      | $747769.97     | 0.00%             | 2051-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 07/01/2051#SD8156                                                                                                 | CUSIP: 3132DWBZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1785026 | PA      | $1530357.87    | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.5% 09/01/2050#MA4138                                                                                                 | CUSIP: 31418DS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6278282 | PA      | $4892070.96    | 0.01%             | 2050-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 07/20/2051#MA7471                                                                                                     | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2484592 | PA      | $2071301.24    | 0.00%             | 2051-07-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                                                              | SABRE TERM B-1 1LN 12/17/2027                                                                                                    | CUSIP: 78571YBG4<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | LON              | CORP              | US        |       23320 | PA      | $22639.89      | 0.00%             | 2027-12-17      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                                                              | SABRE TERM B-2 1LN 12/17/2027                                                                                                    | CUSIP: 78571YBF6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | LON              | CORP              | US        |       15617 | PA      | $15161.69      | 0.00%             | 2027-12-17      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                                                                 | MSC 2021-L6 A3 2.196% 06/15/2054                                                                                                 | CUSIP: 61692CAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7000000 | PA      | $6378654.10    | 0.01%             | 2054-06-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                                                                 | MSC 2021-L6 XA 1.35631% 06/15/2054                                                                                               | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11605916 | PA      | $440139.27     | 0.00%             | 2054-06-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                                                         | NOMURA HOLDINGS INC 2.608% 07/14/2031                                                                                            | CUSIP: 65535HAX7<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     1155000 | PA      | $1046304.17    | 0.00%             | 2031-07-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                                                 | SUNOCO LP / SUNOCO FIN CORP 4.5% 05/15/2029                                                                                      | CUSIP: 86765LAT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      445000 | PA      | $436137.29     | 0.00%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2% 05/01/2041#RB5111                                                                                                   | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5711746 | PA      | $5029590.18    | 0.01%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                                                        | ENEL FINANCE INTL NV STEP 07/12/2031 144A                                                                                        | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     5974000 | PA      | $5388845.98    | 0.01%             | 2031-07-12      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                                                  | PACIFICORP 2.9% 06/15/2052                                                                                                       | CUSIP: 695114CY2<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $596778.15     | 0.00%             | 2052-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                                                         | CHENIERE ENERGY INC 4.625% 10/15/2028                                                                                            | CUSIP: 16411RAK5<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |      895000 | PA      | $895002.06     | 0.00%             | 2028-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 08/01/2051#MA4398                                                                                                   | CUSIP: 31418D3G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6860285 | PA      | $5627321.46    | 0.01%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 08/01/2051#                                                                                                         | CUSIP: 3132DWB51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1744405 | PA      | $1430892.03    | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 08/01/2051#MA4399                                                                                                 | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2184225 | PA      | $1872603.73    | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MHP COML MTG TR 2021-STOR                                                                                   | MERIT 2021-STOR A TSFR1M+81.448 07/15/2038 144A                                                                                  | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $199564.46     | 0.00%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 05/51#SD7541                                                                                                        | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24962 | PA      | $20780.02      | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 05/51#QC1514                                                                                                        | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      861156 | PA      | $715265.81     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 07/51#BT1461                                                                                                        | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      378150 | PA      | $313732.28     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 07/51#QC4163                                                                                                        | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      464733 | PA      | $385565.56     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                                          | MITSUBISHI UFJ FIN GRP INC 1.538%/VAR 07/20/2027                                                                                 | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      465000 | PA      | $457326.11     | 0.00%             | 2027-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP INC                                                                                  | PERFORMANCE FOOD GROUP INC 4.25% 08/01/2029 144A                                                                                 | CUSIP: 71376LAE0<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |      485000 | PA      | $476190.07     | 0.00%             | 2029-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AJAX MTG LN TR 2021-E                                                                                       | AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A                                                                                      | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1233537 | PA      | $1104720.83    | 0.00%             | 2060-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 07/20/2051#MA7472                                                                                                   | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4922708 | PA      | $4274956.41    | 0.01%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 2.383%/VAR 07/21/2032                                                                              | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    10590000 | PA      | $9522715.87    | 0.02%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY VA UNIV REVS                                                                                     | UNIV VA REV 2.584% 11/1/2051                                                                                                     | CUSIP: 915217XM0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1520000 | PA      | $960028.50     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                                                 | ASURION TERM B4 2LN 01/20/2029                                                                                                   | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      145017 | PA      | $135530.12     | 0.00%             | 2029-01-20      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| ADT SECURITY CORP/THE                                                                                       | ADT SECURITY CORP/THE 4.125% 08/01/2029 144A                                                                                     | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |      373000 | PA      | $362911.47     | 0.00%             | 2029-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 2.299%/VAR 07/21/2032                                                                                | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     4206000 | PA      | $3772945.82    | 0.01%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 2.239%/VAR 07/21/2032                                                                                             | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      930000 | PA      | $829440.27     | 0.00%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST 2021-2                                                                   | REGIONAL MANAGEMENT ISSUANCE TRUST 2021-2 A 1.9% 08/15/2033 144A                                                                 | CUSIP: 75907UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      520000 | PA      | $502715.88     | 0.00%             | 2033-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 07/01/2050#FM3897                                                                                                   | CUSIP: 3140X7KK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1791120 | PA      | $1489361.21    | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SIX FLAGS ENTERTAINMENT CORP / CANADA'S WONDERLAND CO / MAGNUM MANAGEMENT CORP                              | SIX FLAGS ENTERTAINMENT CORP / CANADA'S WONDERLAND CO / MAGNUM MANAGEMENT CORP 6.5% 10/01/2028                                   | CUSIP: 150190AK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      160000 | PA      | $155223.14     | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                                                                  | VMWARE LLC 1.8% 08/15/2028                                                                                                       | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     2360000 | PA      | $2227166.43    | 0.01%             | 2028-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 09/01/2042#G07816                                                                                                 | CUSIP: 3128MAAR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      535518 | PA      | $539933.68     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                                                    | CONSTELLATION BRANDS INC 2.25% 08/01/2031                                                                                        | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     3460000 | PA      | $3068331.63    | 0.01%             | 2031-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                                               | CARNIVAL CORP 4% 08/01/2028 144A                                                                                                 | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |      675000 | PA      | $663370.29     | 0.00%             | 2028-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                                                    | BUILDERS FIRSTSOURCE INC 4.25% 02/01/2032 144A                                                                                   | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |      975000 | PA      | $926695.09     | 0.00%             | 2032-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIGOR INC                                                    | DIRECTV FINANCING LLC / CO-OBLIGOR INC 5.875% 08/15/2027 144A                                                                    | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      310000 | PA      | $310091.45     | 0.00%             | 2027-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 3.65%/VAR PERP                                                                                     | CUSIP: 38144GAG6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EP               | CORP              | US        |     1750000 | PA      | $1725964.98    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 0.625% 07/31/2026                                                                                                      | CUSIP: 91282CCP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1664000 | PA      | $1630389.80    | 0.00%             | 2026-07-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 08/20/2051#MA7534                                                                                                   | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9902960 | PA      | $8599884.60    | 0.02%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                                                | NOVELIS CORP 3.875% 08/15/2031 144A                                                                                              | CUSIP: 670001AH9<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |      162000 | PA      | $147792.83     | 0.00%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                                                                    | MHC COML MTG TR 2021-MHC TSFR1M+271.544 096 04/15/2038 144A                                                                      | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      571063 | PA      | $571774.12     | 0.00%             | 2038-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                                                           | VENTURE GLOBAL CALCASIEU PASS LLC 3.875% 08/15/2029 144A                                                                         | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4231091.52    | 0.01%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                                                           | VENTURE GLOBAL CALCASIEU PASS LLC 4.125% 08/15/2031 144A                                                                         | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      150000 | PA      | $137424.65     | 0.00%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 07/51#MA7473                                                                                                          | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5422338 | PA      | $4897861.10    | 0.01%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                                                         | AMERICAN EXPRESS CO 3.55%/VAR PERP                                                                                               | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | EP               | CORP              | US        |      770000 | PA      | $756330.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JEFFERIES FIN LLC/JFIN                                                                                      | JEFFERIES FIN LLC/JFIN 5% 08/15/2028 144A                                                                                        | CUSIP: 47232MAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       85000 | PA      | $80738.70      | 0.00%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 11/01/2050#CA7616                                                                                                   | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2063601 | PA      | $1705618.18    | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                                            | CENTENE CORP 2.625% 08/01/2031                                                                                                   | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    11006000 | PA      | $9430616.57    | 0.02%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 06/20/2051#MA7419                                                                                                     | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2098565 | PA      | $1894925.11    | 0.00%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 08/01/2051#FM8205                                                                                                 | CUSIP: 3140XCDK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2766773 | PA      | $2392790.54    | 0.01%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                                                   | APPLE INC 2.7% 08/05/2051                                                                                                        | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      775000 | PA      | $497440.85     | 0.00%             | 2051-08-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AMER INC                                                                               | UNITED RENTALS NORTH AMER INC 3.75% 01/15/2032                                                                                   | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     1085000 | PA      | $1019387.88    | 0.00%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.5% 10/01/2050#MA4157                                                                                                 | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2329543 | PA      | $1815191.93    | 0.00%             | 2050-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                                                  | COPT DEFENSE PROPERTIES LP 2% 01/15/2029                                                                                         | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |      600000 | PA      | $559241.77     | 0.00%             | 2029-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALTICE FING SA                                                                                              | ALTICE FING SA 5.75% 08/15/2029 144A                                                                                             | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |     1939000 | PA      | $1294282.50    | 0.00%             | 2029-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                                                     | AEP TRANSMISSION CO LLC 2.75% 08/15/2051                                                                                         | CUSIP: 00115AAN9<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      388000 | PA      | $244256.84     | 0.00%             | 2051-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                                            | CCO HLDGS LLC/CAP CORP 4.25% 01/15/2034 144A                                                                                     | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      668000 | PA      | $566015.04     | 0.00%             | 2034-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                                                   | INVITATION HOMES OPERATING PARTNERSHIP LP 2% 08/15/2031                                                                          | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |     1731000 | PA      | $1508609.34    | 0.00%             | 2031-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTURY CMNTYS INC                                                                                          | CENTURY COMMUNITIES INC 3.875% 08/15/2029 144A                                                                                   | CUSIP: 156504AM4<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |      235000 | PA      | $223254.91     | 0.00%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 08/20/2051#MA7533                                                                                                     | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       40051 | PA      | $33388.91      | 0.00%             | 2051-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 07/01/2051#RA5574                                                                                                 | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2583466 | PA      | $2234261.13    | 0.01%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THE BERKELEY GROUP PLC                                                                                      | THE BERKELEY GROUP PLC 2.5% 08/11/2031 REGS                                                                                      | CUSIP: N/A<br>LEI: 2138001V85JLYR7AUB61       | Long             | DBT              | CORP              | GB        |      660000 | PA      | $753955.40     | 0.00%             | 2031-08-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 2% 08/15/2051                                                                                        | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    53868000 | PA      | $31906269.04   | 0.07%             | 2051-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO/THE                                                                                             | CHEMOURS CO/THE 4.625% 11/15/2029 144A                                                                                           | CUSIP: 163851AH1<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |      595000 | PA      | $531510.58     | 0.00%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                                                    | RTX CORP 1.9% 09/01/2031                                                                                                         | CUSIP: 75513ECM1<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      210000 | PA      | $184859.57     | 0.00%             | 2031-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PREMIER ENTERTAINMENT SU                                                                                    | PREMIER ENTERTAINMENT SU 5.875% 09/01/2031 144A                                                                                  | CUSIP: 74052HAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      875000 | PA      | $437500.00     | 0.00%             | 2031-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                                                        | ONEMAIN FINANCE CORP 3.875% 09/15/2028                                                                                           | CUSIP: 682691AC4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      850000 | PA      | $824901.37     | 0.00%             | 2028-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 07/01/2051#CB1109                                                                                                   | CUSIP: 3140QLGT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20008 | PA      | $16468.28      | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                                                        | TANGER PROPERTIES LP 2.75% 09/01/2031                                                                                            | CUSIP: 875484AL1<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |     4140000 | PA      | $3751483.98    | 0.01%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                                                   | AMGEN INC 3% 01/15/2052                                                                                                          | CUSIP: 031162DC1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      316000 | PA      | $209594.63     | 0.00%             | 2052-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CROCS INC                                                                                                   | CROCS INC 4.125% 08/15/2031 144A                                                                                                 | CUSIP: 227046AB5<br>LEI: 549300B0J6YCXD63OG72 | Long             | DBT              | CORP              | US        |      250000 | PA      | $230472.86     | 0.00%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 2.7% 08/10/2026                                                                                         | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1085538.73    | 0.00%             | 2026-08-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 02/01/2051#SD7535                                                                                                 | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9481591 | PA      | $8241453.91    | 0.02%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC                                                                                | THERMO FISHER SCIENTIFIC INC 2.8% 10/15/2041                                                                                     | CUSIP: 883556CM2<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |      620000 | PA      | $463149.86     | 0.00%             | 2041-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                                              | NRG ENERGY INC 3.875% 02/15/2032 144A                                                                                            | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      964000 | PA      | $900948.81     | 0.00%             | 2032-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS and ELECTRIC CO                                                                               | SAN DIEGO GAS and ELECTRIC CO 2.95% 08/15/2051                                                                                   | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |       80000 | PA      | $51912.02      | 0.00%             | 2051-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                                              | BOMBARDIER INC 6% 02/15/2028 144A                                                                                                | CUSIP: 097751BX8<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     4020000 | PA      | $4032192.66    | 0.01%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                                                        | WR GRACE HOLDING LLC 5.625% 08/15/2029 144A                                                                                      | CUSIP: 92943GAA9<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |       95000 | PA      | $89431.96      | 0.00%             | 2029-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                                                 | AVOLON HOLDINGS FUNDING LTD 2.528% 11/18/2027 144A                                                                               | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     7750000 | PA      | $7497936.60    | 0.02%             | 2027-11-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INDIA CLEANTECH ENERGY                                                                                      | INDIA CLEANTECH ENERGY 4.7% 08/10/2026 REGS                                                                                      | CUSIP: N/A<br>LEI: 254900DGTS4HHR3Q6F66       | Long             | DBT              | CORP              | MU        |     1062600 | PA      | $1049880.68    | 0.00%             | 2026-08-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 2.206%/VAR 08/17/2029                                                                                          | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     3380000 | PA      | $3209404.17    | 0.01%             | 2029-08-17      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                                                    | DUKE ENERGY PROGRESS LLC 2.9% 08/15/2051                                                                                         | CUSIP: 26442UAM6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      550000 | PA      | $355445.31     | 0.00%             | 2051-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                                                  | INTEL CORP 2% 08/12/2031                                                                                                         | CUSIP: 458140BU3<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $924703.09     | 0.00%             | 2031-08-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SUNNOVA ENERGY CORP                                                                                         | SUNNOVA ENERGY CORP 5.875% 09/01/2026 144A                                                                                       | CUSIP: 86745GAF0<br>LEI: 549300TH3GCD8YQUDR46 | Long             | DBT              | CORP              | US        |      210000 | PA      | $525.00        | 0.00%             | 2026-09-01      | Fixed         | 0.06%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 10/01/2050#CA7323                                                                                                   | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3013250 | PA      | $2513126.17    | 0.01%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 09/01/2051#SD8166                                                                                                   | CUSIP: 3132DWCB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5452418 | PA      | $4470779.53    | 0.01%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                                                  | INTEL CORP 1.6% 08/12/2028                                                                                                       | CUSIP: 458140BT6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1873136.88    | 0.00%             | 2028-08-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                                                  | INTEL CORP 2.8% 08/12/2041                                                                                                       | CUSIP: 458140BV1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      390000 | PA      | $276698.25     | 0.00%             | 2041-08-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                                                               | COMMSCOPE INC 4.75% 09/01/2029 144A                                                                                              | CUSIP: 203372AX5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |       64000 | PA      | $63889.28      | 0.00%             | 2029-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                                            | BRIXMOR OPERATING PARTNERSHIP LP 2.5% 08/16/2031                                                                                 | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     4020000 | PA      | $3615348.09    | 0.01%             | 2031-08-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                                                | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6% 09/01/2031 144A                                                  | CUSIP: 87470LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      170000 | PA      | $168018.82     | 0.00%             | 2031-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STAGWELL GLOBAL LLC                                                                                         | STAGWELL GLOBAL LLC 5.625% 08/15/2029 144A                                                                                       | CUSIP: 59565JAA9<br>LEI: 984500904E015Z0C1F82 | Long             | DBT              | CORP              | US        |      380000 | PA      | $369263.14     | 0.00%             | 2029-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 09/01/2051#MA4414                                                                                                 | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13661790 | PA      | $11712673.36   | 0.03%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUIFAX INC                                                                                                 | EQUIFAX INC 2.35% 09/15/2031                                                                                                     | CUSIP: 294429AT2<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |      250000 | PA      | $222513.45     | 0.00%             | 2031-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF OK                                                                                     | PUBLIC SERVICE CO OF OK 3.15% 08/15/2051                                                                                         | CUSIP: 744533BP4<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |       70000 | PA      | $46824.82      | 0.00%             | 2051-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIM TR 2021-INV1                                                                                            | CIM TRUST 2021-INV1 2.5% 07/01/2051 144A                                                                                         | CUSIP: 12566PAH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4193135 | PA      | $3782795.95    | 0.01%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE CO                                                                                   | ARIZONA PUBLIC SERVICE CO 2.2% 12/15/2031                                                                                        | CUSIP: 040555DD3<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |     2440000 | PA      | $2152355.89    | 0.00%             | 2031-12-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 1.75% 08/15/2041                                                                                     | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    28295400 | PA      | $19471877.34   | 0.04%             | 2041-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                                                    | LIBERTY MUTUAL GROUP INC T5Y+NA 12/15/2051 144A                                                                                  | CUSIP: 53079EBM5<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98061.57      | 0.00%             | 2051-12-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM3 TR                                                                                            | OBX 2021-NQM3 TR 1.054% 07/25/2061 144A                                                                                          | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9876972 | PA      | $8240896.62    | 0.02%             | 2061-07-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                                                          | EXPAND ENERGY CORP 5.375% 03/15/2030                                                                                             | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     1139000 | PA      | $1154931.60    | 0.00%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN AXLE and MANUFACTURING INC                                                                         | AMERICAN AXLE and MFG INC 5% 10/01/2029                                                                                          | CUSIP: 02406PBB5<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |      270000 | PA      | $258772.91     | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FRTKL 2021-SFR1                                                                                             | FRTKL 2021-SFR1 3.171% 09/17/2038 144A                                                                                           | CUSIP: 30322DAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      128000 | PA      | $124712.90     | 0.00%             | 2038-09-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST 2021-SFR8                                                                        | PROGRESS RESIDENTIAL TRUST 2021-SFR8 3.181% 10/17/2038 144A                                                                      | CUSIP: 74333TAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4000000 | PA      | $3930352.40    | 0.01%             | 2038-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 1.5% 03/01/2051#QC0031                                                                                                 | CUSIP: 3133AJA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       54658 | PA      | $42965.92      | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 1.5% 06/01/2051#QC3131                                                                                                 | CUSIP: 3133AMPQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      134411 | PA      | $105657.82     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.5% 06/01/2051#CB0788                                                                                                 | CUSIP: 3140QK2W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      517805 | PA      | $407036.04     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 1.5% 11/01/2050#QB6612                                                                                                 | CUSIP: 3133ADKZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      237698 | PA      | $186626.78     | 0.00%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 1.5% 12/01/2050#QB7301                                                                                                 | CUSIP: 3133AEDE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      167455 | PA      | $131475.98     | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 1.5% 12/01/2050#BQ9522                                                                                                 | CUSIP: 3140KVSL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39908 | PA      | $31371.00      | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BLOX 2021-BLOX                                                                                              | BLOX 2021-BLOX A TSFR1M+86.448 09/15/2026 144A                                                                                   | CUSIP: 055522AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8921000 | PA      | $8848720.27    | 0.02%             | 2026-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                                                    | AES CORP 2.45% 01/15/2031                                                                                                        | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3266003.81    | 0.01%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 1.125% 08/31/2028                                                                                                      | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2215000 | PA      | $2078639.06    | 0.00%             | 2028-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CLARIVATE SCIENCE HLDGS CORP                                                                                | CLARIVATE SCIENCE HLDGS CORP 3.875% 07/01/2028 144A                                                                              | CUSIP: 18064PAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      492000 | PA      | $476449.41     | 0.00%             | 2028-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORP                                                                               | NEW SOUTH WALES TREASURY CORP 1.75% 03/20/2034 REGS                                                                              | CUSIP: N/A<br>LEI: TC7LRO17HPNPLTAV0H77       | Long             | DBT              | NUSS              | AU        |     9100000 | PA      | $4664622.79    | 0.01%             | 2034-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 07/01/2050#CA6275                                                                                                   | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2126998 | PA      | $1761340.73    | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                                                                                              | BANK 2021-BN35 2.902% 06/15/2064                                                                                                 | CUSIP: 06540CBX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      123000 | PA      | $105138.91     | 0.00%             | 2064-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                                               | DISH DBS CORP 5.125% 06/01/2029                                                                                                  | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      975000 | PA      | $825208.41     | 0.00%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 09/20/2051#MA7588                                                                                                     | CUSIP: 36179WND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4474532 | PA      | $3730231.93    | 0.01%             | 2051-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2021-R5                                                                                           | CIM TRUST 2021-R5 2%/VAR 08/25/2061 144A                                                                                         | CUSIP: 12592SAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4948161 | PA      | $4427257.47    | 0.01%             | 2061-08-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 09/20/2051#MA7589                                                                                                   | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    17779401 | PA      | $15439908.85   | 0.03%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                                                                           | QBE INS GROUP LTD 2.5%/VAR 09/13/2038 REGS                                                                                       | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | DBT              | CORP              | AU        |      325000 | PA      | $405609.44     | 0.00%             | 2038-09-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                                                | AT and T INC 3.5% 09/15/2053                                                                                                     | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     3282000 | PA      | $2258039.24    | 0.01%             | 2053-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                                                | AT and T INC 3.65% 09/15/2059                                                                                                    | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     7497000 | PA      | $5110926.51    | 0.01%             | 2059-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 09/01/2051#RA5931                                                                                                   | CUSIP: 3133KMSU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       40688 | PA      | $33731.32      | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                                              | HOME DEPOT INC 1.875% 09/15/2031                                                                                                 | CUSIP: 437076CJ9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      178000 | PA      | $157051.30     | 0.00%             | 2031-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL CORP                                                                                | SOUTHERN CO GAS CAP 3.15% 09/30/2051                                                                                             | CUSIP: 8426EPAE8<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |      827000 | PA      | $546151.70     | 0.00%             | 2051-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PAPA JOHNS INTERNATIONAL INC                                                                                | PAPA JOHNS INTERNATIONAL INC 3.875% 09/15/2029 144A                                                                              | CUSIP: 698813AA0<br>LEI: HZYLD3DK5XOX0WBVNB56 | Long             | DBT              | CORP              | US        |      340000 | PA      | $326417.27     | 0.00%             | 2029-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                                                   | TORONTO DOMINION BANK 2% 09/10/2031                                                                                              | CUSIP: 89114TZJ4<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      180000 | PA      | $161221.78     | 0.00%             | 2031-09-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERICA                                                                                   | PACKAGING CORP OF AMERICA 3.05% 10/01/2051                                                                                       | CUSIP: 695156AW9<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |      108000 | PA      | $71304.06      | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ATI INC                                                                                                     | ATI INC 4.875% 10/01/2029                                                                                                        | CUSIP: 01741RAL6<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |       70000 | PA      | $69852.15      | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNP PARIBAS 2.159%/VAR 09/15/2029 144A                                                                                           | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     6450000 | PA      | $6086772.77    | 0.01%             | 2029-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT                                                 | HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT 0.625% 09/16/2028 REGS                                               | CUSIP: N/A<br>LEI: 969500I3QVK40XEORU25       | Long             | DBT              | CORP              | FR        |      300000 | PA      | $322379.11     | 0.00%             | 2028-09-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                                                | AT and T INC 2.55% 12/01/2033                                                                                                    | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     5588000 | PA      | $4794453.48    | 0.01%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                                                | AT and T INC 3.55% 09/15/2055                                                                                                    | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     2735000 | PA      | $1874310.79    | 0.00%             | 2055-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                                                | AT and T INC 3.8% 12/01/2057                                                                                                     | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     3545000 | PA      | $2518308.80    | 0.01%             | 2057-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                                                   | BALL CORP 3.125% 09/15/2031                                                                                                      | CUSIP: 058498AX4<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |      410000 | PA      | $376376.96     | 0.00%             | 2031-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                                          | CENOVUS ENERGY INC 2.65% 01/15/2032                                                                                              | CUSIP: 15135UAW9<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     1050000 | PA      | $935882.43     | 0.00%             | 2032-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                                          | CENOVUS ENERGY INC 3.75% 02/15/2052                                                                                              | CUSIP: 15135UAX7<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     3795000 | PA      | $2696405.11    | 0.01%             | 2052-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RLJ LODGING TRUST LP                                                                                        | RLJ LODGING TRUST LP 4% 09/15/2029 144A                                                                                          | CUSIP: 74965LAB7<br>LEI: 549300RX5I8Z6I6LDZ74 | Long             | DBT              | CORP              | US        |      100000 | PA      | $94499.82      | 0.00%             | 2029-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 06/01/2047#BE3671                                                                                                   | CUSIP: 3140FPCH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1652971 | PA      | $1602194.51    | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PIEDMONT HEALTHCARE INC                                                                                     | PIEDMONT HEALTHCARE INC 2.719% 01/01/2042                                                                                        | CUSIP: 72014TAD1<br>LEI: 254900D1I6W7J0DSAY11 | Long             | DBT              | CORP              | US        |     1780000 | PA      | $1277398.67    | 0.00%             | 2042-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PUGET SOUND ENERGY INC                                                                                      | PUGET SOUND ENERGY INC 2.893% 09/15/2051                                                                                         | CUSIP: 745332CK0<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |       38000 | PA      | $24639.33      | 0.00%             | 2051-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OHIO POWER CO                                                                                               | OHIO POWER CO 2.9% 10/01/2051                                                                                                    | CUSIP: 677415CU3<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      465000 | PA      | $291296.23     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PIEDMONT HEALTHCARE INC                                                                                     | PIEDMONT HEALTHCARE INC 2.864% 01/01/2052                                                                                        | CUSIP: 72014TAE9<br>LEI: 254900D1I6W7J0DSAY11 | Long             | DBT              | CORP              | US        |     1055000 | PA      | $679801.10     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WATER US HOLDING CORPORATION                                                                        | OLYMPUS WATER US HOLDING CORPORATION 6.25% 10/01/2029 144A                                                                       | CUSIP: 681639AB6<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |      200000 | PA      | $193242.30     | 0.00%             | 2029-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                                                   | CAESARS ENTERTAINMENT INC 4.625% 10/15/2029 144A                                                                                 | CUSIP: 12769GAA8<br>LEI: 5299000BKFWWVND5L441 | Long             | DBT              | CORP              | US        |      950000 | PA      | $899088.74     | 0.00%             | 2029-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FLOWSERVE CORP                                                                                              | FLOWSERVE CORP 2.8% 01/15/2032                                                                                                   | CUSIP: 34355JAB4<br>LEI: 6Y0GK87T6V7NJKZJVM41 | Long             | DBT              | CORP              | US        |      405000 | PA      | $363958.21     | 0.00%             | 2032-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 11/01/2050#MA4184                                                                                                   | CUSIP: 31418DUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      265825 | PA      | $238729.91     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 06/01/2050#SD8080                                                                                                   | CUSIP: 3132DV6R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    36498133 | PA      | $30052570.30   | 0.07%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 10/01/2051#MA4437                                                                                                   | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7328982 | PA      | $6009491.91    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                                            | SOUTHERN COMPANY EUSA5+NA 09/15/2081                                                                                             | CUSIP: N/A<br>LEI: 549300FC3G3YU2FBZD92       | Long             | DBT              | CORP              | US        |      450000 | PA      | $505212.44     | 0.00%             | 2081-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GAP INC                                                                                                     | GAP INC 3.625% 10/01/2029 144A                                                                                                   | CUSIP: 364760AP3<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |      378000 | PA      | $358562.14     | 0.00%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GAP INC                                                                                                     | GAP INC 3.875% 10/01/2031 144A                                                                                                   | CUSIP: 364760AQ1<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |     1225000 | PA      | $1136199.02    | 0.00%             | 2031-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                                                             | PENNYMAC FINANCIAL SERVICES INC 5.75% 09/15/2031 144A                                                                            | CUSIP: 70932MAC1<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |      575000 | PA      | $579529.85     | 0.00%             | 2031-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                                                           | PIEDMONT OPERATING PARTNERSHIP LP 2.75% 04/01/2032                                                                               | CUSIP: 720198AF7<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |     1374000 | PA      | $1178688.83    | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                                                  | TENNESSEE VALLEY AUTHORITY 1.5% 09/15/2031                                                                                       | CUSIP: 880591EX6<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |      565000 | PA      | $497801.93     | 0.00%             | 2031-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 2.484%/VAR 09/16/2036                                                                                             | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      230000 | PA      | $202490.42     | 0.00%             | 2036-09-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CO LLC                                                                              | NISSAN MOTOR ACCEPTANCE CO LLC 2.45% 09/15/2028 144A                                                                             | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18378.67      | 0.00%             | 2028-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.5% 10/01/2051#MA4436                                                                                                 | CUSIP: 31418D4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1401164 | PA      | $1088291.82    | 0.00%             | 2051-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                                                                                         | HUNGARY REPUBLIC OF 2.125% 09/22/2031 144A                                                                                       | CUSIP: 445545AM8<br>LEI: 5299008DH62LEB10JK83 | Long             | DBT              | NUSS              | HU        |      780000 | PA      | $670316.40     | 0.00%             | 2031-09-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA INC                                                                                  | BP CAP MARKETS AMERICA INC 3.001% 03/17/2052                                                                                     | CUSIP: 10373QBS8<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      373000 | PA      | $244888.53     | 0.00%             | 2052-03-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ECMC GROUP STUDENT LOAN TRUST 2021-1                                                                        | ECMC GROUP STUDENT LOAN TRUST 2021-1 SOFR30A+68.448 11/25/2070 144A                                                              | CUSIP: 26833RAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      478534 | PA      | $473457.77     | 0.00%             | 2070-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                                                     | HYUNDAI CAP AMER 2.1% 09/15/2028 144A                                                                                            | CUSIP: 44891ACA3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     1595000 | PA      | $1505366.04    | 0.00%             | 2028-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CARLISLE COS INC                                                                                            | CARLISLE COS INC 2.2% 03/01/2032                                                                                                 | CUSIP: 142339AL4<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |     1890000 | PA      | $1650155.62    | 0.00%             | 2032-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CNX MIDSTREAM PARTNERS LP                                                                                   | CNX MIDSTREAM PARTNERS LP 4.75% 04/15/2030 144A                                                                                  | CUSIP: 12654AAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      230000 | PA      | $220600.29     | 0.00%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 11/01/2051#MA4465                                                                                                   | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12040546 | PA      | $9872799.01    | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                                                                             | SEALED AIR CORP 1.573% 10/15/2026 144A                                                                                           | CUSIP: 81211KAZ3<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |     2750000 | PA      | $2682215.72    | 0.01%             | 2026-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SWF HOLDINGS I CORP                                                                                         | SWF HOLDINGS I CORP 6.5% 10/01/2029 144A                                                                                         | CUSIP: 78500AAA6<br>LEI: 5493000CMZKPQ7BKPB20 | Long             | DBT              | CORP              | US        |      850000 | PA      | $297500.00     | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GLENCORE FDG LLC                                                                                            | GLENCORE FDG LLC 2.625% 09/23/2031 144A                                                                                          | CUSIP: 378272BG2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      342000 | PA      | $308759.93     | 0.00%             | 2031-09-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRA GROUP INC                                                                                               | PRA GROUP INC 5% 10/01/2029 144A                                                                                                 | CUSIP: 69354NAD8<br>LEI: 549300Q5HW3JSSB86K27 | Long             | DBT              | CORP              | US        |      135000 | PA      | $124831.73     | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| POWER FINANCE CORP LTD                                                                                      | POWER FINANCE CORP LTD 1.841% 09/21/2028 REGS                                                                                    | CUSIP: N/A<br>LEI: 3358003Q6D9LIJJZ1614       | Long             | DBT              | CORP              | IN        |     2400000 | PA      | $2676899.59    | 0.01%             | 2028-09-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 10/01/2051#MA4438                                                                                                 | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    21357721 | PA      | $18303957.33   | 0.04%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROCKET MORTGAGE LLC / ROCKET MORTGAGE CO-ISSUER INC                                                         | ROCKET MORTGAGE LLC / ROCKET MORTGAGE CO-ISSUER INC 4% 10/15/2033 144A                                                           | CUSIP: 77313LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       17000 | PA      | $15750.36      | 0.00%             | 2033-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROCKET MORTGAGE LLC / ROCKET MORTGAGE CO-ISSUER INC                                                         | ROCKET MORTGAGE LLC / ROCKET MORTGAGE CO-ISSUER INC 2.875% 10/15/2026 144A                                                       | CUSIP: 77313LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      428000 | PA      | $421065.87     | 0.00%             | 2026-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                                                        | SABRA HEALTH CARE LP 3.2% 12/01/2031                                                                                             | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |     8620000 | PA      | $7885393.69    | 0.02%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOMNIGROUP INTERNATIONAL INC                                                                                | SOMNIGROUP INTERNATIONAL INC 3.875% 10/15/2031 144A                                                                              | CUSIP: 88023UAJ0<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |      135000 | PA      | $126307.67     | 0.00%             | 2031-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 10/01/2051#CB1799                                                                                                   | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6947824 | PA      | $5779461.68    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NIGERIA REPUBLIC OF                                                                                         | NIGERIA REPUBLIC 6.125% 09/28/2028 144A                                                                                          | CUSIP: 65412JAR4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |      300000 | PA      | $297166.50     | 0.00%             | 2028-09-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                                                           | ATMOS ENERGY CORP 2.85% 02/15/2052                                                                                               | CUSIP: 049560AW5<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |       27000 | PA      | $17155.64      | 0.00%             | 2052-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                                                        | WR GRACE HOLDING LLC 4.875% 06/15/2027 144A                                                                                      | CUSIP: 92943GAD3<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |      281000 | PA      | $278428.06     | 0.00%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                                                 | MATCH GROUP HLD II LLC 3.625% 10/01/2031 144A                                                                                    | CUSIP: 57667JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $183030.28     | 0.00%             | 2031-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WABASH NATIONAL CORP                                                                                        | WABASH NATIONAL CORP 4.5% 10/15/2028 144A                                                                                        | CUSIP: 929566AL1<br>LEI: 5299004ZAWHQZI5XO485 | Long             | DBT              | CORP              | US        |      295000 | PA      | $270025.86     | 0.00%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 02/01/2035#                                                                                                         | CUSIP: 3140XC4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      112134 | PA      | $110116.89     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 01/01/2049#FM7786                                                                                                   | CUSIP: 3140XBUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5054765 | PA      | $4899489.75    | 0.01%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                                                   | EGYPT (ARAB) REPUBLIC OF 7.3% 09/30/2033 REGS                                                                                    | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |      200000 | PA      | $197688.00     | 0.00%             | 2033-09-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 10/01/2051#RA6076                                                                                                   | CUSIP: 3133KMXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4476584 | PA      | $3704206.58    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 1.25% 09/30/2028                                                                                                       | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3299000 | PA      | $3100802.28    | 0.01%             | 2028-09-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BETHP 2021                                                                                                  | BETHP 2021 A TSFR3M+139.161 01/15/2035 144A                                                                                      | CUSIP: 087598AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4844000 | PA      | $4850781.60    | 0.01%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                                                               | CLEARWAY ENERGY OPER LLC 3.75% 01/15/2032 144A                                                                                   | CUSIP: 18539UAE5<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |      165000 | PA      | $151059.55     | 0.00%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 3.5% 03/01/2042                                  | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      458000 | PA      | $321449.46     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 2.25% 01/15/2029                                 | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5888000 | PA      | $5475827.46    | 0.01%             | 2029-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 3.95% 06/30/2062                                 | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2082000 | PA      | $1280531.27    | 0.00%             | 2062-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LSB INDUSTRIES INC                                                                                          | LSB INDUSTRIES INC 6.25% 10/15/2028 144A                                                                                         | CUSIP: 502160AN4<br>LEI: 5493001H215A0HG0MI71 | Long             | DBT              | CORP              | US        |      120000 | PA      | $119398.82     | 0.00%             | 2028-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                                                                         | MEDLINE BORROWER LP 3.875% 04/01/2029 144A                                                                                       | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     5202000 | PA      | $5049895.60    | 0.01%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                                                                         | MEDLINE BORROWER LP 5.25% 10/01/2029 144A                                                                                        | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |      203000 | PA      | $203474.21     | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK25                                                                                             | BANK 20-BNK25 XB CSTR 01/15/2063                                                                                                 | CUSIP: 06539WBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5200000 | PA      | $88952.24      | 0.00%             | 2063-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                                                | SUN CMNTYS OPER LTD PRTNRSHP 2.3% 11/01/2028                                                                                     | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |     1550000 | PA      | $1473450.21    | 0.00%             | 2028-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TOPBUILD CORP                                                                                               | TOPBUILD CORP 4.125% 02/15/2032 144A                                                                                             | CUSIP: 89055FAC7<br>LEI: 5493007YSKHOL4RWII46 | Long             | DBT              | CORP              | US        |      530000 | PA      | $505340.43     | 0.00%             | 2032-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHEQUITY INC                                                                                            | HEALTHEQUITY INC 4.5% 10/01/2029 144A                                                                                            | CUSIP: 42226AAA5<br>LEI: 529900LRJU1RAFQHM467 | Long             | DBT              | CORP              | US        |      260000 | PA      | $255485.62     | 0.00%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 3.187% 11/15/2036 144A                                                                                              | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     4812000 | PA      | $4155614.81    | 0.01%             | 2036-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 3.137% 11/15/2035 144A                                                                                              | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     4483000 | PA      | $3926384.53    | 0.01%             | 2035-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GUATEMALA, REP OF                                                                                           | GUATEMALA REP OF 3.7% 10/07/2033 REGS                                                                                            | CUSIP: N/A<br>LEI: 529900QKDFFU9UWW5315       | Long             | DBT              | NUSS              | GT        |      947000 | PA      | $841011.76     | 0.00%             | 2033-10-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| 180 MEDICAL INC                                                                                             | 180 MEDICAL INC 3.875% 10/15/2029 144A                                                                                           | CUSIP: 682357AA6<br>LEI: 254900ZB648OPWVFVX59 | Long             | DBT              | CORP              | US        |      390000 | PA      | $379112.06     | 0.00%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 11/01/2051#MA4466                                                                                                 | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    34206651 | PA      | $29315725.88   | 0.07%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 11/01/2051#                                                                                                       | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      480077 | PA      | $411435.09     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 10/20/2051#MA7648                                                                                                     | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      364749 | PA      | $304075.79     | 0.00%             | 2051-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.5% 01/01/2051#MA4236                                                                                                 | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5386242 | PA      | $4183522.55    | 0.01%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| THOR INDUSTRIES INC                                                                                         | THOR INDUSTRIES INC 4% 10/15/2029 144A                                                                                           | CUSIP: 885160AA9<br>LEI: 254900XZO1228PDSG060 | Long             | DBT              | CORP              | US        |      200000 | PA      | $191410.60     | 0.00%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                                                                       | CIVITAS RESOURCES INC 5% 10/15/2026 144A                                                                                         | CUSIP: 097793AE3<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |      650000 | PA      | $648749.86     | 0.00%             | 2026-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                                                                                        | HEIMSTADEN BOSTAD AB EUSA5+NA PERP REGS                                                                                          | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | EP               | CORP              | SE        |      185000 | PA      | $212135.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JEFFERIES FINANCIAL GROUP INC                                                                               | JEFFERIES FINANCIAL GROUP INC 2.625% 10/15/2031                                                                                  | CUSIP: 47233JGT9<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |     5530000 | PA      | $4879467.39    | 0.01%             | 2031-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 09/20/2051#MA7590                                                                                                     | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    23321450 | PA      | $21065678.39   | 0.05%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SENTARA HEALTHCARE                                                                                          | SENTARA HEALTHCARE 2.927% 11/01/2051                                                                                             | CUSIP: 81728XAA6<br>LEI: 5493002B0YWN6UH30V71 | Long             | DBT              | CORP              | US        |      565000 | PA      | $365093.90     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BCP V MODULAR SERVICES FINANCE II PLC                                                                       | BCP V MODULAR SERVICES FINANCE II PLC 6.125% 11/30/2028 REGS                                                                     | CUSIP: N/A<br>LEI: 213800227GGD6UI7PI97       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $124425.65     | 0.00%             | 2028-11-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                                                 | PEPSICO INC 2.75% 10/21/2051                                                                                                     | CUSIP: 713448FG8<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      360000 | PA      | $231805.43     | 0.00%             | 2051-10-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                                                                           | ILIAD HOLDING SAS 7% 10/15/2028 144A                                                                                             | CUSIP: 449691AC8<br>LEI: 9695009BGMXB527HV965 | Long             | DBT              | CORP              | FR        |      450000 | PA      | $456407.55     | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                                                     | BPCE SA 2.045%/VAR 10/19/2027 144A                                                                                               | CUSIP: 05583JAK8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     2670000 | PA      | $2620247.86    | 0.01%             | 2027-10-19      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                                                     | BPCE SA 3.116%/VAR 10/19/2032 144A                                                                                               | CUSIP: 05578QAF0<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      500000 | PA      | $450045.93     | 0.00%             | 2032-10-19      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 11/01/2051#SD8177                                                                                                   | CUSIP: 3132DWCN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4151705 | PA      | $3404243.53    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.5% 06/01/2051#MA4354                                                                                                 | CUSIP: 31418DZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1290246 | PA      | $1002141.02    | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                                                    | GENERAL MTRS FINL CO INC 2.4% 10/15/2028                                                                                         | CUSIP: 37045XDP8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     2200000 | PA      | $2096892.34    | 0.00%             | 2028-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORP                                                                                           | VERTIV GROUP CORP 4.125% 11/15/2028 144A                                                                                         | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |      195000 | PA      | $193310.73     | 0.00%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 10/01/2051#QC9556                                                                                                 | CUSIP: 3133AUTM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      519089 | PA      | $449735.18     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGNERA CORP                                                                                                | MAGNERA CORP 4.75% 11/15/2029 144A                                                                                               | CUSIP: 377320AA4<br>LEI: 549300LDQLQBT38QDY28 | Long             | DBT              | CORP              | US        |      100000 | PA      | $90451.23      | 0.00%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ARIA                                                                                             | BX TR 2021-ARIA TSFR1M+101.358 91 10/15/2036 144A                                                                                | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      129000 | PA      | $128920.05     | 0.00%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 11/51#MA7705                                                                                                        | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2248761 | PA      | $1952859.24    | 0.00%             | 2051-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                                            | PUGET ENERGY INC 2.379% 06/15/2028                                                                                               | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |      815000 | PA      | $778575.73     | 0.00%             | 2028-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2.5% 10/01/2041#RB5132                                                                                                 | CUSIP: 3133KYVZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      906914 | PA      | $819161.71     | 0.00%             | 2041-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 2.511%/VAR 10/20/2032                                                                                             | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3820000 | PA      | $3439859.42    | 0.01%             | 2032-10-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BX 2021-XL2                                                                                                 | BX TRUST 21-XL2 A TSFR1M+80.298 10/15/2036 144A                                                                                  | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      442017 | PA      | $441466.30     | 0.00%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                                           | DB MASTER FIN LLC 2.045% 11/20/2051 144A                                                                                         | CUSIP: 233046AN1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |     1382400 | PA      | $1352028.12    | 0.00%             | 2051-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SONIC AUTOMOTIVE INC                                                                                        | SONIC AUTOMOTIVE INC 4.625% 11/15/2029 144A                                                                                      | CUSIP: 83545GBD3<br>LEI: 549300NTLRGJ2JCBZU03 | Long             | DBT              | CORP              | US        |      298000 | PA      | $291365.86     | 0.00%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SONIC AUTOMOTIVE INC                                                                                        | SONIC AUTOMOTIVE INC 4.875% 11/15/2031 144A                                                                                      | CUSIP: 83545GBE1<br>LEI: 549300NTLRGJ2JCBZU03 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96244.93      | 0.00%             | 2031-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 02/01/2036#MA4260                                                                                                 | CUSIP: 31418DWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41326 | PA      | $37459.56      | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 10/01/2036#MA4441                                                                                                 | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74512 | PA      | $67308.43      | 0.00%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 02/01/2036#FM5367                                                                                                 | CUSIP: 3140X86D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39168 | PA      | $35503.73      | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 1.5% 08/01/2036#SB8114                                                                                                 | CUSIP: 3132D6AP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       71777 | PA      | $64994.72      | 0.00%             | 2036-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 01/01/2036#MA4228                                                                                                 | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2577523 | PA      | $2336387.64    | 0.01%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 1.5% 03/01/2036#SB8092                                                                                                 | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      710954 | PA      | $644441.95     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 2.572%/VAR 10/20/2032                                                                                | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      520000 | PA      | $471831.59     | 0.00%             | 2032-10-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 1.948%/VAR 10/21/2027                                                                              | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     3034000 | PA      | $2974371.31    | 0.01%             | 2027-10-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                                                       | BX COMMERCIAL MORTGAGE TRUST 2021-PAC B TSFR1M+101.328 21 10/15/2036 144A                                                        | CUSIP: 05609PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1201000 | PA      | $1197256.96    | 0.00%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                                                       | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+121.308 21 10/15/2036 144A                                                          | CUSIP: 05609PAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1607000 | PA      | $1599988.18    | 0.00%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                                                       | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+141.278 21 10/15/2036 144A                                                          | CUSIP: 05609PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1560000 | PA      | $1552220.90    | 0.00%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                                                       | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+206.198 21 10/15/2036 144A                                                          | CUSIP: 05609PAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5425000 | PA      | $5404709.96    | 0.01%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                                                       | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A                                                           | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8126000 | PA      | $8110901.89    | 0.02%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                                                                         | AVANTOR FUNDING INC 3.875% 11/01/2029 144A                                                                                       | CUSIP: 05352TAB5<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |      135000 | PA      | $128848.01     | 0.00%             | 2029-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASB BANK LIMITED                                                                                            | ASB BANK LIMITED 2.375% 10/22/2031 144A                                                                                          | CUSIP: 00216LAE3<br>LEI: 549300IBZWZL1KTPF918 | Long             | DBT              | CORP              | NZ        |      200000 | PA      | $180848.72     | 0.00%             | 2031-10-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                                                    | LAMB WESTON HOLDINGS INC 4.125% 01/31/2030 144A                                                                                  | CUSIP: 513272AD6<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |      570000 | PA      | $552973.30     | 0.00%             | 2030-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                                                    | LAMB WESTON HOLDINGS INC 4.375% 01/31/2032 144A                                                                                  | CUSIP: 513272AE4<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |     1308000 | PA      | $1251931.40    | 0.00%             | 2032-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 10/20/2051#MA7650                                                                                                     | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      130456 | PA      | $117756.39     | 0.00%             | 2051-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORPORATION                                                                                    | TSMC ARIZONA CORPORATION 2.5% 10/25/2031                                                                                         | CUSIP: 872898AC5<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |      702000 | PA      | $642491.46     | 0.00%             | 2031-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OHIOHEALTH CORP                                                                                             | OHIOHEALTH CORP 2.297% 11/15/2031                                                                                                | CUSIP: 67777JAL2<br>LEI: JGYGIL4QGKKPZU7C1D18 | Long             | DBT              | CORP              | US        |     8505000 | PA      | $7679696.32    | 0.02%             | 2031-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                                              | US BANCORP DEL 3.7%/VAR PERP                                                                                                     | CUSIP: 902973BC9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EP               | CORP              | US        |     4850000 | PA      | $4708350.42    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM 2016-H16 FE TSFR12M+109.513 06/20/2066                                                              | CUSIP: 38376RWQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      386892 | PA      | $390271.93     | 0.00%             | 2066-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                                                   | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3.3% 01/30/2032                                                        | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     4790000 | PA      | $4437145.85    | 0.01%             | 2032-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                                                   | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3% 10/29/2028                                                          | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    11894000 | PA      | $11514411.20   | 0.03%             | 2028-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                                                   | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 2.45% 10/29/2026                                                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    11600000 | PA      | $11425410.84   | 0.03%             | 2026-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 1.125% 10/31/2026                                                                                                      | CUSIP: 91282CDG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8797500 | PA      | $8597975.43    | 0.02%             | 2026-10-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 1.375% 10/31/2028                                                                                                      | CUSIP: 91282CDF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    72020000 | PA      | $67811331.25   | 0.15%             | 2028-10-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                                            | BERRY GLOBAL INC 1.57% 01/15/2026                                                                                                | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     1675000 | PA      | $1669322.17    | 0.00%             | 2026-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2021-MF2                                                        | ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2021-MF2 2.5747% 10/15/2054 144A                                                     | CUSIP: 03882KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      440000 | PA      | $398724.08     | 0.00%             | 2054-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GRAY TELEVISION INC                                                                                         | GRAY TELEVISION INC 5.375% 11/15/2031 144A                                                                                       | CUSIP: 389286AA3<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |       63000 | PA      | $47379.44      | 0.00%             | 2031-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX 2021-BXMF                                                                                                | BX 2021-BXMF TSFR1M+75.041 10/15/2026 144A                                                                                       | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1575697 | PA      | $1571792.22    | 0.00%             | 2026-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ROBLOX CORP                                                                                                 | ROBLOX CORP 3.875% 05/01/2030 144A                                                                                               | CUSIP: 771049AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      280000 | PA      | $267716.01     | 0.00%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 4.125%/VAR PERP                                                                                    | CUSIP: 38141GYU2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EP               | CORP              | US        |     2505000 | PA      | $2461633.69    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                                         | SYNCHRONY FINANCIAL 2.875% 10/28/2031                                                                                            | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     1684000 | PA      | $1507072.43    | 0.00%             | 2031-10-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA1                                                                     | FREDDIE MAC STACR REMIC TRUST 2021-DNA1 SOFR30A+150 10/25/2041 144A                                                              | CUSIP: 35564KKY4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1469245 | PA      | $1474856.03    | 0.00%             | 2041-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FUNDING ASIA PLC                                                                                 | PRUDENTIAL FUNDING ASIA PLC T5Y+NA 11/03/2033 REGS                                                                               | CUSIP: N/A<br>LEI: 2549005TNASWKLR0XC37       | Long             | DBT              | CORP              | GB        |      375000 | PA      | $358863.48     | 0.00%             | 2033-11-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 2.904%/VAR 11/03/2042                                                                                              | CUSIP: 172967NF4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      495000 | PA      | $369096.32     | 0.00%             | 2042-11-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 2.52%/VAR 11/03/2032                                                                                               | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      195000 | PA      | $175065.92     | 0.00%             | 2032-11-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| VANTAGE DATA CENTERS ISSUER LLC                                                                             | VANTAGE DATA CENTERS ISSUER LLC 2.165% 10/15/2046 144A                                                                           | CUSIP: 92212KAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3175000 | PA      | $3103177.69    | 0.01%             | 2046-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                                                 | VIATRIS INC 2.3% 06/22/2027                                                                                                      | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |      120000 | PA      | $115884.35     | 0.00%             | 2027-06-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                                                 | VIATRIS INC 3.85% 06/22/2040                                                                                                     | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    12410000 | PA      | $9490761.94    | 0.02%             | 2040-06-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                                             | XCEL ENERGY INC 1.75% 03/15/2027                                                                                                 | CUSIP: 98388MAB3<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     2540000 | PA      | $2465752.04    | 0.01%             | 2027-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                                                       | MOLINA HEALTHCARE INC 3.875% 05/15/2032 144A                                                                                     | CUSIP: 60855RAL4<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |      155000 | PA      | $139710.61     | 0.00%             | 2032-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 2.545%/VAR 11/08/2032                                                                                      | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      340000 | PA      | $307812.83     | 0.00%             | 2032-11-08      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                                                     | JANE STREET GRP/JSG FIN 4.5% 11/15/2029 144A                                                                                     | CUSIP: 47077WAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       65000 | PA      | $63967.16      | 0.00%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 11/01/2051#RA6302                                                                                                   | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2407246 | PA      | $1985136.10    | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                                                    | RTX CORP 2.375% 03/15/2032                                                                                                       | CUSIP: 75513ECN9<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $893806.04     | 0.00%             | 2032-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                                                    | RTX CORP 3.03% 03/15/2052                                                                                                        | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      200000 | PA      | $132749.09     | 0.00%             | 2052-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER CO                                                                                  | SOUTHWESTERN ELEC POWER CO 3.25% 11/01/2051                                                                                      | CUSIP: 845437BT8<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |      100000 | PA      | $66932.03      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC                                                                                 | ASBURY AUTOMOTIVE GROUP INC 4.625% 11/15/2029 144A                                                                               | CUSIP: 043436AW4<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |      410000 | PA      | $402167.52     | 0.00%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC                                                                                 | ASBURY AUTOMOTIVE GROUP INC 5% 02/15/2032 144A                                                                                   | CUSIP: 043436AX2<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |      215000 | PA      | $209256.02     | 0.00%             | 2032-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                                                  | COPT DEFENSE PROPERTIES LP 2.9% 12/01/2033                                                                                       | CUSIP: 22003BAP1<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |      490000 | PA      | $420094.03     | 0.00%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AASET 2021-1 TR                                                                                             | AASET 2021-1 TR 2.95% 11/16/2041 144A                                                                                            | CUSIP: 00038PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2571804 | PA      | $2472013.51    | 0.01%             | 2041-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MEDCO LAUREL TREE PTE LTD                                                                                   | MEDCO LAUREL TREE PTE LTD 6.95% 11/12/2028 REGS                                                                                  | CUSIP: N/A<br>LEI: 254900SX7FFGRREZD046       | Long             | DBT              | CORP              | SG        |     1150000 | PA      | $1155559.56    | 0.00%             | 2028-11-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 1.875% 11/15/2051                                                                                    | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14632400 | PA      | $8366188.98    | 0.02%             | 2051-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 11/01/2051#RA6332                                                                                                   | CUSIP: 3133KNA94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      863857 | PA      | $714809.20     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PELICAN PRODUCTS INC                                                                                        | PELICAN PRODUCTS TERM 1LN 12/29/2028                                                                                             | CUSIP: 70468BAC7<br>LEI: 5493008CRWH2WFODTF44 | Long             | LON              | CORP              | US        |      394605 | PA      | $350709.42     | 0.00%             | 2028-12-29      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| BNPP AM EURO CLO 2019 BV                                                                                    | BNPP AM EURO CLO 2019 BV AR 3MEUR+82 07/22/2032 144A                                                                             | CUSIP: N/A<br>LEI: 724500LEK89L3DYT1E52       | Long             | ABS-CBDO         | CORP              | IE        |      249551 | PA      | $288515.40     | 0.00%             | 2032-07-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                                                        | EDISON INTERNATIONAL 5%/VAR PERP                                                                                                 | CUSIP: 281020AT4<br>LEI: 549300I7ROF15MAEVP56 | Long             | EP               | CORP              | US        |      257000 | PA      | $255429.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL1 TR                                                                                           | CSMCM TRUST CERTIFICATES 3.77782% 10/27/2061 144A                                                                                | CUSIP: 12658QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      286222 | PA      | $225650.71     | 0.00%             | 2061-10-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST                                                                                | CREDIT SUISSE MORTGAGE TRUST 2021-RPL11 PT 3.77782% 10/25/2061 144A                                                              | CUSIP: 12659AAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6738887 | PA      | $5640985.10    | 0.01%             | 2061-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| 3650R 2021-PF1 COMMERCIAL MORTGAGE TRUST                                                                    | 3650R 2021-PF1 COMMERCIAL MORTGAGE TRUST 2.522% 11/15/2054                                                                       | CUSIP: 88581EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $893501.70     | 0.00%             | 2054-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| 3650R 2021-PF1 COMMERCIAL MORTGAGE TRUST                                                                    | 3650R 2021-PF1 A4 COMMERCIAL MORTGAGE TRUST 2.253% 11/15/2054                                                                    | CUSIP: 88581EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4200000 | PA      | $3761929.92    | 0.01%             | 2054-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                                                               | FORD MOTOR CO 3.25% 02/12/2032                                                                                                   | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     1675000 | PA      | $1471349.13    | 0.00%             | 2032-02-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                                               | DISH DBS CORP 5.25% 12/01/2026 144A                                                                                              | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      526000 | PA      | $513866.55     | 0.00%             | 2026-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                                               | DISH DBS CORP 5.75% 12/01/2028 144A                                                                                              | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       53000 | PA      | $51216.03      | 0.00%             | 2028-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KOBE US MIDCO 2 INC                                                                                         | KOBE US MIDCO 2 INC PIK VAR 11/01/2026 144A                                                                                      | CUSIP: 499894AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      158015 | PA      | $137868.09     | 0.00%             | 2026-11-01      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 12/01/2051#SD8183                                                                                                 | CUSIP: 3132DWCU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4843728 | PA      | $4151163.96    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 12/01/2051#SD8182                                                                                                   | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6361517 | PA      | $5216206.79    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 12/01/2051#MA4493                                                                                                 | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      866075 | PA      | $742242.14     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 05/01/2050#FM7973                                                                                                   | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2247442 | PA      | $2172082.68    | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 11/20/2051#MA7704                                                                                                     | CUSIP: 36179WRZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1752495 | PA      | $1460982.40    | 0.00%             | 2051-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS and RESORTS LP                                                                                  | HOST HOTELS and RESORTS LP 2.9% 12/15/2031                                                                                       | CUSIP: 44107TBA3<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |      840000 | PA      | $756033.21     | 0.00%             | 2031-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTL INC                                                                                  | GRAPHIC PACKAGING INTL INC 3.75% 02/01/2030 144A                                                                                 | CUSIP: 38869AAD9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |      160000 | PA      | $151521.57     | 0.00%             | 2030-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORPORATION                                                                                       | OPEN TEXT CORPORATION 3.875% 12/01/2029 144A                                                                                     | CUSIP: 683715AD8<br>LEI: 549300UQROQS42RKHM85 | Long             | DBT              | CORP              | CA        |      235000 | PA      | $222856.89     | 0.00%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 11/01/2051#MA4467                                                                                                   | CUSIP: 31418D6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2287306 | PA      | $2047014.41    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                                          | REALTY INCOME CORP 3.4% 01/15/2028                                                                                               | CUSIP: 756109BH6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     3460000 | PA      | $3423350.43    | 0.01%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                                          | REALTY INCOME CORP 3.1% 12/15/2029                                                                                               | CUSIP: 756109BK9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     6235000 | PA      | $6003122.78    | 0.01%             | 2029-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                                          | REALTY INCOME CORP 2.85% 12/15/2032                                                                                              | CUSIP: 756109BL7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |      580000 | PA      | $522041.16     | 0.00%             | 2032-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 2% 11/15/2041                                                                                        | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    39368000 | PA      | $28032783.96   | 0.06%             | 2041-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 10/01/2051#FM9210                                                                                                   | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1851197 | PA      | $1665977.07    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                                                  | UNUM GROUP 4.046% 08/15/2041 144A                                                                                                | CUSIP: 91529YAS5<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |      165000 | PA      | $135644.61     | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NMLT TRUST 2021-INV3                                                                                        | NMLT TRUST 2021-INV3 PT 2.27689% 11/25/2056 144A                                                                                 | CUSIP: 62916BAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4590996 | PA      | $4426442.17    | 0.01%             | 2056-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                                           | SREIT TR 2021-MFP D TSFR1M+169.268 82 11/15/2038 144A                                                                            | CUSIP: 78472UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1449518 | PA      | $1448163.58    | 0.00%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                                           | SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A                                                                               | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8862360 | PA      | $8854079.46    | 0.02%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                                           | SREIT TR 2021-MFP TSFR1M+144.348 9 11/15/2038 144A                                                                               | CUSIP: 78472UAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2206153 | PA      | $2204091.60    | 0.00%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                                           | SREIT TR 2021-MFP B TSFR1M+119.428 98 11/15/2038 144A                                                                            | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3552494 | PA      | $3549174.27    | 0.01%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 12/01/2035#FM5278                                                                                                   | CUSIP: 3140X82L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115752 | PA      | $107320.29     | 0.00%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 1.5% 12/01/2036#SB8131                                                                                                 | CUSIP: 3132D6A83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      328586 | PA      | $296818.86     | 0.00%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2051#FM6540                                                                                                 | CUSIP: 3140XAHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4095597 | PA      | $3584234.39    | 0.01%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                                              | FAIRFAX FINANCIAL HLDGS LTD 3.375% 03/03/2031                                                                                    | CUSIP: 303901BJ0<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     4595000 | PA      | $4323819.83    | 0.01%             | 2031-03-03      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                                                          | EXPAND ENERGY CORP 5.375% 02/01/2029                                                                                             | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     3191000 | PA      | $3198237.54    | 0.01%             | 2029-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 11/01/2051#FM9633                                                                                                   | CUSIP: 3140XDV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2858407 | PA      | $2572410.86    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                                                      | SEMPRA 4.125%/VAR 04/01/2052                                                                                                     | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     3845000 | PA      | $3744971.17    | 0.01%             | 2052-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                                                       | TENET HEALTHCARE CORP 4.375% 01/15/2030                                                                                          | CUSIP: 88033GDR8<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      440000 | PA      | $431162.03     | 0.00%             | 2030-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                                                                                | TAPESTRY INC 3.05% 03/15/2032                                                                                                    | CUSIP: 876030AA5<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    14311000 | PA      | $13016384.29   | 0.03%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                                                | US FOODS INC 4.625% 06/01/2030 144A                                                                                              | CUSIP: 90290MAE1<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |       55000 | PA      | $54277.01      | 0.00%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 12/01/2051#RA6434                                                                                                 | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3039285 | PA      | $2623718.70    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 11/01/2051#BU0986                                                                                                 | CUSIP: 3140M2CY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4563014 | PA      | $3953364.38    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                                                       | FLORIDA PWR and LT CO 2.875% 12/04/2051                                                                                          | CUSIP: 341081GE1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      750000 | PA      | $488782.79     | 0.00%             | 2051-12-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC T1Y+NA 11/24/2032                                                                                                   | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     4600000 | PA      | $4189484.32    | 0.01%             | 2032-11-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY CO                                                                                 | CANADIAN PAC RY CO 3.1% 12/02/2051                                                                                               | CUSIP: 13645RBH6<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |      248000 | PA      | $167372.07     | 0.00%             | 2051-12-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                                                           | VENTURE GLOBAL CALCASIEU PASS LLC 3.875% 11/01/2033 144A                                                                         | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      826000 | PA      | $723179.97     | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 12/01/2051#CB2289                                                                                                 | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3977017 | PA      | $3433232.72    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP                                                                                                  | HERTZ CORP 4.625% 12/01/2026 144A                                                                                                | CUSIP: 428040DA4<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |      372000 | PA      | $362296.64     | 0.00%             | 2026-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 1.25% 11/30/2026                                                                                                       | CUSIP: 91282CDK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    80300000 | PA      | $78433025.00   | 0.18%             | 2026-11-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 1.5% 11/30/2028                                                                                                        | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    31605000 | PA      | $29818576.68   | 0.07%             | 2028-11-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CUBESMART LP                                                                                                | CUBESMART LP 2.25% 12/15/2028                                                                                                    | CUSIP: 22966RAH9<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              | CORP              | US        |      865000 | PA      | $818898.22     | 0.00%             | 2028-12-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY SOUTH CAROLINA INC                                                                          | DOMINION ENERGY SOUTH CAROLINA INC 2.3% 12/01/2031                                                                               | CUSIP: 25731VAA2<br>LEI: 3QRVFYR22IUIEOORTK28 | Long             | DBT              | CORP              | US        |      251000 | PA      | $224958.24     | 0.00%             | 2031-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FINANCE BV                                                                              | SHELL INTL FIN B V 2.875% 11/26/2041                                                                                             | CUSIP: 822582CK6<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      165000 | PA      | $122947.50     | 0.00%             | 2041-11-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61                                                              | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61 A3 2.406% 11/15/2054                                                              | CUSIP: 95003QAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7300000 | PA      | $6494129.64    | 0.01%             | 2054-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 05/01/2051#FM9747                                                                                                   | CUSIP: 3140XDZM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1080739 | PA      | $892582.42     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FIN CORP                                                                                      | CDW LLC / CDW FIN CORP 3.276% 12/01/2028                                                                                         | CUSIP: 12513GBH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      740000 | PA      | $715513.58     | 0.00%             | 2028-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 11/01/2051#FM9539                                                                                                   | CUSIP: 3140XDS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2847000 | PA      | $2360234.78    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 11/01/2051#FM9568                                                                                                   | CUSIP: 3140XDT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4499371 | PA      | $3737122.29    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ZURICH FINANCE (IRELAND) DAC                                                                                | ZURICH FINANCE (IRELAND) DAC 3.5%/VAR 05/02/2052 REGS                                                                            | CUSIP: N/A<br>LEI: 549300E0FVHYR37EGX65       | Long             | DBT              | CORP              | IE        |      545000 | PA      | $496474.04     | 0.00%             | 2052-05-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LN TR 2021-A                                                                                 | NELNET STUDENT LN TR 2021-A TSFR1M+91.448 04/20/2062 144A                                                                        | CUSIP: 64035DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      741757 | PA      | $740382.21     | 0.00%             | 2062-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIII LTD                                                                                         | MAGNETITE XXIII LTD AR TSFR3M+139.161 01/25/2035 144A                                                                            | CUSIP: 55954NAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4904000 | PA      | $4908845.15    | 0.01%             | 2035-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SREIT TRUST                                                                                                 | SREIT TRUST TSFR1M+148.518 07 11/15/2036 144A                                                                                    | CUSIP: 85236WCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      235000 | PA      | $234781.36     | 0.00%             | 2036-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.031% 09/25/2028                                                                                 | CUSIP: 3137H4BY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1200000 | PA      | $1144321.92    | 0.00%             | 2028-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                                                     | DUKE ENERGY FLORIDA LLC 2.4% 12/15/2031                                                                                          | CUSIP: 26444HAK7<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     1010000 | PA      | $913321.65     | 0.00%             | 2031-12-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                                                     | DUKE ENERGY FLORIDA LLC 3% 12/15/2051                                                                                            | CUSIP: 26444HAL5<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |      233000 | PA      | $153148.11     | 0.00%             | 2051-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                                                         | EMERA US FINANCE LP 2.639% 06/15/2031                                                                                            | CUSIP: 29103DAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1335000 | PA      | $1200891.33    | 0.00%             | 2031-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.154% 10/25/2031                                                                                 | CUSIP: 3137H4R36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1200000 | PA      | $1082944.32    | 0.00%             | 2031-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CAMB COMMERCIAL MORTGAGE TRUST 2021-CX2                                                                     | CAMB COMMERCIAL MORTGAGE TRUST 2021-CX2 2.7% 11/10/2046 144A                                                                     | CUSIP: 12477BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3477456.80    | 0.01%             | 2046-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 12/01/2051#CB2346                                                                                                   | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1824563 | PA      | $1517740.32    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CAST and CREW PAYROLL LLC                                                                                   | CAST and CREW TERM B 1LN 12/29/2028                                                                                              | CUSIP: 14835JAQ3<br>LEI: 549300XE7OZGFGN5F466 | Long             | LON              | CORP              | US        |       84260 | PA      | $56444.68      | 0.00%             | 2028-12-29      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 12/01/2051#CB2348                                                                                                   | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1580932 | PA      | $1310632.65    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 12/01/2051#CB2350                                                                                                   | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2273689 | PA      | $1881392.45    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 01/01/2052#                                                                                                       | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10556123 | PA      | $9831782.19    | 0.02%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COHERENT CORP                                                                                               | COHERENT CORP 5% 12/15/2029 144A                                                                                                 | CUSIP: 902104AC2<br>LEI: 549300O5C25A0MMHHU33 | Long             | DBT              | CORP              | US        |      883000 | PA      | $875080.90     | 0.00%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 12/01/2051#RA6510                                                                                                   | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3488323 | PA      | $2891907.87    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 12/01/2051#CB2320                                                                                                 | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2255420 | PA      | $1952671.18    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2021-CIP                                                                                     | BX COML MTG TR 2021-CIP TSFR1M+293.448 12/15/2028 144A                                                                           | CUSIP: 12434FAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4398225 | PA      | $4390036.34    | 0.01%             | 2038-12-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 12/01/2051#SD8184                                                                                                   | CUSIP: 3132DWCV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4745088 | PA      | $4256975.61    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                                            | ABN AMRO BANK NV 2.47%/VAR 12/13/2029 144A                                                                                       | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     1000000 | PA      | $952755.99     | 0.00%             | 2029-12-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 12/20/2051#MA7768                                                                                                     | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1076493 | PA      | $971864.48     | 0.00%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 10/01/2051#QD0109                                                                                                   | CUSIP: 3133AWDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      230560 | PA      | $191139.79     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 11/01/2051#QD0399                                                                                                   | CUSIP: 3133AWNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      202347 | PA      | $167751.17     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 11/01/2051#RA6239                                                                                                   | CUSIP: 3133KM4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1214351 | PA      | $1006727.45    | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 11/01/2051#RA6308                                                                                                   | CUSIP: 3133KNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      333541 | PA      | $276514.05     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MERCK and CO INC                                                                                            | MERCK and CO INC 2.9% 12/10/2061                                                                                                 | CUSIP: 58933YBG9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      140000 | PA      | $84159.23      | 0.00%             | 2061-12-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                                                                               | FIRSTCASH INC 5.625% 01/01/2030 144A                                                                                             | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100626.50     | 0.00%             | 2030-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 02/01/2052#MA4548                                                                                                 | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17029902 | PA      | $14573650.42   | 0.03%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 12/20/2051#MA7767                                                                                                   | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9461322 | PA      | $8217838.80    | 0.02%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 21-M2S A3 VAR 10/25/2031                                                                          | CUSIP: 3136BJZQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      200000 | PA      | $178228.12     | 0.00%             | 2031-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                                                | GLP CAP LP / GLP FING II INC 3.25% 01/15/2032                                                                                    | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3749000 | PA      | $3386302.25    | 0.01%             | 2032-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                                                          | EXPAND ENERGY CORP 4.75% 02/01/2032                                                                                              | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     5484000 | PA      | $5423529.69    | 0.01%             | 2032-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                                                                                 | VISTRA CORP 7%/VAR PERP 144A                                                                                                     | CUSIP: 92840MAC6<br>LEI: 549300KP43CPCUJOOG15 | Long             | EP               | CORP              | US        |     2575000 | PA      | $2611299.78    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 12/20/2051#MA7766                                                                                                     | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8319881 | PA      | $6938540.51    | 0.02%             | 2051-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GRAND CANYON UNIVERSITY                                                                                     | GRAND CANYON UNIVERSITY 5.125% 10/01/2028                                                                                        | CUSIP: 38528UAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      280000 | PA      | $276920.00     | 0.00%             | 2028-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 01/01/2052#SD8190                                                                                                   | CUSIP: 3132DWC35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1406591 | PA      | $1260581.04    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDEN ST TOB SECURTZN CORP CALIF TOB SETTLEMENT REV                                                        | GOLDEN ST TOBAC 3.85% 6/1/2050                                                                                                   | CUSIP: 38122ND82<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       70000 | PA      | $64181.30      | 0.00%             | 2050-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.5% 05/01/2051#MA4343                                                                                                 | CUSIP: 31418DZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      770153 | PA      | $598182.14     | 0.00%             | 2051-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP                                                                                        | RANGE RESOURCES CORP 8.25% 01/15/2029                                                                                            | CUSIP: 75281ABJ7<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |      419000 | PA      | $427368.27     | 0.00%             | 2029-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 11/01/2050#BQ6306                                                                                                   | CUSIP: 3140KSAG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      595206 | PA      | $495858.66     | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 1.5% 01/01/2037#SB8136                                                                                                 | CUSIP: 3132D6BD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      967074 | PA      | $872370.32     | 0.00%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 12/01/2050#SD8115                                                                                                   | CUSIP: 3132DWAQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1478639 | PA      | $1327922.71    | 0.00%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 01/01/2052#MA4513                                                                                                   | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11705541 | PA      | $10457533.32   | 0.02%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TR 2021-8                                                                              | VERUS SECURITIZATION TRUST 2021-8 1.824% 11/25/2066 144A                                                                         | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      292580 | PA      | $273714.54     | 0.00%             | 2066-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 10/01/2051#RA5998                                                                                                   | CUSIP: 3133KMUX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1576690 | PA      | $1418935.05    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 11/01/2051#CB2166                                                                                                   | CUSIP: 3140QMMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1309713 | PA      | $1177033.48    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORP NEW                                                                                       | DEVON ENERGY CORP NEW 5.25% 10/15/2027                                                                                           | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       10000 | PA      | $10000.10      | 0.00%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORP NEW                                                                                       | DEVON ENERGY CORP NEW 5.875% 06/15/2028                                                                                          | CUSIP: 25179MBE2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       98000 | PA      | $98030.34      | 0.00%             | 2028-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 01/01/2052#QD4350                                                                                                   | CUSIP: 3133B1ZP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      576916 | PA      | $517209.48     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 01/01/2052#QD4275                                                                                                   | CUSIP: 3133B1XC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1179462 | PA      | $1057397.02    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 02/01/2052#                                                                                                       | CUSIP: 31418EBU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5468062 | PA      | $5072690.04    | 0.01%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                                              | DEUTSCHE BANK AG NEW YORK BNCH 3.742%/VAR 01/07/2033                                                                             | CUSIP: 25160PAG2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |     4860000 | PA      | $4535279.68    | 0.01%             | 2033-01-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 01/01/2052#MA4512                                                                                                 | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18053718 | PA      | $15472367.09   | 0.04%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 01/01/2052#SD8189                                                                                                 | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4115182 | PA      | $3526786.42    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 02/01/2051#FM6272                                                                                                 | CUSIP: 3140X96J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4468518 | PA      | $3900818.84    | 0.01%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                                                       | ATHENE GLOBAL FUNDING 2.717% 01/07/2029 144A                                                                                     | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     4805000 | PA      | $4549472.89    | 0.01%             | 2029-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VZ SECURED FINANCING BV                                                                                     | VZ SECURED FINANCING BV 5% 01/15/2032 144A                                                                                       | CUSIP: 91845AAA3<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |     2051000 | PA      | $1863524.65    | 0.00%             | 2032-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 2.9% 02/10/2029                                                                                         | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     3137000 | PA      | $2933988.45    | 0.01%             | 2029-02-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INDIA CLEAN ENERGY HOLDINGS                                                                                 | INDIA CLEAN ENERGY HOLDINGS 4.5% 04/18/2027 REGS                                                                                 | CUSIP: N/A<br>LEI: 254900XQFJ9593DCY022       | Long             | DBT              | CORP              | MU        |     1150000 | PA      | $1116937.50    | 0.00%             | 2027-04-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NYMT LN TR 2022-CP1                                                                                         | NYMT LN TR 2022-CP1 2.0424% 07/25/2061 144A                                                                                      | CUSIP: 62955VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2557404 | PA      | $2415516.48    | 0.01%             | 2061-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 01/01/2052#SD8191                                                                                                 | CUSIP: 3132DWC43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2395092 | PA      | $2227900.78    | 0.01%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 02/01/2052#                                                                                                       | CUSIP: 3132DWC92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7743755 | PA      | $7209973.28    | 0.02%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA INC                                                                                  | BP CAP MARKETS AMERICA INC 2.721% 01/12/2032                                                                                     | CUSIP: 10373QBT6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     1002000 | PA      | $915855.12     | 0.00%             | 2032-01-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 01/01/2052#RA6623                                                                                                 | CUSIP: 3133KNLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      688229 | PA      | $595846.79     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 12/01/2050#FM5305                                                                                                   | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16082 | PA      | $13388.08      | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                                            | SOCIETE GENERALE FRANCE 2.797%/VAR 01/19/2028 144A                                                                               | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     3156000 | PA      | $3100541.60    | 0.01%             | 2028-01-19      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                                            | SOCIETE GENERALE FRANCE 3.337%/VAR 01/21/2033 144A                                                                               | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     1105000 | PA      | $1010011.18    | 0.00%             | 2033-01-21      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC                                          | FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC 4.625% 01/15/2029 144A                                        | CUSIP: 31556TAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      725000 | PA      | $698287.09     | 0.00%             | 2029-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 02/01/2052#SD8193                                                                                                   | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15293777 | PA      | $12521209.84   | 0.03%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC                                          | FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC 6.75% 01/15/2030 144A                                         | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      505000 | PA      | $470986.08     | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                                                          | METROPOLITAN LIFE GLOBAL FUNDING I 2.4% 01/11/2032 144A                                                                          | CUSIP: 59217GET2<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |     1960000 | PA      | $1748801.61    | 0.00%             | 2032-01-11      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNP PARIBAS 3.132%/VAR 01/20/2033 144A                                                                                           | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     3670000 | PA      | $3357648.69    | 0.01%             | 2033-01-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 09/01/2051#MA4415                                                                                                   | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6772865 | PA      | $6057113.57    | 0.01%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 05/01/2051#CB0531                                                                                                   | CUSIP: 3140QKSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      235154 | PA      | $211479.02     | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 05/01/2051#RA5267                                                                                                   | CUSIP: 3133KLZ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      575681 | PA      | $517722.10     | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 1.5% 01/01/2051#SD8120                                                                                                 | CUSIP: 3132DWAV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3044392 | PA      | $2364595.47    | 0.01%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                                                        | COMMERCIAL METALS CO 4.375% 03/15/2032                                                                                           | CUSIP: 201723AR4<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |      110000 | PA      | $105413.95     | 0.00%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                                            | CCO HLDGS LLC/CAP CORP 4.75% 02/01/2032 144A                                                                                     | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1185000 | PA      | $1088819.71    | 0.00%             | 2032-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP                                                                                        | RANGE RESOURCES CORP 4.75% 02/15/2030 144A                                                                                       | CUSIP: 75281ABK4<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |       24000 | PA      | $23680.25      | 0.00%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED GROUP BV                                                                                             | UNITED GROUP BV 5.25% 02/01/2030 144A                                                                                            | CUSIP: N/A<br>LEI: 213800PC85O8BJ7DU398       | Long             | DBT              | CORP              | NL        |     2900000 | PA      | $3349939.72    | 0.01%             | 2030-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INDIAN RAILWAY FINANCE CORP LTD                                                                             | INDIAN RAILWAY FIN CORP LTD 3.57% 01/21/2032 144A                                                                                | CUSIP: 45434L2H6<br>LEI: 335800F2JHSOGXQEBY56 | Long             | DBT              | CORP              | IN        |     1010000 | PA      | $964085.40     | 0.00%             | 2032-01-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 01/20/2052#MA7826                                                                                                     | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2729786 | PA      | $2276562.57    | 0.01%             | 2052-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 01/20/2052#MA7829                                                                                                   | CUSIP: 36179WVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    17078440 | PA      | $15867106.84   | 0.04%             | 2052-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SBA COMMUNICATIONS CORP                                                                                     | SBA COMMUNICATIONS CORP 3.125% 02/01/2029                                                                                        | CUSIP: 78410GAG9<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |     1006000 | PA      | $961563.77     | 0.00%             | 2029-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 3.057%/VAR 01/25/2033                                                                                              | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2818000 | PA      | $2593486.36    | 0.01%             | 2033-01-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 2.64%/VAR 02/24/2028                                                                               | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1334000 | PA      | $1310030.67    | 0.00%             | 2028-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 3.102%/VAR 02/24/2033                                                                              | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     3863000 | PA      | $3575357.43    | 0.01%             | 2033-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 3.436%/VAR 02/24/2043                                                                              | CUSIP: 38141GZN7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       42000 | PA      | $33251.97      | 0.00%             | 2043-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 11/01/2050#SD7528                                                                                                   | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15760 | PA      | $13119.52      | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 2.475%/VAR 01/21/2028                                                                                             | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      400000 | PA      | $392585.20     | 0.00%             | 2028-01-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 2.943%/VAR 01/21/2033                                                                                             | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     6859000 | PA      | $6295837.69    | 0.01%             | 2033-01-21      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| RYAN SPECIALTY LLC                                                                                          | RYAN SPECIALTY LLC 4.375% 02/01/2030 144A                                                                                        | CUSIP: 78351MAA0<br>LEI: 549300K52N7QBO3PYY45 | Long             | DBT              | CORP              | US        |      165000 | PA      | $161640.40     | 0.00%             | 2030-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 08/01/2051#MA4400                                                                                                   | CUSIP: 31418D3J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3580146 | PA      | $3206273.81    | 0.01%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE GRO CO (THE)                                                                                 | SCOTTS MIRACLE GRO CO (THE) 4% 04/01/2031                                                                                        | CUSIP: 810186AX4<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |     2921000 | PA      | $2730599.87    | 0.01%             | 2031-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 01/01/2052#CB2637                                                                                                 | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      734629 | PA      | $633722.50     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 01/01/2052#CB2670                                                                                                   | CUSIP: 3140QM6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      696973 | PA      | $619396.70     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                                                              | SMRT 2022-MINI TSFR1M+335 01/15/2039 144A                                                                                        | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $2475083.75    | 0.01%             | 2039-01-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE GRO CO (THE)                                                                                 | SCOTTS MIRACLE GRO CO (THE) 4.375% 02/01/2032                                                                                    | CUSIP: 810186AW6<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |      625000 | PA      | $584371.31     | 0.00%             | 2032-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ERO COPPER CORP                                                                                             | ERO COPPER CORP 6.5% 02/15/2030 144A                                                                                             | CUSIP: 296006AA7<br>LEI: 549300KL8A21SEIO8I47 | Long             | DBT              | CORP              | CA        |      315000 | PA      | $315393.75     | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2022-RPL1                                                                          | BRAVO RESIDENTIAL FDG TR 2022-RPL1 2.75% 09/25/2061 144A                                                                         | CUSIP: 10569XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5896156 | PA      | $5470623.09    | 0.01%             | 2061-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 01/52#FS0235                                                                                                      | CUSIP: 3140XFHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      425599 | PA      | $362484.80     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                                                      | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.251% 12/05/2051 144A                                                                    | CUSIP: 72703PAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4521990 | PA      | $4450600.89    | 0.01%             | 2051-12-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                                                      | PLANET FITNESS MASTER ISSUER LLC 18-1A 4.008% 12/05/2051 144A                                                                    | CUSIP: 72703PAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4041420 | PA      | $3788502.28    | 0.01%             | 2051-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEDIATRIC ASSOCIATES HOLDING CO LLC                                                                         | UFINET TERM B 1LN 12/29/2028                                                                                                     | CUSIP: 70533DAF7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      103025 | PA      | $100033.74     | 0.00%             | 2028-12-29      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ARCLO 2022-FL1 A                                                                                            | ARCLO 2022-FL1 A SOFR30A+145 01/15/2037 144A                                                                                     | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      121209 | PA      | $121208.34     | 0.00%             | 2037-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 02/01/2042#MA4540                                                                                                   | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      656228 | PA      | $574435.71     | 0.00%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2% 02/01/2042#RB5145                                                                                                   | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      777796 | PA      | $680923.32     | 0.00%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                                                                          | AVIS BUDGET RENTCAR FDG AE LLC 2.35% 02/20/2028 144A                                                                             | CUSIP: 05377RET7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |     2435000 | PA      | $2375908.64    | 0.01%             | 2028-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SUMIT 2022-BVUE MTG TR                                                                                      | SUMIT 2022-BVUE MTG TR 2.789% 02/12/2041 144A                                                                                    | CUSIP: 865592AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      340000 | PA      | $308247.50     | 0.00%             | 2041-02-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                                                      | BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A                                                               | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      232484 | PA      | $232048.71     | 0.00%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 12/01/2051#SD0785                                                                                                   | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25382 | PA      | $21081.75      | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RR 7 LTD                                                                                                    | RR 7 LTD A1AB TSFR3M+134 01/15/2037 144A                                                                                         | CUSIP: 74980EAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7731000 | PA      | $7740323.59    | 0.02%             | 2037-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 2.972%/VAR 02/04/2033                                                                                | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     8047000 | PA      | $7396984.18    | 0.02%             | 2033-02-04      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 2.25% 02/15/2052                                                                                     | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    75197300 | PA      | $47118745.49   | 0.11%             | 2052-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 12/01/2051#SD0786                                                                                                   | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18377 | PA      | $15286.76      | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                                         | ALEXANDRIA REAL EST EQUITS INC 2.95% 03/15/2034                                                                                  | CUSIP: 015271AY5<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     1105000 | PA      | $953286.37     | 0.00%             | 2034-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 02/52#RA6824                                                                                                        | CUSIP: 3133KNSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5695161 | PA      | $4716092.60    | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 02/01/2052#RA6823                                                                                                   | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5594183 | PA      | $4625481.16    | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 02/20/2052#MA7882                                                                                                     | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1503634 | PA      | $1357489.99    | 0.00%             | 2052-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 01/01/2052#FS0286                                                                                                   | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4890430 | PA      | $4049705.29    | 0.01%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 02/01/2052#CB2837                                                                                                   | CUSIP: 3140QNEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28187 | PA      | $23420.21      | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 02/01/2052#CB2838                                                                                                   | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1015931 | PA      | $843184.85     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DRYDEN 98 CLO LTD                                                                                           | DRYDEN 98 CLO LTD A TSFR3M+130 04/20/2035 144A                                                                                   | CUSIP: 26248AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4007000 | PA      | $4009644.62    | 0.01%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FELLS POINT FUNDING TRUST                                                                                   | FELLS POINT FUNDING TRUST 3.046% 01/31/2027 144A                                                                                 | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      500000 | PA      | $493136.28     | 0.00%             | 2027-01-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MCAFEE CORP                                                                                                 | MCAFEE CORP 7.375% 02/15/2030 144A                                                                                               | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |      100000 | PA      | $87256.15      | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 01/01/2052#SD7549                                                                                                   | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      136705 | PA      | $113673.73     | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 02/20/2052#MA7881                                                                                                   | CUSIP: 36179WXJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    25115456 | PA      | $21816540.53   | 0.05%             | 2052-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                                                       | SPGN 2022-TFLM B TSFR1M+200 02/15/2039 144A                                                                                      | CUSIP: 78473HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1890000 | PA      | $1889651.30    | 0.00%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                                                       | SPGN 2022-TFLM C TSFR1M+265 02/15/2039 144A                                                                                      | CUSIP: 78473HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      983000 | PA      | $984974.95     | 0.00%             | 2039-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELECTRICIDAD                                                                            | COMISION FEDERAL DE ELECTRICID 4.688% 05/15/2029 144A                                                                            | CUSIP: 200447AL4<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |     2277000 | PA      | $2245520.48    | 0.01%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2021                                                                             | BINOM SECURITIZATION TRUST 2022-RPL1 A1 2.9359% 02/25/2061 144A                                                                  | CUSIP: 05552CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3312795 | PA      | $3118255.65    | 0.01%             | 2061-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                                                 | NATIONWIDE BUILDING SOC(UNGTD) 2.972%/VAR 02/16/2028 144A                                                                        | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |      210000 | PA      | $207015.18     | 0.00%             | 2028-02-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 02/01/2052#RA6808                                                                                                   | CUSIP: 3133KNR54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6618516 | PA      | $5933553.60    | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TKC HOLDINGS INC                                                                                            | TKC HOLDINGS TERM 1LN 2/15/2027                                                                                                  | CUSIP: 87256KAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      263211 | PA      | $263868.84     | 0.00%             | 2027-02-15      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 2.375% 02/15/2042                                                                                    | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    22081000 | PA      | $16564656.13   | 0.04%             | 2042-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | USTN TII 0.125% 02/15/2052                                                                                                       | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4800000 | PA      | $3056779.88    | 0.01%             | 2052-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 03/01/2052#MA4564                                                                                                   | CUSIP: 31418ECA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10862106 | PA      | $9704023.27    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 02/01/2052#MA4549                                                                                                   | CUSIP: 31418EBT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1883153 | PA      | $1682377.26    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 03/01/2052#SD8201                                                                                                   | CUSIP: 3132DWDE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7034610 | PA      | $6268114.55    | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2052#MA4562                                                                                                   | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    29853752 | PA      | $24441645.93   | 0.06%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 12/01/2051#MA4494                                                                                                   | CUSIP: 31418D7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3325242 | PA      | $2973832.39    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 12/01/2051#FS0002                                                                                                   | CUSIP: 3140XFAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1642116 | PA      | $1473196.89    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 01/01/2052#CB2662                                                                                                   | CUSIP: 3140QM5Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      244301 | PA      | $219017.44     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 02/01/2052#SD8195                                                                                                   | CUSIP: 3132DWC84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6915170 | PA      | $6177896.59    | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 01/01/2052#SD0803                                                                                                   | CUSIP: 3132DM3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      352466 | PA      | $315988.31     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 02/01/2052#SD0861                                                                                                   | CUSIP: 3132DM5W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      251493 | PA      | $225465.35     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 MORTGAGE TRUST                                                                                  | BMO 2022-C1 MORTGAGE TRUST 3.119% 02/17/2055                                                                                     | CUSIP: 05609MCB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6200000 | PA      | $5747880.50    | 0.01%             | 2055-02-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                                                     | BRISTOL-MYERS SQUIBB CO 3.7% 03/15/2052                                                                                          | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     1949000 | PA      | $1472751.03    | 0.00%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                                                     | BRISTOL-MYERS SQUIBB CO 3.9% 03/15/2062                                                                                          | CUSIP: 110122DX3<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      260000 | PA      | $192791.79     | 0.00%             | 2062-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD 2022                                                                                      | CEDAR FUNDING LTD 2022 A TSFR3M+132 04/20/2035 144A                                                                              | CUSIP: 15032QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7060000 | PA      | $7054013.12    | 0.02%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 01/01/2052#SD0892                                                                                                   | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      792741 | PA      | $659432.09     | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 02/01/2052#FS0631                                                                                                   | CUSIP: 3140XFVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4101611 | PA      | $3684818.18    | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TUCSON ELECTRIC POWER CO                                                                                    | TUCSON ELECTRIC POWER CO 3.25% 05/15/2032                                                                                        | CUSIP: 898813AU4<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1117385.27    | 0.00%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY OP LLC                                                                                         | KIMCO REALTY OP LLC 3.2% 04/01/2032                                                                                              | CUSIP: 49446RAZ2<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |     1340000 | PA      | $1252212.14    | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 3.07%/VAR 02/24/2028                                                                                               | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      400000 | PA      | $394933.66     | 0.00%             | 2028-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                                          | DOMINICAN REPUBLIC 6% 02/22/2033 REGS                                                                                            | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |      157000 | PA      | $159198.00     | 0.00%             | 2033-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                                          | DOMINICAN REPUBLIC 5.5% 02/22/2029 REGS                                                                                          | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |      161000 | PA      | $163012.50     | 0.00%             | 2029-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DTE ELEC CO                                                                                                 | DTE ELEC CO 3.65% 03/01/2052                                                                                                     | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |       45000 | PA      | $33933.13      | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                                          | DOMINICAN REPUBLIC 5.5% 02/22/2029 144A                                                                                          | CUSIP: 25714PEP9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     2662000 | PA      | $2695275.00    | 0.01%             | 2029-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA/LUXEMBOURG                                                                                      | INTELSAT SA/LUXEMBOURG                                                                                                           | CUSIP: N/A<br>LEI: 549300YV2L21F4K80V46       | Long             | EC               | CORP              | LU        |       65805 | NS      | $0.66          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 1.875% 02/28/2027                                                                                                      | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5213000 | PA      | $5105074.64    | 0.01%             | 2027-02-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 02/20/2052#MA7880                                                                                                     | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9236820 | PA      | $7703240.56    | 0.02%             | 2052-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 03/01/2052#                                                                                                       | CUSIP: 3133KNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2491558 | PA      | $2321370.60    | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 02/01/2052#CB2869                                                                                                 | CUSIP: 3140QNFK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3306818 | PA      | $2851570.74    | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 5.25% 03/01/2052                                                                                     | CUSIP: 694308KD8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      398000 | PA      | $353300.67     | 0.00%             | 2052-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                                                      | CONOCOPHILLIPS CO 3.8% 03/15/2052                                                                                                | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |      390000 | PA      | $293033.22     | 0.00%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                                           | EVERSOURCE ENERGY 3.375% 03/01/2032                                                                                              | CUSIP: 30040WAP3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      170000 | PA      | $157547.97     | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 3.35%/VAR 03/02/2033                                                                                      | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     7050000 | PA      | $6624063.82    | 0.01%             | 2033-03-02      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2052#CB3037                                                                                                   | CUSIP: 3140QNLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      683219 | PA      | $564910.94     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 11/01/2051#QD1240                                                                                                   | CUSIP: 3133AXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1382707 | PA      | $1240471.93    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 09/01/2051#QC7496                                                                                                   | CUSIP: 3133ASKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1443276 | PA      | $1294811.20    | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXV LTD                                                                                           | MAGNETITE XXV LTD A TSFR3M+146.161 01/25/2032 144A                                                                               | CUSIP: 55955GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1655323 | PA      | $1656121.02    | 0.00%             | 2032-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CSMCM 2022-RPL1 TR                                                                                          | CSMCM 2022-RPL1 TR 4.23104% 04/25/2061 144A                                                                                      | CUSIP: 12662JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      308880 | PA      | $260287.31     | 0.00%             | 2061-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL1 TR                                                                                           | CSMC 2022-RPL1 TR 3.77782% 04/25/2061 144A                                                                                       | CUSIP: 12661QAH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7297671 | PA      | $6595112.96    | 0.01%             | 2061-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BELLRING BRANDS INC                                                                                         | BELLRING BRANDS INC 7% 03/15/2030 144A                                                                                           | CUSIP: 07831CAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      240000 | PA      | $247557.12     | 0.00%             | 2030-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 04/01/2052#SD8205                                                                                                 | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    22200205 | PA      | $18991293.79   | 0.04%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 03/01/2052#RA6988                                                                                                   | CUSIP: 3133KNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6748484 | PA      | $6045853.00    | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 03/01/2052#RA6986                                                                                                 | CUSIP: 3133KNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3293352 | PA      | $3074573.08    | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 03/01/2052#RA6987                                                                                                 | CUSIP: 3133KNXQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2726138 | PA      | $2543590.86    | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2.5% 05/01/2041#SC0167                                                                                                 | CUSIP: 3132D9FG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      545256 | PA      | $494545.89     | 0.00%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                                            | CROWN CASTLE INC 2.9% 03/15/2027                                                                                                 | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      125000 | PA      | $122855.41     | 0.00%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 1.5% 05/01/2051#SD8145                                                                                                 | CUSIP: 3132DWBN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1209893 | PA      | $939730.04     | 0.00%             | 2051-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION T5Y+NA 03/08/2037                                                                                    | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1140000 | PA      | $1077935.73    | 0.00%             | 2037-03-08      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 03/01/2052#CB3174                                                                                                 | CUSIP: 3140QNQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2361754 | PA      | $2198956.97    | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MICHIGAN ST UNIV REVS                                                                                       | MI ST UNIV 4.165% 8/15/2122                                                                                                      | CUSIP: 594712WY3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     3660000 | PA      | $2706463.86    | 0.01%             | 2122-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN CORP                                                                                 | BERKSHIRE HATHAWAY FIN CORP 3.85% 03/15/2052                                                                                     | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |      374000 | PA      | $294817.35     | 0.00%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 03/20/2052#                                                                                                           | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    27948679 | PA      | $23308390.96   | 0.05%             | 2052-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS and ELECTRIC CO                                                                               | SAN DIEGO GAS and ELECTRIC CO 3% 03/15/2032                                                                                      | CUSIP: 797440CB8<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |      311000 | PA      | $286046.81     | 0.00%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MTN COML MTG TR 2022-LPFL                                                                                   | MTN COML MTG TR 2022-LPFL TSFR1M+428.91 03/15/2039 144A                                                                          | CUSIP: 62475WAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3600000 | PA      | $3584518.20    | 0.01%             | 2039-03-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 03/20/2052#                                                                                                           | CUSIP: 36179WZC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      617933 | PA      | $593535.04     | 0.00%             | 2052-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 1.5% 11/01/2041#MA4473                                                                                                 | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8979623 | PA      | $7618872.32    | 0.02%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 02/20/2052#                                                                                                         | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31504 | PA      | $29269.70      | 0.00%             | 2052-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 3.615%/VAR 03/15/2028                                                                              | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      269000 | PA      | $267221.96     | 0.00%             | 2028-03-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.25% 04/01/2053                                 | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1076000 | PA      | $872058.89     | 0.00%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2052#MA4578                                                                                                 | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1500704 | PA      | $1283786.06    | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY MI UNIV REVS                                                                                     | UNIV MICH REVS 4.454% 4/1/2122                                                                                                   | CUSIP: 914455UJ7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     4790000 | PA      | $3854810.94    | 0.01%             | 2122-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 10/01/2051#                                                                                                       | CUSIP: 3132DWCL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3228525 | PA      | $3009007.35    | 0.01%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 04/01/2052#                                                                                                         | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20807897 | PA      | $18556913.02   | 0.04%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 03/01/2052#                                                                                                       | CUSIP: 3132DWDF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      637312 | PA      | $593381.26     | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 04/01/2052#                                                                                                         | CUSIP: 3132DWDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14183032 | PA      | $12648721.09   | 0.03%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY MI UNIV REVS                                                                                     | UNIV MICH REVS 3.504% 4/1/2052                                                                                                   | CUSIP: 914455UK4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1080000 | PA      | $812023.49     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                                                     | MPLX LP 4.95% 03/14/2052                                                                                                         | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      606000 | PA      | $516725.60     | 0.00%             | 2052-03-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR2 TR                                                                           | PROGRESS RESIDENTIAL 2022-SFR2 TR 4.8% 04/17/2027 144A                                                                           | CUSIP: 74332VAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      643616 | PA      | $630489.00     | 0.00%             | 2027-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 07/01/2051#                                                                                                       | CUSIP: 3140QLJG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2680895 | PA      | $2501125.62    | 0.01%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 07/01/2051#                                                                                                       | CUSIP: 3132DWB93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5024391 | PA      | $4687477.04    | 0.01%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                                               | BAT INTL FINANCE PLC 4.448% 03/16/2028                                                                                           | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |     8700000 | PA      | $8766647.74    | 0.02%             | 2028-03-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                                            | PUGET ENERGY INC 4.224% 03/15/2032                                                                                               | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     5488000 | PA      | $5269154.91    | 0.01%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                                         | PETROLEOS MEXICANOS 6.7% 02/16/2032                                                                                              | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    12020000 | PA      | $11910017.00   | 0.03%             | 2032-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                                                    | DUKE ENERGY PROGRESS LLC 4% 04/01/2052                                                                                           | CUSIP: 26442UAP9<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |       83000 | PA      | $66019.97      | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS CO                                                                                               | BOSTON GAS CO 3.757% 03/16/2032 144A                                                                                             | CUSIP: 100743AM5<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |      320000 | PA      | $304679.18     | 0.00%             | 2032-03-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                                            | BAT CAPITAL CORP 5.65% 03/16/2052                                                                                                | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1995000 | PA      | $1916999.85    | 0.00%             | 2052-03-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MTN COML MTG TR 2022-LPFL                                                                                   | MTN COML MTG TR 2022-LPFL TSFR1M+139.69 03/15/2039 144A                                                                          | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100062.50     | 0.00%             | 2039-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                                                          | BANCO SANTANDER SA 4.175%/VAR 03/24/2028                                                                                         | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     8000000 | PA      | $7993156.72    | 0.02%             | 2028-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 08/20/2051#MA7535                                                                                                     | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9262499 | PA      | $8366581.74    | 0.02%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 03/20/2052#                                                                                                         | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6216176 | PA      | $5399681.68    | 0.01%             | 2052-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OWENS and MINOR INC                                                                                         | OWENS and MINOR INC 6.625% 04/01/2030 144A                                                                                       | CUSIP: 690732AG7<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |      134000 | PA      | $85935.02      | 0.00%             | 2030-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                                                  | VOLKSWAGEN INTL FINANCE NV 4.375%/VAR PERP REGS                                                                                  | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |      100000 | PA      | $113366.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 03/01/2052#FS1074                                                                                                   | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2951065 | PA      | $2668709.00    | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2.5% 11/01/2031#ZS8629                                                                                                 | CUSIP: 3132A9SS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      430704 | PA      | $416948.32     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 04/01/2052#MA4618                                                                                                   | CUSIP: 31418EDY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9419466 | PA      | $9012664.76    | 0.02%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                                                                           | UNION ELECTRIC CO 3.9% 04/01/2052                                                                                                | CUSIP: 906548CU4<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |       38000 | PA      | $29749.90      | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 02/01/2052#FS1015                                                                                                   | CUSIP: 3140XGDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      447743 | PA      | $370770.55     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R03                                                                | CONNECTICUT AVENUE SECURITIES TRUST 2022-R03 SOFR30A+625 03/25/2042 144A                                                         | CUSIP: 20753XAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      130000 | PA      | $138635.85     | 0.00%             | 2042-03-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| BAYER AG                                                                                                    | BAYER AG 5.375%/VAR 03/25/2082 REGS                                                                                              | CUSIP: N/A<br>LEI: 549300J4U55H3WP1XT59       | Long             | DBT              | CORP              | DE        |      200000 | PA      | $238207.38     | 0.00%             | 2082-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                                               | LOWES COS INC 3.75% 04/01/2032                                                                                                   | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     1904000 | PA      | $1829767.70    | 0.00%             | 2032-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 01/01/2052#SD0923                                                                                                 | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      855499 | PA      | $740663.72     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                                                      | EXTRA SPACE STORAGE LP 3.9% 04/01/2029                                                                                           | CUSIP: 30225VAH0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |      610000 | PA      | $602974.57     | 0.00%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                                              | TARGA RES CORP 4.2% 02/01/2033                                                                                                   | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     4922000 | PA      | $4725209.04    | 0.01%             | 2033-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                                              | TARGA RES CORP 4.95% 04/15/2052                                                                                                  | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      610000 | PA      | $523119.42     | 0.00%             | 2052-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                                                                         | NOVOLEX TERM 1LN 04/13/2029                                                                                                      | CUSIP: 18972FAC6<br>LEI: 254900QKSDYFR3K5YD98 | Long             | LON              | CORP              | US        |      100000 | PA      | $99575.00      | 0.00%             | 2029-04-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                                              | HOME DEPOT INC 3.625% 04/15/2052                                                                                                 | CUSIP: 437076CQ3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      400000 | PA      | $298683.30     | 0.00%             | 2052-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| YUM BRANDS INC                                                                                              | YUM BRANDS INC 5.375% 04/01/2032                                                                                                 | CUSIP: 988498AR2<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101483.30     | 0.00%             | 2032-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 2.375% 03/31/2029                                                                                                      | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10054300 | PA      | $9693366.31    | 0.02%             | 2029-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS RESTORATION FUNDING II LLC                                                                    | ENTERGY TEXAS RESTORATION FUNDING II LLC 3.697% 12/15/2036                                                                       | CUSIP: 29366NAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       85000 | PA      | $81405.78      | 0.00%             | 2036-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                                                   | INVITATION HOMES OPERATING PARTNERSHIP LP 4.15% 04/15/2032                                                                       | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |     4260000 | PA      | $4137150.80    | 0.01%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                                                                         | CLYDESDALE ACQUISITION HOLDINGS INC 8.75% 04/15/2030 144A                                                                        | CUSIP: 18972EAB1<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |     1935000 | PA      | $1938036.02    | 0.00%             | 2030-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| IMCD NV                                                                                                     | IMCD NV 2.125% 03/31/2027 REGS                                                                                                   | CUSIP: N/A<br>LEI: 724500NSJPNFJPDAUP02       | Long             | DBT              | CORP              | NL        |     4400000 | PA      | $5066166.21    | 0.01%             | 2027-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                                                    | COOPERATIEVE RABOBANK UA 3.649%/VAR 04/06/2028 144A                                                                              | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      665000 | PA      | $661047.28     | 0.00%             | 2028-04-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                                                                      | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                                                                 | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3724060 | PA      | $3725218.87    | 0.01%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                                           | BX TRUST 2022-IND TSFR1M+184.8 04/15/2024 144A                                                                                   | CUSIP: 05609WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2788100 | PA      | $2789835.88    | 0.01%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                                           | BX TRUST 2022-IND TSFR1M+219.7 04/15/2024 144A                                                                                   | CUSIP: 05609WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      629300 | PA      | $629887.84     | 0.00%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                                           | BX TRUST 2022-IND TSFR1M+274.6 04/15/2024 144A                                                                                   | CUSIP: 05609WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      526399 | PA      | $527054.82     | 0.00%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                                                                 | WORKDAY INC 3.7% 04/01/2029                                                                                                      | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1382065.76    | 0.00%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 01/52#SD7552                                                                                                      | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7439893 | PA      | $6445873.55    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                                                                 | WORKDAY INC 3.5% 04/01/2027                                                                                                      | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |      405000 | PA      | $402115.82     | 0.00%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                                                    | AMERICAN HOMES 4 RENT LP 3.625% 04/15/2032                                                                                       | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     2835000 | PA      | $2678134.38    | 0.01%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 4% 04/15/2029 144A                                                                                                  | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     2785000 | PA      | $2781032.35    | 0.01%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 4.15% 04/15/2032 144A                                                                                               | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      806000 | PA      | $795627.12     | 0.00%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                                                 | EQUINIX INC 3.9% 04/15/2032                                                                                                      | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     1580000 | PA      | $1523340.47    | 0.00%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WASHINGTON UNIVERSITY                                                                                       | WASHINGTON UNIVERSITY 4.349% 04/15/2122                                                                                          | CUSIP: 940663AD9<br>LEI: 2V765680J33YAZOYW441 | Long             | DBT              | CORP              | US        |     2340000 | PA      | $1803225.06    | 0.00%             | 2122-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WASHINGTON UNIVERSITY                                                                                       | WASHINGTON UNIVERSITY 3.524% 04/15/2054                                                                                          | CUSIP: 940663AC1<br>LEI: 2V765680J33YAZOYW441 | Long             | DBT              | CORP              | US        |     2930000 | PA      | $2180101.07    | 0.00%             | 2054-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REGIONAL MGMT ISSUANCE TR 2022-1                                                                            | REGIONAL MANAGEMENT ISSUANCE TRUST 2022-1 3.07% 03/15/2032 144A                                                                  | CUSIP: 75907DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       32779 | PA      | $32701.16      | 0.00%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TR 2022-1                                                                       | GLS AUTO RECEIVABLES ISSUER TR 2022-1 3.97% 01/18/2028 144A                                                                      | CUSIP: 36263XAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2661230 | PA      | $2658788.03    | 0.01%             | 2028-01-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 04/20/2052#                                                                                                           | CUSIP: 36179W2X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4622884 | PA      | $4440354.53    | 0.01%             | 2052-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2052#                                                                                                       | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10195007 | PA      | $9460399.52    | 0.02%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                                                  | HESS MIDSTREAM PARTNERS LP 5.5% 10/15/2030 144A                                                                                  | CUSIP: 428102AF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      455000 | PA      | $459743.38     | 0.00%             | 2030-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP/FIN CO                                                                                  | HILCORP ENERGY I LP/FIN CO 6% 04/15/2030 144A                                                                                    | CUSIP: 431318AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      965000 | PA      | $933318.93     | 0.00%             | 2030-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP/FIN CO                                                                                  | HILCORP ENERGY I LP/FIN CO 6.25% 04/15/2032 144A                                                                                 | CUSIP: 431318AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2075000 | PA      | $1952736.02    | 0.00%             | 2032-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                                                                             | SEALED AIR CORP 5% 04/15/2029 144A                                                                                               | CUSIP: 81211KBA7<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |       40000 | PA      | $40279.16      | 0.00%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+525 03/25/2042 144A                                                                           | CUSIP: 20753YAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      240000 | PA      | $252161.98     | 0.00%             | 2042-03-25      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                                                | ENTEGRIS INC 4.75% 04/15/2029 144A                                                                                               | CUSIP: 29365BAA1<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99804.50      | 0.00%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR3 TR                                                                           | PROGRESS RESIDENTIAL 2022-SFR3 TR 6.6% 04/17/2039 144A                                                                           | CUSIP: 74331UAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2169037 | PA      | $2176217.60    | 0.00%             | 2039-04-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG'06 PTY LTD                                                                                | FMG RES AUGUST 2006 PTY LTD 6.125% 04/15/2032 144A                                                                               | CUSIP: 30251GBE6<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |      150000 | PA      | $156566.40     | 0.00%             | 2032-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                                                             | PERMIAN RESOURCES OPERATING LLC 8% 04/15/2027 144A                                                                               | CUSIP: 27034RAA1<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |     1275000 | PA      | $1291305.98    | 0.00%             | 2027-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DALLAS FORT WORTH TX INTL ARPT                                                                              | DFW ARPT 4.087% 11/1/2051                                                                                                        | CUSIP: 23503CAP2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1010000 | PA      | $849380.91     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2022-P1                                                                      | CARVANA AUTO RECEIVABLES TRUST 2022-P1 3.52% 02/10/2028                                                                          | CUSIP: 14688DAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1843485 | PA      | $1838119.27    | 0.00%             | 2028-02-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 03/01/2052#FS0977                                                                                                   | CUSIP: 3140XGCP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19663650 | PA      | $17726942.11   | 0.04%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                                              | BLACKSTONE PRIVATE CREDIT FUND 4.875% 04/14/2026 REGS                                                                            | CUSIP: N/A<br>LEI: 549300ORP3TTCNXSYO43       | Long             | DBT              | CORP              | US        |      335000 | PA      | $443166.02     | 0.00%             | 2026-04-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                                           | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1 3.25% 11/25/2061                                                               | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      762614 | PA      | $665652.78     | 0.00%             | 2061-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTV SOFTWR INC                                                                               | TAKE-TWO INTERACTV SOFTWR INC 3.7% 04/14/2027                                                                                    | CUSIP: 874054AG4<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |      180000 | PA      | $179054.56     | 0.00%             | 2027-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2% 10/01/2041#RB5131                                                                                                   | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35019 | PA      | $30722.95      | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 10/01/2041#                                                                                                         | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34333 | PA      | $30120.84      | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2% 07/01/2041#                                                                                                         | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33687 | PA      | $29621.71      | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 05/01/2052#                                                                                                         | CUSIP: 3132DWDU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    20051470 | PA      | $19247536.75   | 0.04%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                                                             | 20 TIMES SQUARE TR 2018 CSTR 05/15/2035 144A                                                                                     | CUSIP: 90137LAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3016196 | PA      | $2707035.91    | 0.01%             | 2035-05-15      | Variable      | 0.03%                 | No            |                  3 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 1.5% 03/01/2041#RB5104                                                                                                 | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      558735 | PA      | $477498.92     | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 1.5% 04/01/2041#RB5107                                                                                                 | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1257216 | PA      | $1072863.09    | 0.00%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 1.5% 12/01/2040#RB5089                                                                                                 | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      321100 | PA      | $275030.58     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 1.5% 02/01/2041#RB5099                                                                                                 | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1877386 | PA      | $1604343.66    | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 1.5% 11/01/2040#MA4175                                                                                                 | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      523553 | PA      | $448782.85     | 0.00%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 1.5% 01/01/2041#MA4231                                                                                                 | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      857335 | PA      | $733817.45     | 0.00%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 1.5% 02/01/2041#MA4266                                                                                                 | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      546537 | PA      | $467449.51     | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 1.5% 03/01/2041#MA4286                                                                                                 | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      558570 | PA      | $477432.49     | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                                                    | SOUTH AFRICA REPUBLIC OF 7.3% 04/20/2052                                                                                         | CUSIP: 836205BE3<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |      500000 | PA      | $503785.00     | 0.00%             | 2052-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                                                    | SOUTH AFRICA REPUBLIC OF 5.875% 04/20/2032                                                                                       | CUSIP: 836205BC7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |      690000 | PA      | $709616.70     | 0.00%             | 2032-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                                              | AMAZON.COM INC 3.95% 04/13/2052                                                                                                  | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     1279000 | PA      | $1028640.60    | 0.00%             | 2052-04-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.5% 02/01/2051#MA4254                                                                                                 | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    25191990 | PA      | $19566752.45   | 0.04%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 03/01/2052#BU8883                                                                                                   | CUSIP: 3140MA2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1158415 | PA      | $1033098.10    | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY MN                                                                                               | UNIV MINNESOTA 4.048% 4/1/2052                                                                                                   | CUSIP: 914460WT3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1060000 | PA      | $875757.90     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 04/01/2051#FM6863                                                                                                   | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28301 | PA      | $23559.62      | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 05/01/2051#SD0702                                                                                                 | CUSIP: 3132DMX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      443189 | PA      | $387992.16     | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 11/01/2051#                                                                                                         | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39600 | PA      | $35761.17      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 11/01/2051#                                                                                                         | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59116 | PA      | $49100.89      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 04/01/2052#QE1130                                                                                                   | CUSIP: 3133BAHF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      762022 | PA      | $727421.70     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 4.611%/VAR 04/25/2053                                                                                     | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      157000 | PA      | $138381.06     | 0.00%             | 2053-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 4.926% 05/15/2037 144A                                                                                              | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      606000 | PA      | $609074.40     | 0.00%             | 2037-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 11/01/2050#CA7597                                                                                                 | CUSIP: 3140QFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      409515 | PA      | $358384.05     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 12/01/2051#BQ6913                                                                                                   | CUSIP: 3140KSVF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17798361 | PA      | $14593992.06   | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 04/20/2052#                                                                                                           | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    12240432 | PA      | $10208166.34   | 0.02%             | 2052-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 04/20/2052#MA7988                                                                                                     | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8745186 | PA      | $7895206.35    | 0.02%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 04/20/2052#                                                                                                         | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    22345208 | PA      | $19413654.82   | 0.04%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                                          | VICI PROPERTIES LP 4.75% 02/15/2028                                                                                              | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     7560000 | PA      | $7636953.62    | 0.02%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                                          | VICI PROPERTIES LP 4.95% 02/15/2030                                                                                              | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     7365000 | PA      | $7452887.28    | 0.02%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                                          | VICI PROPERTIES LP 5.125% 05/15/2032                                                                                             | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     6299000 | PA      | $6353266.01    | 0.01%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 05/01/2052#RA7311                                                                                                 | CUSIP: 3133KPDQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2463016 | PA      | $2299396.18    | 0.01%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 05/01/2052#RA7312                                                                                                 | CUSIP: 3133KPDR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1319926 | PA      | $1232655.17    | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 01/01/2052#                                                                                                       | CUSIP: 3140XFEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16276727 | PA      | $14066441.99   | 0.03%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT K141 A2 2.25% 02/25/2032                                                                          | CUSIP: 3137H6ZM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9000000 | PA      | $8115677.10    | 0.02%             | 2032-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                                                                         | FIFTH THIRD BANCORP 4.337%/VAR 04/25/2033                                                                                        | CUSIP: 316773DF4<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     2272000 | PA      | $2226476.03    | 0.01%             | 2033-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 4.571%/VAR 04/27/2033                                                                                | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1864000 | PA      | $1871709.88    | 0.00%             | 2033-04-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 4.376%/VAR 04/27/2028                                                                                | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1003596.65    | 0.00%             | 2028-04-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST                                              | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST TSFR1M+77.15 04/15/2037 144A                                      | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4649411 | PA      | $4580053.43    | 0.01%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 2.875% 04/30/2029                                                                                                      | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4072000 | PA      | $3986901.55    | 0.01%             | 2029-04-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 05/01/2052#CB3509                                                                                                   | CUSIP: 3140QN3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8494555 | PA      | $8188488.08    | 0.02%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 12/01/2041#MA4501                                                                                                   | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      275296 | PA      | $241332.03     | 0.00%             | 2041-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                                                        | LOCKHEED MARTIN CORP 4.15% 06/15/2053                                                                                            | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |      290000 | PA      | $236753.74     | 0.00%             | 2053-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 07/01/2050#                                                                                                         | CUSIP: 3140XFTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2963717 | PA      | $2681076.47    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 10/01/2050#                                                                                                       | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      361617 | PA      | $314206.37     | 0.00%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 11/01/2050#RA3913                                                                                                 | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      224755 | PA      | $195569.15     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                                                       | MINERAL RESOURCES LTD 8% 11/01/2027 144A                                                                                         | CUSIP: 603051AC7<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |      530000 | PA      | $541816.35     | 0.00%             | 2027-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE and RUBBER CO                                                                                 | GOODYEAR TIRE and RUBBER CO 5.25% 07/15/2031                                                                                     | CUSIP: 382550BR1<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |      127000 | PA      | $119988.84     | 0.00%             | 2031-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE and RUBBER CO                                                                                 | GOODYEAR TIRE and RUBBER CO 5% 07/15/2029                                                                                        | CUSIP: 382550BN0<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |      380000 | PA      | $369183.49     | 0.00%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORPUS CHRISTI HOLDINGS LLC                                                                        | CHENIERE CORPUS CHRISTI HOLDINGS LLC 2.742% 12/31/2039                                                                           | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     1499000 | PA      | $1274617.49    | 0.00%             | 2039-12-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 05/01/2052#MA4600                                                                                                 | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14404605 | PA      | $13375675.53   | 0.03%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 04/01/2052#SD0958                                                                                                 | CUSIP: 3132DNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1510937 | PA      | $1414342.02    | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 05/01/2052#FS1782                                                                                                   | CUSIP: 3140XG6U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      661317 | PA      | $597836.18     | 0.00%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNIV CA REGTS MED CTR POOLED REV                                                                            | UNIV CA MED CTR 4.563% 5/15/2053                                                                                                 | CUSIP: 913366KW9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      875000 | PA      | $766122.88     | 0.00%             | 2053-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                                                       | VICI PROPERTIES LP / VICI NOTE CO INC 4.5% 01/15/2028 144A                                                                       | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      162000 | PA      | $162349.35     | 0.00%             | 2028-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                                                       | VICI PROPERTIES LP / VICI NOTE CO INC 3.875% 02/15/2029 144A                                                                     | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4237000 | PA      | $4152768.27    | 0.01%             | 2029-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                                                  | VERIZON COMMUNICATIONS INC 2.355% 03/15/2032                                                                                     | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     5720000 | PA      | $5055547.93    | 0.01%             | 2032-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 04/20/2052#MA7989                                                                                                   | CUSIP: 36179W2W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2023172 | PA      | $1879041.44    | 0.00%             | 2052-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 11/01/2051#FM9538                                                                                                   | CUSIP: 3140XDS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40830 | PA      | $33964.31      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                                          | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+129.524 05/15/2039 144A                                                                | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12656000 | PA      | $12199556.30   | 0.03%             | 2039-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                                          | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A                                                                | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6596000 | PA      | $5924311.51    | 0.01%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                                          | LIFE FINANCIAL SERVICES TRUST 2022-BMR2 C TSFR1M+209.31 05/15/2039 144A                                                          | CUSIP: 53218DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3893000 | PA      | $3486884.97    | 0.01%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                                          | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+254.191 05/15/2039 144A                                                                | CUSIP: 53218DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3460000 | PA      | $2669528.05    | 0.01%             | 2039-05-15      | Variable      | 0.07%                 | No            |                  3 | On Loan: No      |
| NORTHERN STATES POWER CO (MN)                                                                               | NORTHERN STATES POWER CO (MN) 4.5% 06/01/2052                                                                                    | CUSIP: 665772CV9<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |       78000 | PA      | $67794.82      | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2052#CB3101                                                                                                   | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62158 | PA      | $51588.52      | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2052#CB3105                                                                                                   | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43011 | PA      | $35737.77      | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                                            | GEORGIA POWER CO 4.7% 05/15/2032                                                                                                 | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      263000 | PA      | $267780.94     | 0.00%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                                                | UBS GROUP AG 4.751%/VAR 05/12/2028 144A                                                                                          | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      937000 | PA      | $944294.13     | 0.00%             | 2028-05-12      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 04/01/2047#RA7212                                                                                                 | CUSIP: 3133KPAM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      944958 | PA      | $882183.46     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 05/01/2047#RA7313                                                                                                 | CUSIP: 3133KPDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      639611 | PA      | $597121.69     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.4% 03/25/2032                                                                                   | CUSIP: 3137H73Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      643616 | PA      | $581711.21     | 0.00%             | 2032-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PG and E WILDFIRE RECOVERY                                                                                  | PG and E WILDFIRE RECOVERY 4.263% 06/01/2038                                                                                     | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       31000 | PA      | $30248.48      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 2.875% 05/15/2032                                                                                                      | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4230000 | PA      | $4019160.94    | 0.01%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 2.875% 05/15/2052                                                                                    | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   154200000 | PA      | $111132421.10  | 0.25%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARRACUDA NETWORKS INC                                                                                      | BARRACUDA TERM 1LN 8/15/2029                                                                                                     | CUSIP: 06832FAB3<br>LEI: 549300CXGRZWNMPU8080 | Long             | LON              | CORP              | US        |      111153 | PA      | $93672.23      | 0.00%             | 2029-08-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 05/01/2052#MA4644                                                                                                   | CUSIP: 31418EES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26688929 | PA      | $25610535.68   | 0.06%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 04/01/2052#FS1587                                                                                                   | CUSIP: 3140XGXR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1543518 | PA      | $1393423.87    | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 06/01/2052#SD8219                                                                                                 | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4656422 | PA      | $3983363.46    | 0.01%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/01/2052#BU6885                                                                                                 | CUSIP: 3140M8UK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2000880 | PA      | $1725420.67    | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 06/01/2052#MA4624                                                                                                   | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8405748 | PA      | $7493793.29    | 0.02%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 06/01/2052#MA4684                                                                                                 | CUSIP: 31418EF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    21483039 | PA      | $21173607.67   | 0.05%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 06/01/2052#SD8230                                                                                                 | CUSIP: 3132DWEB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    20977648 | PA      | $20675496.75   | 0.05%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 06/01/2052#SD8220                                                                                                   | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1884047 | PA      | $1679643.69    | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                                                     | PIEDMONT NATURAL GAS CO 5.05% 05/15/2052                                                                                         | CUSIP: 720186AP0<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |       45000 | PA      | $40850.90      | 0.00%             | 2052-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 08/01/2051#RA5746                                                                                                 | CUSIP: 3133KML37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3774676 | PA      | $3530999.96    | 0.01%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 10/01/2051#RA6010                                                                                                 | CUSIP: 3133KMVB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2755886 | PA      | $2577117.10    | 0.01%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 06/01/2036#MA4361                                                                                                 | CUSIP: 31418DZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      701754 | PA      | $666237.88     | 0.00%             | 2036-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3.25% 05/15/2042                                                                                     | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   118880000 | PA      | $101052643.45  | 0.23%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOUISIANA LOC GOVT ENVIRONMENTAL FACS and CMNTY DEV AUTH SYS RESTORATION                                    | LOUISIANA LOCAL 4.145% 2/1/2033                                                                                                  | CUSIP: 54627RAM2<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |      720000 | PA      | $722472.19     | 0.00%             | 2033-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                                                                              | VAR ENERGI ASA 5% 05/18/2027 144A                                                                                                | CUSIP: 92212WAA8<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |     5410000 | PA      | $5458282.79    | 0.01%             | 2027-05-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIE MAE CSTR 01/25/2032                                                                                                       | CUSIP: 3136BMXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9000000 | PA      | $7999056.00    | 0.02%             | 2032-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| SUEZ SACA                                                                                                   | SUEZ SACA 2.875% 05/24/2034 REGS                                                                                                 | CUSIP: N/A<br>LEI: 5493007LKZ37MXEN5D79       | Long             | DBT              | CORP              | FR        |     1500000 | PA      | $1623338.53    | 0.00%             | 2034-05-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 04/01/2052#MA4580                                                                                                 | CUSIP: 31418ECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12852970 | PA      | $11934874.44   | 0.03%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                                                                                     | KEYCORP 4.789%/VAR 06/01/2033                                                                                                    | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |      500000 | PA      | $500876.82     | 0.00%             | 2033-06-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD MULTIFAMILY REMIC PASS THRU SECS                                               | GOVERNMENT NATL MTG ASN MLFY R 1.25% 01/16/2061                                                                                  | CUSIP: 38380RVK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     2878566 | PA      | $2109580.40    | 0.00%             | 2061-01-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD MULTIFAMILY REMIC PASS THRU SECS                                               | GOVERNMENT NATL MTG ASN MLFY R 1.4% 06/16/2063                                                                                   | CUSIP: 38380RTP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     2650593 | PA      | $2041591.65    | 0.00%             | 2063-06-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD MULTIFAMILY REMIC PASS THRU SECS                                               | GOVERNMENT NATL MTG ASN MLFY R 1.5% 06/16/2063                                                                                   | CUSIP: 38380RNG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     3903134 | PA      | $2914363.65    | 0.01%             | 2063-06-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                                             | NXP B V/NXP FDG LLC/NXP USA INC 2.5% 05/11/2031                                                                                  | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |      162000 | PA      | $146692.30     | 0.00%             | 2031-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 05/20/2052#MA8043                                                                                                     | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    24520628 | PA      | $22137370.19   | 0.05%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 05/20/2052#MA8042                                                                                                   | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11277382 | PA      | $9797859.54    | 0.02%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG LLC                                                                                          | NXP BV/NXP FDG LLC 5.55% 12/01/2028                                                                                              | CUSIP: 62947QBC1<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |       70000 | PA      | $72490.59      | 0.00%             | 2028-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 05/20/2052#MA8046                                                                                                   | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8920475 | PA      | $8794526.56    | 0.02%             | 2052-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                                                      | MOTOROLA SOLUTIONS INC 5.6% 06/01/2032                                                                                           | CUSIP: 620076BW8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      803000 | PA      | $846245.99     | 0.00%             | 2032-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 2.75% 05/31/2029                                                                                                       | CUSIP: 91282CES6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    64460000 | PA      | $62815766.57   | 0.14%             | 2029-05-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FED HOME LOAN MTG CORP - GOLD 3.5% 09/15/2042                                                                                    | CUSIP: 3128HX7J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       10595 | PA      | $9914.56       | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 04/01/2052#QE0312                                                                                                   | CUSIP: 3133B9KZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9790384 | PA      | $8015511.60    | 0.02%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 05/01/2052#CB3627                                                                                                   | CUSIP: 3140QPA56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      152387 | PA      | $146277.29     | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN PUBLIC SERVICE CO                                                                              | SOUTHWESTERN PUBLIC SERVICE CO 5.15% 06/01/2052                                                                                  | CUSIP: 845743BW2<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2623303.62    | 0.01%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FREMF 2018-KSW4 MTG TR                                                                                      | FREMF 2018-KSW4 MORTGAGE TRUST 2.902% 10/25/2028                                                                                 | CUSIP: 302960AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3949698 | PA      | $3789143.08    | 0.01%             | 2028-10-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/01/2052#FS1836                                                                                                 | CUSIP: 3140XHBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5624551 | PA      | $4869557.90    | 0.01%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2022-CSMO                                                                                    | BX COML MTG TR 2022-CSMO TSFR1M+314.07 06/15/2027                                                                                | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1081800 | PA      | $1087198.83    | 0.00%             | 2027-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                                                                     | DARLING INGREDIENTS INC 6% 06/15/2030 144A                                                                                       | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |      465000 | PA      | $472200.99     | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                                                                         | KINETIK HOLDINGS LP 5.875% 06/15/2030 144A                                                                                       | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |     1280000 | PA      | $1290202.88    | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                                                   | TORONTO DOMINION BANK 4.456% 06/08/2032                                                                                          | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      305000 | PA      | $306035.09     | 0.00%             | 2032-06-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                                                       | TENET HEALTHCARE CORP 6.125% 06/15/2030                                                                                          | CUSIP: 88033GDQ0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      848000 | PA      | $866775.57     | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.58% 05/25/2032                                                                                  | CUSIP: 3137H7QH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      546050 | PA      | $499246.96     | 0.00%             | 2032-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                                                       | JACKSON FINANCIAL INC 5.17% 06/08/2027                                                                                           | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |     2958000 | PA      | $2991121.76    | 0.01%             | 2027-06-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                                                       | JACKSON FINANCIAL INC 5.67% 06/08/2032                                                                                           | CUSIP: 46817MAS6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |     3183000 | PA      | $3300034.74    | 0.01%             | 2032-06-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                                                                                        | PARKER-HANNIFIN CORP 4.25% 09/15/2027                                                                                            | CUSIP: 701094AR5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |      160000 | PA      | $161083.92     | 0.00%             | 2027-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GROUP INC / COGENT COMMUNICATIONS FINANCE INC                                         | COGENT COMMUNICATIONS GROUP INC / COGENT COMMUNICATIONS FINANCE INC 7% 06/15/2027 144A                                           | CUSIP: 19240CAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      320000 | PA      | $316916.90     | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 06/01/2052#MA4626                                                                                                   | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    29157420 | PA      | $27921880.27   | 0.06%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                                                | UNIVISION COMMUNICATIONS INC 7.375% 06/30/2030 144A                                                                              | CUSIP: 914906AX0<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |      270000 | PA      | $273897.45     | 0.00%             | 2030-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                                                | COMCAST CORP 2.987% 11/01/2063                                                                                                   | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     1661000 | PA      | $926923.28     | 0.00%             | 2063-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                                                | COMCAST CORP 2.937% 11/01/2056                                                                                                   | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     2015000 | PA      | $1169521.92    | 0.00%             | 2056-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                                                | COMCAST CORP 2.887% 11/01/2051                                                                                                   | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     1104000 | PA      | $667962.52     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2% 12/01/2035#QN4696                                                                                                   | CUSIP: 3133GBGD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      227208 | PA      | $211295.47     | 0.00%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2% 07/01/2035#QN2877                                                                                                   | CUSIP: 3133G9FS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2087240 | PA      | $1948890.02    | 0.00%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                                                        | DUKE ENERGY CORP NEW 3.85% 06/15/2034                                                                                            | CUSIP: 26441CBR5<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      430000 | PA      | $497198.03     | 0.00%             | 2034-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 04/01/2037#QO0016                                                                                                   | CUSIP: 3133WJAR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      254888 | PA      | $245932.48     | 0.00%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 07/01/2052#SD8227                                                                                                   | CUSIP: 3132DWD83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1727427 | PA      | $1657628.27    | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 11/01/2051#QC9944                                                                                                 | CUSIP: 3133AVBM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      411795 | PA      | $350727.97     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 05/01/2052#SD8213                                                                                                   | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12801151 | PA      | $11416331.67   | 0.03%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 07/01/2052#MA4654                                                                                                 | CUSIP: 31418EE48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11913581 | PA      | $11055140.63   | 0.03%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CGI INC                                                                                                     | CGI INC 1.45% 09/14/2026                                                                                                         | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |      109000 | PA      | $106817.92     | 0.00%             | 2026-09-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 07/01/2052#MA4656                                                                                                 | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3674860 | PA      | $3619631.97    | 0.01%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 07/01/2052#MA4709                                                                                                   | CUSIP: 31418EGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11178247 | PA      | $11245337.99   | 0.03%             | 2052-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC.                                                                                   | BAXTER INTERNATIONAL INC 2.272% 12/01/2028                                                                                       | CUSIP: 071813CP2<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |      742000 | PA      | $698825.83     | 0.00%             | 2028-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 06/01/2052#MA4686                                                                                                   | CUSIP: 31418EF47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8717787 | PA      | $8770110.59    | 0.02%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                                                | ENTEGRIS INC 5.95% 06/15/2030 144A                                                                                               | CUSIP: 29365BAB9<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |      838000 | PA      | $857873.17     | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP CY451600 12/16/72 B                                                                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     9000000 | NC      | $-39744.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 06/20/2052#MA8099                                                                                                   | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1112278 | PA      | $1033039.54    | 0.00%             | 2052-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 06/20/2052#MA8097                                                                                                   | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2280189 | PA      | $1981754.60    | 0.00%             | 2052-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                                                                                    | KLA CORP 4.65% 07/15/2032                                                                                                        | CUSIP: 482480AL4<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |      130000 | PA      | $132820.29     | 0.00%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2043#MA1462                                                                                                 | CUSIP: 31418ATU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15123 | PA      | $14427.05      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC 8.875%/VAR PERP REGS                                                                                                | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | EP               | CORP              | GB        |      300000 | PA      | $416965.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                                            | T-MOBILE USA INC 3.4% 10/15/2052                                                                                                 | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      520000 | PA      | $357576.97     | 0.00%             | 2052-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.25% 06/30/2029                                                                                                       | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3150100 | PA      | $3119460.36    | 0.01%             | 2029-06-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 07/01/2051#CB1157                                                                                                 | CUSIP: 3140QLJB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3527277 | PA      | $3306185.58    | 0.01%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 07/01/2049#                                                                                                         | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6060177 | PA      | $5870229.73    | 0.01%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 04/01/2052#FS1598                                                                                                   | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14719918 | PA      | $12051383.41   | 0.03%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL1 TR                                                                                           | CSMC 2022-RPL1 TR VAR 04/25/2061 144A                                                                                            | CUSIP: 12661QAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5699127 | PA      | $5429914.81    | 0.01%             | 2061-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.92% 06/25/2032                                                                                  | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      394946 | PA      | $368063.25     | 0.00%             | 2032-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.92% 07/25/2032                                                                                  | CUSIP: 3137H7ZC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      380318 | PA      | $352844.66     | 0.00%             | 2032-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                                                 | CHENIERE ENERGY PARTNERS LP 3.25% 01/31/2032                                                                                     | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     4129000 | PA      | $3796096.44    | 0.01%             | 2032-01-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 06/20/2052#MA8100                                                                                                     | CUSIP: 36179W7M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7563846 | PA      | $7259878.03    | 0.02%             | 2052-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 07/20/2052#MA8151                                                                                                   | CUSIP: 36179XBU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2778769 | PA      | $2738666.72    | 0.01%             | 2052-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR3 TR                                                                           | PROGRESS RESIDENTIAL 2022-SFR3 TR 4.45% 04/17/2039 144A                                                                          | CUSIP: 74331UAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4705000 | PA      | $4642529.36    | 0.01%             | 2039-04-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 02/01/2052#CB2886                                                                                                   | CUSIP: 3140QNF49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2434066 | PA      | $2186723.63    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                                                       | CELANESE US HLDGS LLC VAR 07/15/2032                                                                                             | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      400000 | PA      | $408085.20     | 0.00%             | 2032-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                                                 | METLIFE INC 5% 07/15/2052                                                                                                        | CUSIP: 59156RCC0<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |      270000 | PA      | $250353.11     | 0.00%             | 2052-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 07/01/2052#                                                                                                         | CUSIP: 3140XHVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43979 | PA      | $44614.36      | 0.00%             | 2052-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                                                     | BPCE SA 4.75% 07/19/2027 144A                                                                                                    | CUSIP: 05578AE46<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      250000 | PA      | $252687.24     | 0.00%             | 2027-07-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR3 TR                                                                           | PROGRESS RESIDENTIAL 2021-SFR3 TR 3.436% 05/17/2026 144A                                                                         | CUSIP: 74333VAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1500000 | PA      | $1485729.60    | 0.00%             | 2026-05-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 08/01/2052#SD8237                                                                                                   | CUSIP: 3132DWEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12935942 | PA      | $12401125.15   | 0.03%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 05/01/2052#SD8214                                                                                                 | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4177819 | PA      | $3879394.86    | 0.01%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/01/2052#MA4701                                                                                                 | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3495093 | PA      | $3432736.90    | 0.01%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 08/01/2052#SD8238                                                                                                 | CUSIP: 3132DWEK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10694366 | PA      | $10533645.36   | 0.02%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 07/01/2052#SD1300                                                                                                   | CUSIP: 3132DNNR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       76781 | PA      | $77889.71      | 0.00%             | 2052-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PG and E WILDFIRE RECOVERY                                                                                  | PG and E WILDFIRE RECOVERY 5.212% 12/01/2049                                                                                     | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       23000 | PA      | $22542.81      | 0.00%             | 2049-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PG and E WILDFIRE RECOVERY                                                                                  | PG and E WILDFIRE RECOVERY 5.099% 06/01/2054                                                                                     | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       85000 | PA      | $80999.36      | 0.00%             | 2054-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX CORP                                                                                              | TD SYNNEX CORP 1.75% 08/09/2026                                                                                                  | CUSIP: 87162WAF7<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |     6930000 | PA      | $6811586.19    | 0.02%             | 2026-08-09      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                                                 | SUNOCO LP / SUNOCO FIN CORP 4.5% 04/30/2030                                                                                      | CUSIP: 86765LAZ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      125000 | PA      | $121708.82     | 0.00%             | 2030-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 4.851%/VAR 07/25/2028                                                                                      | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1013279.82    | 0.00%             | 2028-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/01/2051#CB0454                                                                                                 | CUSIP: 3140QKQG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14719476 | PA      | $12716056.40   | 0.03%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 07/52#FS2458                                                                                                        | CUSIP: 3140XHWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55156 | PA      | $55987.22      | 0.00%             | 2052-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 07/20/2052#MA8149                                                                                                   | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9302821 | PA      | $8640087.22    | 0.02%             | 2052-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3% 07/20/2052#MA8148                                                                                                     | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8460739 | PA      | $7643693.73    | 0.02%             | 2052-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 2.75% 07/31/2027                                                                                                       | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    70935000 | PA      | $70031686.75   | 0.16%             | 2027-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 08/01/2052#CB4306                                                                                                   | CUSIP: 3140QPYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6417560 | PA      | $6508219.95    | 0.01%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                                               | HEALTHCARE REALTY HOLDINGS LP 3.625% 01/15/2028                                                                                  | CUSIP: 42225UAK0<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     1692000 | PA      | $1668620.57    | 0.00%             | 2028-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST TWY AUTH ST PERS                                                                                | NYS TWY PIT(NY STATE PIT) 5% 3/15/53                                                                                             | CUSIP: 650028ZN6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1340000 | PA      | $1378378.67    | 0.00%             | 2053-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                                                  | CAPITAL ONE FIN CORP 5.247%/VAR 07/26/2030                                                                                       | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     6880000 | PA      | $7090089.12    | 0.02%             | 2030-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AVIENT CORP                                                                                                 | AVIENT CORP 7.125% 08/01/2030 144A                                                                                               | CUSIP: 05368VAA4<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |      342000 | PA      | $353103.37     | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 02/01/2036#FS1999                                                                                                 | CUSIP: 3140XHGH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3774814 | PA      | $3594383.41    | 0.01%             | 2036-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC 5.501%/VAR 08/09/2028                                                                                               | CUSIP: 06738EBY0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      445000 | PA      | $454172.82     | 0.00%             | 2028-08-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                                                  | INTEL CORP 4.9% 08/05/2052                                                                                                       | CUSIP: 458140CB4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      215000 | PA      | $183343.90     | 0.00%             | 2052-08-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3% 08/15/2052                                                                                        | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      994000 | PA      | $734317.50     | 0.00%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 2.75% 08/15/2032                                                                                                       | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    59738000 | PA      | $56142052.57   | 0.13%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY451600 12/16/72 B                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      720000 | NC      | $-3179.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                                            | WILLIAMS COS INC 4.65% 08/15/2032                                                                                                | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     7545000 | PA      | $7591646.21    | 0.02%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                                            | WILLIAMS COS INC 5.3% 08/15/2052                                                                                                 | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     1511000 | PA      | $1422150.63    | 0.00%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST                                                                                  | PROGRESS RESIDENTIAL TRUST 21-SFR11 E1 3.378% 01/17/2039 144A                                                                    | CUSIP: 74333XAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4000000 | PA      | $3806440.40    | 0.01%             | 2039-01-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 5.21%/VAR 08/11/2028                                                                                           | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      358000 | PA      | $363759.69     | 0.00%             | 2028-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 09/01/2052#SD8244                                                                                                   | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      941757 | PA      | $902233.26     | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 08/01/2052#SD8239                                                                                                   | CUSIP: 3132DWEL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2163447 | PA      | $2175079.32    | 0.00%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 09/01/2052#SD8246                                                                                                   | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7502494 | PA      | $7542833.72    | 0.02%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4% 08/20/2052#MA8200                                                                                                     | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6748565 | PA      | $6471034.05    | 0.01%             | 2052-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY OP LLC                                                                                         | KIMCO REALTY OP LLC 4.6% 02/01/2033                                                                                              | CUSIP: 49446RBA6<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |     3535000 | PA      | $3541390.79    | 0.01%             | 2033-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 04/01/2052#SD1215                                                                                                   | CUSIP: 3132DNK44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1364416 | PA      | $1234722.79    | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                                                 | ASURION TERM B10 1LN 08/19/2028                                                                                                  | CUSIP: 04649VBB5<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      312446 | PA      | $311761.33     | 0.00%             | 2028-08-19      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.5% 06/01/2037#CB3715                                                                                                 | CUSIP: 3140QPDV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      270915 | PA      | $264857.87     | 0.00%             | 2037-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 06/01/2052#SD8232                                                                                                   | CUSIP: 3132DWED1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2588726 | PA      | $2604262.78    | 0.01%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 09/01/2052#MA4761                                                                                                   | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4053157 | PA      | $4074950.58    | 0.01%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2022-A                                                                               | CHASE AUTO OWNER TRUST 2022-A 3.98% 06/25/2027 144A                                                                              | CUSIP: 16144JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       38782 | PA      | $38775.54      | 0.00%             | 2027-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP CY451600 12/16/72 B                                                                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     6000000 | NC      | $-26496.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                                                   | AMGEN INC 4.875% 03/01/2053                                                                                                      | CUSIP: 031162DK3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     1237000 | PA      | $1112129.45    | 0.00%             | 2053-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 4.482%/VAR 08/23/2028                                                                              | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1476000 | PA      | $1485624.15    | 0.00%             | 2028-08-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                                                   | ONEOK INC 6.5% 09/01/2030 144A                                                                                                   | CUSIP: 682680CR2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     5598000 | PA      | $6004323.22    | 0.01%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 08/20/2052#MA8199                                                                                                   | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5402691 | PA      | $5017803.10    | 0.01%             | 2052-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                                                          | METROPOLITAN LIFE GLOBAL FUNDING I 4.3% 08/25/2029 144A                                                                          | CUSIP: 59217GFD6<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2013198.56    | 0.00%             | 2029-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.125% 08/31/2029                                                                                                      | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    26356600 | PA      | $25966398.71   | 0.06%             | 2029-08-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 08/01/2052#MA4738                                                                                                 | CUSIP: 31418EHQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1788530 | PA      | $1824642.15    | 0.00%             | 2052-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2022-ONL                                                                            | WELLS FARGO COML MTG TR 2022-ONL 3.862% 12/15/2039 144A                                                                          | CUSIP: 95003WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900000 | PA      | $870756.57     | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLT XCV LLC                                                                                                | VOLT XCV LLC STEP 03/27/2051 144A                                                                                                | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       18513 | PA      | $18512.40      | 0.00%             | 2051-03-27      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 09/01/2052#MA4733                                                                                                 | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6333177 | PA      | $6236019.70    | 0.01%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY451600 12/16/72 B                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     2140000 | NC      | $-9450.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                                              | MCDONALDS CORP 5.15% 09/09/2052                                                                                                  | CUSIP: 58013MFT6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      489000 | PA      | $462908.60     | 0.00%             | 2052-09-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                                                                             | GEN DIGITAL INC 6.75% 09/30/2027 144A                                                                                            | CUSIP: 668771AK4<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101969.00     | 0.00%             | 2027-09-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ITC HLDGS CORP                                                                                              | ITC HLDGS CORP 4.95% 09/22/2027 144A                                                                                             | CUSIP: 465685AR6<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |      456000 | PA      | $461609.75     | 0.00%             | 2027-09-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                                                           | NEWELL BRANDS INC 6.625% 09/15/2029                                                                                              | CUSIP: 651229BD7<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      331000 | PA      | $325761.76     | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVE SECS TR 2019-R07                                                                            | CONNECTICUT AVE SECS TR 2019-R07 1B1 SOFR30A+351.448 10/25/2039 144A                                                             | CUSIP: 20753WAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2781483 | PA      | $2835310.53    | 0.01%             | 2039-10-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| AMSR 2022-SFR3 TRUST                                                                                        | AMSR 2022-SFR3 D TRUST 4% 10/17/2039 144A                                                                                        | CUSIP: 66981YAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2115000 | PA      | $2076467.24    | 0.00%             | 2039-10-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                                            | T-MOBILE USA INC 5.2% 01/15/2033                                                                                                 | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      971000 | PA      | $1007258.61    | 0.00%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                                            | T-MOBILE USA INC 5.8% 09/15/2062                                                                                                 | CUSIP: 87264ACX1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      464000 | PA      | $468573.04     | 0.00%             | 2062-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 07/01/2052#RA7659                                                                                                 | CUSIP: 3133KPQL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10872625 | PA      | $10102782.67   | 0.02%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 10/01/2052#SD8256                                                                                                   | CUSIP: 3132DWE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9964380 | PA      | $9546189.96    | 0.02%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 10/01/2052#SD8257                                                                                                 | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11201125 | PA      | $11029288.38   | 0.02%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 09/01/2052#SD8243                                                                                                 | CUSIP: 3132DWEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2844206 | PA      | $2636598.42    | 0.01%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                                                             | NORDEA BANK ABP 5.375% 09/22/2027 144A                                                                                           | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |      400000 | PA      | $409564.33     | 0.00%             | 2027-09-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 01/01/2037#FS2747                                                                                                 | CUSIP: 3140XJBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3634941 | PA      | $3291473.57    | 0.01%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 10/20/2051#MA7651                                                                                                   | CUSIP: 36179WQC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4025498 | PA      | $3731801.91    | 0.01%             | 2051-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 09/20/2052#MA8268                                                                                                   | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      788393 | PA      | $777015.77     | 0.00%             | 2052-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5% 09/20/2052#MA8269                                                                                                     | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3191097 | PA      | $3212407.08    | 0.01%             | 2052-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 08/20/2052#MA8201                                                                                                   | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    16297922 | PA      | $16062718.77   | 0.04%             | 2052-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                                                    | EQT CORP 5.7% 04/01/2028                                                                                                         | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1687000 | PA      | $1741975.25    | 0.00%             | 2028-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 09/20/2052#MA8266                                                                                                   | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9221821 | PA      | $8564857.62    | 0.02%             | 2052-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                                                       | JACKSON FINANCIAL INC 3.125% 11/23/2031                                                                                          | CUSIP: 46817MAL1<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |      750000 | PA      | $683596.82     | 0.00%             | 2031-11-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                                                           | ATMOS ENERGY CORP 5.75% 10/15/2052                                                                                               | CUSIP: 049560AY1<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |       77000 | PA      | $79824.08      | 0.00%             | 2052-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 12/20/2051#MA7769                                                                                                   | CUSIP: 36179WT24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    12680037 | PA      | $11780672.19   | 0.03%             | 2051-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                                            | SOUTHERN COMPANY 5.7% 10/15/2032                                                                                                 | CUSIP: 842587DL8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     1203000 | PA      | $1281635.50    | 0.00%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                                                       | ELECTRICITE DE FRANCE 4.75% 10/12/2034 REGS                                                                                      | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | CORP              | FR        |      200000 | PA      | $249699.07     | 0.00%             | 2034-10-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                                                 | PROLOGIS LP 1.75% 07/01/2030                                                                                                     | CUSIP: 74340XBZ3<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |      143000 | PA      | $128598.96     | 0.00%             | 2030-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                                                        | ENEL FINANCE INTL NV 7.5% 10/14/2032 144A                                                                                        | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      217000 | PA      | $250912.95     | 0.00%             | 2032-10-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RXO INC                                                                                                     | RXO INC 7.5% 11/15/2027 144A                                                                                                     | CUSIP: 98379JAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      150000 | PA      | $152812.50     | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 11/01/2052#SD8267                                                                                                   | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2933904 | PA      | $2947845.99    | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 11/01/2052#SD8266                                                                                                 | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2161455 | PA      | $2128296.55    | 0.00%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TR 2022-LBA6                                                                                             | BX TR 2022-LBA6 TSFR1M+ 01/15/2039 144A                                                                                          | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6750000 | PA      | $6741588.15    | 0.02%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 02/01/2051#CA8955                                                                                                 | CUSIP: 3140QG5R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14053 | PA      | $12126.75      | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 03/20/2052#MA7938                                                                                                   | CUSIP: 36179WZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    10590276 | PA      | $9839133.55    | 0.02%             | 2052-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA1                                                                     | STACR 22-DNA3 M1B SOFR30A+290 04/25/2042 144A                                                                                    | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    12945000 | PA      | $13286498.16   | 0.03%             | 2042-04-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MTG TR 2021-6                                                                                     | ANGEL OAK MTG TR 2021-6 1.458% 09/25/2066 144A                                                                                   | CUSIP: 03465JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2755345 | PA      | $2367940.07    | 0.01%             | 2066-09-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 03/01/2052#FS0957                                                                                                   | CUSIP: 3140XGB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      684630 | PA      | $611636.97     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.39% 03/01/2032#BS4654                                                                                                | CUSIP: 3140LFE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      220129 | PA      | $200802.78     | 0.00%             | 2032-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 09/01/2052#SD8260                                                                                                 | CUSIP: 3132DWE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1360974 | PA      | $1388453.03    | 0.00%             | 2052-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                                                      | DIAMONDBACK ENERGY INC 6.25% 03/15/2033                                                                                          | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     3900000 | PA      | $4221731.28    | 0.01%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                                              | US BANCORP DEL 5.85%/VAR 10/21/2033                                                                                              | CUSIP: 91159HJJ0<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     1750000 | PA      | $1878662.80    | 0.00%             | 2033-10-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 10/20/2052#MA8347                                                                                                   | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11427816 | PA      | $11262895.33   | 0.03%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4% 10/20/2052#MA8346                                                                                                     | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    16854364 | PA      | $16140168.84   | 0.04%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5% 08/20/2052#MA8202                                                                                                     | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2673834 | PA      | $2691690.51    | 0.01%             | 2052-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 07/01/2047#FS1789                                                                                                 | CUSIP: 3140XG7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2788168 | PA      | $2658648.13    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                                                                       | HALEON US CAPITAL LLC 3.375% 03/24/2027                                                                                          | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |      250000 | PA      | $247736.56     | 0.00%             | 2027-03-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TENNET NETHERLANDS BV                                                                                       | TENNET NETHERLANDS BV 4.75% 10/28/2042 REGS                                                                                      | CUSIP: N/A<br>LEI: 724500N24X9VLIRO3K10       | Long             | DBT              | CORP              | NL        |      915000 | PA      | $1156924.28    | 0.00%             | 2042-10-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                                         | PETROLEOS MEXICANOS 8.75% 06/02/2029                                                                                             | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     2598000 | PA      | $2779860.00    | 0.01%             | 2029-06-02      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 02/01/2036#FM6147                                                                                                   | CUSIP: 3140X9ZM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55533 | PA      | $51817.61      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.125% 10/31/2027                                                                                                      | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2393000 | PA      | $2420014.72    | 0.01%             | 2027-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 4% 05/01/2040#FS0198                                                                                                   | CUSIP: 3140XFGG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1497529 | PA      | $1481477.75    | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 10/01/2052#MA4786                                                                                                 | CUSIP: 31418EJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2835235 | PA      | $2892481.71    | 0.01%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 5.875% 02/15/2053                                                                                         | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       43000 | PA      | $44340.90      | 0.00%             | 2053-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 5.35% 02/15/2033                                                                                          | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     1680000 | PA      | $1761360.70    | 0.00%             | 2033-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                                              | PNC FINANCIAL SERVICES GRP INC 6.037%/VAR 10/28/2033                                                                             | CUSIP: 693475BJ3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |      815000 | PA      | $883314.64     | 0.00%             | 2033-10-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 12/01/2051#FS2559                                                                                                   | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2932146 | PA      | $2630525.64    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 7.39%/VAR 11/03/2028                                                                                           | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      800000 | PA      | $846701.33     | 0.00%             | 2028-11-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                                                         | ELEVANCE HEALTH INC 6.1% 10/15/2052                                                                                              | CUSIP: 036752AX1<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      135000 | PA      | $140734.66     | 0.00%             | 2052-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC 7.385%/VAR 11/02/2028                                                                                               | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      620000 | PA      | $656043.83     | 0.00%             | 2028-11-02      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC 7.437%/VAR 11/02/2033                                                                                               | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      500000 | PA      | $575458.10     | 0.00%             | 2033-11-02      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                                                                       | HALEON US CAPITAL LLC 3.625% 03/24/2032                                                                                          | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |     1305000 | PA      | $1244331.65    | 0.00%             | 2032-03-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 11/01/2052#SD8268                                                                                                 | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    22025014 | PA      | $22469721.34   | 0.05%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2022-D OWNER TRUST                                                                  | TOYOTA AUTO RECEIVABLES 2022-D OWNER TRUST 5.3% 09/15/2027                                                                       | CUSIP: 89239HAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1818976 | PA      | $1827051.63    | 0.00%             | 2027-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4% 11/15/2052                                                                                        | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   172445000 | PA      | $153954315.86  | 0.35%             | 2052-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEGASUS MERGER CO                                                                                           | TENNECO TERM B 1LN 11/17/2028                                                                                                    | CUSIP: 88037HAP9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     3025000 | PA      | $2956937.50    | 0.01%             | 2028-11-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                                                           | DISH NETWORK CORP 11.75% 11/15/2027 144A                                                                                         | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |     5358000 | PA      | $5594877.18    | 0.01%             | 2027-11-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                                                                        | NEPTUNE BIDCO US INC 9.29% 04/15/2029 144A                                                                                       | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |      340000 | PA      | $337450.00     | 0.00%             | 2029-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 8.201%/VAR 11/16/2034 REGS                                                                                     | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |      550000 | PA      | $804503.65     | 0.00%             | 2034-11-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE CO                                                                                   | ARIZONA PUBLIC SERVICE CO 6.35% 12/15/2032                                                                                       | CUSIP: 040555DE1<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |     4385000 | PA      | $4812673.44    | 0.01%             | 2032-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 6.204%/VAR 11/10/2028                                                                                | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     8241000 | PA      | $8570202.16    | 0.02%             | 2028-11-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 09/01/2052#SD8261                                                                                                   | CUSIP: 3132DWFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1939081 | PA      | $1998917.21    | 0.00%             | 2052-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 5.85% 11/01/2027                                                                                   | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     2200000 | PA      | $2258913.87    | 0.01%             | 2027-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                                                        | EDISON INTERNATIONAL 6.95% 11/15/2029                                                                                            | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      173000 | PA      | $184251.85     | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                                                      | STANDARD CHARTERED PLC 7.767%/VAR 11/16/2028 144A                                                                                | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      641000 | PA      | $683791.74     | 0.00%             | 2028-11-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 04/01/2052#SD7554                                                                                                 | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2759914 | PA      | $2395483.19    | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 08/01/2052#SD8253                                                                                                   | CUSIP: 3132DWE25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1261949 | PA      | $1305819.78    | 0.00%             | 2052-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JONAH ENERGY ABS I LLC                                                                                      | JONAH ENERGY ABS I LLC 7.2% 12/10/2037 144A                                                                                      | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-CBDO         | CORP              | US        |      282764 | PA      | $288306.13     | 0.00%             | 2037-12-10      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                                                  | ZOETIS INC 5.6% 11/16/2032                                                                                                       | CUSIP: 98978VAV5<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |      141000 | PA      | $150719.57     | 0.00%             | 2032-11-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 11/01/2052#SD8264                                                                                                 | CUSIP: 3132DWFD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5055992 | PA      | $4683779.54    | 0.01%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 12/01/2052#MA4841                                                                                                   | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6017892 | PA      | $6046488.72    | 0.01%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 03/01/2052#BV4158                                                                                                 | CUSIP: 3140MHTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21756 | PA      | $20147.19      | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TR 2022-D                                                                       | WORLD OMNI AUTO RECEIVABLES TR 2022-D 5.61% 02/15/2028                                                                           | CUSIP: 98163VAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1025652 | PA      | $1029870.59    | 0.00%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 05/01/2052#CB3504                                                                                                 | CUSIP: 3140QN3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7830969 | PA      | $7293622.51    | 0.02%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 12/01/2052#SD8278                                                                                                   | CUSIP: 3132DWFT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1385879 | PA      | $1426045.91    | 0.00%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 12/01/2052#                                                                                                         | CUSIP: 31418EM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5433382 | PA      | $5590857.16    | 0.01%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 6.27%/VAR 11/17/2033                                                                                               | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      935000 | PA      | $1024441.27    | 0.00%             | 2033-11-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 11/01/2052#MA4803                                                                                                 | CUSIP: 31418EKR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94075 | PA      | $87149.41      | 0.00%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 12/01/2052#SD8277                                                                                                 | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      765164 | PA      | $780613.30     | 0.00%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4% 11/15/2042                                                                                        | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8947700 | PA      | $8362254.76    | 0.02%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK44                                                                                             | BANK 2022-BNK44 5.746245% 11/15/2055                                                                                             | CUSIP: 06540KAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1700000 | PA      | $1811815.63    | 0.00%             | 2055-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 12/01/2052#MA4842                                                                                                 | CUSIP: 31418ELY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2963993 | PA      | $3023838.93    | 0.01%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 10/01/2052#QF2178                                                                                                   | CUSIP: 3133BPM39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      652053 | PA      | $624687.61     | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANCE AUTO LOAN TRUST 2022-3                                                                    | CREDIT ACCEPTANCE AUTO LOAN TRUST 2022-3A D 9% 04/18/2033 144A                                                                   | CUSIP: 22534QAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      292000 | PA      | $296103.88     | 0.00%             | 2033-04-18      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON NATIONAL BANK                                                                                    | HUNTINGTON NATL BK COLUMBUS OH 5.65% 01/10/2030                                                                                  | CUSIP: 44644MAJ0<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |     1305000 | PA      | $1369582.38    | 0.00%             | 2030-01-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                                             | PHILIP MORRIS INTL INC 5.625% 11/17/2029                                                                                         | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     6284000 | PA      | $6621415.67    | 0.01%             | 2029-11-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INGENOVIS HEALTH INC                                                                                        | INGENOVIS TERM B 1LN 3/6/2028                                                                                                    | CUSIP: 12510MAD1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      181152 | PA      | $55818.40      | 0.00%             | 2028-03-06      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORPORATION                                                                                       | OPEN TEXT CORPORATION 6.9% 12/01/2027 144A                                                                                       | CUSIP: 683715AF3<br>LEI: 549300UQROQS42RKHM85 | Long             | DBT              | CORP              | CA        |      970000 | PA      | $1006249.87    | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 10/01/2052#FS3047                                                                                                   | CUSIP: 3140XJL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2101105 | PA      | $2122251.58    | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.875% 11/30/2027                                                                                                      | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8522000 | PA      | $8581920.31    | 0.02%             | 2027-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 12/01/2051#CB2420                                                                                                   | CUSIP: 3140QMVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      917377 | PA      | $826736.54     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 11/01/2051#FM9632                                                                                                   | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2115572 | PA      | $1906544.53    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 08/01/2051#FM9973                                                                                                   | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1260118 | PA      | $1137581.70    | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 10/20/2052#MA8345                                                                                                   | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6212901 | PA      | $5763982.50    | 0.01%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5% 11/20/2052#MA8428                                                                                                     | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4796347 | PA      | $4828377.53    | 0.01%             | 2052-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PG and E RECOVERY FUNDING LLC                                                                               | PG and E RECOVERY FUNDING LLC 5.536% 07/15/2049                                                                                  | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      119000 | PA      | $121099.49     | 0.00%             | 2049-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 11/01/2052#MA4807                                                                                                 | CUSIP: 31418EKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20830336 | PA      | $21250921.82   | 0.05%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 4% 07/01/2037#MA4713                                                                                                   | CUSIP: 31418EGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2987510 | PA      | $2966199.13    | 0.01%             | 2037-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                                              | AIR LEASE CORP 5.85% 12/15/2027                                                                                                  | CUSIP: 00914AAT9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |      970000 | PA      | $998230.02     | 0.00%             | 2027-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 12/01/2052#SD1924                                                                                                   | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1353373 | PA      | $1368262.62    | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 11/01/2052#CB5128                                                                                                   | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      955220 | PA      | $968416.09     | 0.00%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 11/01/2052#SD1862                                                                                                   | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      567757 | PA      | $575600.53     | 0.00%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 11/01/2052#SD1863                                                                                                   | CUSIP: 3132DPB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      803167 | PA      | $812003.76     | 0.00%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 10/01/2052#SD8258                                                                                                   | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4494070 | PA      | $4518233.91    | 0.01%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 12/01/2052#RA8292                                                                                                   | CUSIP: 3133KQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      568348 | PA      | $573713.20     | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 12/01/2052#RA8291                                                                                                   | CUSIP: 3133KQF84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      411593 | PA      | $416121.51     | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 11/01/2052#FS3248                                                                                                   | CUSIP: 3140XJTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2446785 | PA      | $2474468.83    | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 5.55% 02/15/2028                                                                                              | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1350000 | PA      | $1389374.80    | 0.00%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 12/01/2052#CB5273                                                                                                   | CUSIP: 3140QQ2F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1684391 | PA      | $1702922.90    | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 11/01/2052#FS3295                                                                                                   | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1533671 | PA      | $1548148.34    | 0.00%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                                              | BRANDYWINE OPER PARTNERSHIP LP 8.3% 03/15/2028                                                                                   | CUSIP: 105340AR4<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |     6570000 | PA      | $6927835.05    | 0.02%             | 2028-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 10/01/2052#SD1733                                                                                                   | CUSIP: 3132DN4S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4842289 | PA      | $4897076.17    | 0.01%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 10/01/2052#CB4893                                                                                                   | CUSIP: 3140QQNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5716971 | PA      | $5781654.78    | 0.01%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                                                                                        | CHART INDUSTRIES INC 7.5% 01/01/2030 144A                                                                                        | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |      959000 | PA      | $999219.50     | 0.00%             | 2030-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/01/2046#CB0573                                                                                                 | CUSIP: 3140QKT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4482473 | PA      | $3908798.52    | 0.01%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 08/01/2052#MA4737                                                                                                   | CUSIP: 31418EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1083610 | PA      | $1089436.23    | 0.00%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 01/01/2053#SD8289                                                                                                 | CUSIP: 3132DWF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2149746 | PA      | $2191136.44    | 0.00%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 01/01/2053#                                                                                                         | CUSIP: 3132DWF32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5567965 | PA      | $5330805.44    | 0.01%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 01/01/2053#                                                                                                       | CUSIP: 3132DWF24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27111 | PA      | $25106.33      | 0.00%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 01/01/2053#                                                                                                       | CUSIP: 31418EMR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2260240 | PA      | $2223447.09    | 0.01%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 01/01/2052#QD5254                                                                                                 | CUSIP: 3133B2ZT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      143996 | PA      | $123227.15     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.5% 07/01/2051#MA4377                                                                                                 | CUSIP: 31418D2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      297759 | PA      | $231271.31     | 0.00%             | 2051-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 01/01/2053#MA4868                                                                                                   | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45451 | PA      | $45666.89      | 0.00%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 12/01/2052#QF4661                                                                                                 | CUSIP: 3133BSFA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      747312 | PA      | $762401.46     | 0.00%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 01/01/2053#SD8288                                                                                                   | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39406 | PA      | $39593.54      | 0.00%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 01/01/2053#SD8290                                                                                                   | CUSIP: 3132DWF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7356809 | PA      | $7564857.29    | 0.02%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 08/01/2046#BD5456                                                                                                 | CUSIP: 3140FDB21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41639 | PA      | $39224.35      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 08/01/2056#BF0131                                                                                                 | CUSIP: 3140FXED0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      715590 | PA      | $660581.98     | 0.00%             | 2056-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 06/01/2043#890564                                                                                                   | CUSIP: 31410LMM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73382 | PA      | $68234.26      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.55% 08/01/2028#387807                                                                                                | CUSIP: 31377UYC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      207076 | PA      | $205864.38     | 0.00%             | 2028-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5% 08/15/2034                                                                                     | CUSIP: 31395EDY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1726 | PA      | $1755.59       | 0.00%             | 2034-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 6% 01/15/2038                                                                                     | CUSIP: 31397PRY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        4128 | PA      | $4425.35       | 0.00%             | 2038-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 02/01/2046#Q39092                                                                                                   | CUSIP: 3132QWC64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       58391 | PA      | $56936.78      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 3% 01/25/2046                                                                                     | CUSIP: 3136ASMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      137948 | PA      | $129609.99     | 0.00%             | 2046-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIE MAE 6% 02/25/2037                                                                                                         | CUSIP: 31396PND9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         462 | PA      | $480.06        | 0.00%             | 2037-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM TSFR1M+59.448 10/20/2067                                                                            | CUSIP: 38375UR93<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      199347 | PA      | $199304.87     | 0.00%             | 2067-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 11/01/2046#AS8335                                                                                                 | CUSIP: 3138WJHM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      107644 | PA      | $107640.62     | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 9.5% 12/25/2041                                                                                   | CUSIP: 31392B6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        7445 | PA      | $8180.83       | 0.00%             | 2041-12-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 5.398% 10/25/2042                                                                                 | CUSIP: 31393BT47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        1741 | PA      | $1754.75       | 0.00%             | 2042-10-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 06/01/2043#AT5907                                                                                                   | CUSIP: 3138WTR57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100430 | PA      | $98834.77      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5% 07/20/2049#BM9690                                                                                                     | CUSIP: 3617K1XT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25584 | PA      | $25914.71      | 0.00%             | 2049-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 04/01/2052#FS1255                                                                                                   | CUSIP: 3140XGMD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      218502 | PA      | $211585.37     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2032#AO7057                                                                                                 | CUSIP: 3138LXZX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9614 | PA      | $9397.10       | 0.00%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+663.552 08/25/2035                                                                        | CUSIP: 31394EWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        1042 | PA      | $70.62         | 0.00%             | 2035-08-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM TSFR1M+61.448 05/20/2069                                                                            | CUSIP: 38380LTJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      151215 | PA      | $151208.21     | 0.00%             | 2069-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6.5% 10/20/2039#005218                                                                                                   | CUSIP: 36202FYP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2381 | PA      | $2522.76       | 0.00%             | 2039-10-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/15/2027                                                                                   | CUSIP: 3137ARA30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       34185 | PA      | $33768.70      | 0.00%             | 2027-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 7% 10/20/2038#004930                                                                                                     | CUSIP: 36202FPP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3060 | PA      | $3238.60       | 0.00%             | 2038-10-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 02/01/2042#Q05956                                                                                                 | CUSIP: 3132GMH96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21196 | PA      | $21356.77      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.69% 12/01/2028#AN3685                                                                                                | CUSIP: 3138LGCX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      441052 | PA      | $427686.14     | 0.00%             | 2028-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 06/01/2041#G61864                                                                                                 | CUSIP: 31335CB94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       54107 | PA      | $56337.88      | 0.00%             | 2041-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 05/01/2046#BA1210                                                                                                 | CUSIP: 3140E5KY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16035 | PA      | $15105.10      | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD MULTIFAMILY REMIC PASS THRU SECS                                               | GOVERNMENT NATL MTG ASN MLFY R TSFR1M+653.552 04/20/2037                                                                         | CUSIP: 38373MC57<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        6587 | PA      | $551.26        | 0.00%             | 2037-04-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 6% 05/25/2031                                                                                     | CUSIP: 31359SYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         465 | PA      | $477.67        | 0.00%             | 2031-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 07/15/2046#AT7538                                                                                                   | CUSIP: 36194GLT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       92647 | PA      | $89323.12      | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 11/20/2047#AY0571                                                                                                   | CUSIP: 36196PT44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       95402 | PA      | $94942.28      | 0.00%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2032#AO5230                                                                                                 | CUSIP: 3138LVY49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10158 | PA      | $9965.73       | 0.00%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.2% 10/01/2026#AN2689                                                                                                 | CUSIP: 3138LE7B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      163623 | PA      | $160759.29     | 0.00%             | 2026-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 5% 04/15/2049#BM1819                                                                                                   | CUSIP: 3617JSAU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       64265 | PA      | $65257.31      | 0.00%             | 2049-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 6% 03/25/2036                                                                                     | CUSIP: 31395BCF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2658 | PA      | $2759.92       | 0.00%             | 2036-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 6% 02/01/2028#G30591                                                                                                   | CUSIP: 3128CUUQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1257 | PA      | $1274.15       | 0.00%             | 2028-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA FHAL 4% 08/01/2048#CA2171                                                                                                   | CUSIP: 3140Q9MV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      261087 | PA      | $252087.88     | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2048#BK9556                                                                                                   | CUSIP: 3140HPTN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64879 | PA      | $62865.43      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 06/01/2042#AO6757                                                                                                   | CUSIP: 3138LXQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33828 | PA      | $33141.26      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 3% 01/20/2045                                                                                     | CUSIP: 38379FBV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |        5551 | PA      | $5399.17       | 0.00%             | 2045-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.606% 07/25/2027                                                                                 | CUSIP: 3137FPJ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      218157 | PA      | $215535.00     | 0.00%             | 2027-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 7% 01/20/2039#004872                                                                                                     | CUSIP: 36202FMV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2789 | PA      | $2885.00       | 0.00%             | 2039-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+58.448 02/20/2065                                                                          | CUSIP: 38378U8R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       33912 | PA      | $33866.65      | 0.00%             | 2065-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 08/20/2049#BM9701                                                                                                   | CUSIP: 3617K1X65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      237078 | PA      | $235415.69     | 0.00%             | 2049-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 06/20/2046#AS8103                                                                                                   | CUSIP: 36193UAC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31459 | PA      | $29350.79      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 10/01/2031#AN2625                                                                                                 | CUSIP: 3138LE4K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      319786 | PA      | $295582.89     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF 7% 03/18/2027                                                                                         | CUSIP: 31359NTJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |          18 | PA      | $18.17         | 0.00%             | 2027-03-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 4% 09/15/2048                                                                                     | CUSIP: 3137FHWW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      286208 | PA      | $275705.63     | 0.00%             | 2048-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.67% 04/01/2034#BS5184                                                                                                | CUSIP: 3140LFXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      585106 | PA      | $522578.24     | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.35% 01/01/2029#AN4349                                                                                                | CUSIP: 3138LGZP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      240132 | PA      | $236369.73     | 0.00%             | 2029-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 5.75% 09/20/2036                                                                                  | CUSIP: 38376F6M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |        1117 | PA      | $1145.73       | 0.00%             | 2036-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6.5% 03/01/2032#A27201                                                                                                 | CUSIP: 31297FAA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         316 | PA      | $318.38        | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 4% 02/01/2026#J14494                                                                                                   | CUSIP: 3128PT7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         148 | PA      | $147.50        | 0.00%             | 2026-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5% 08/20/2048#BD0549                                                                                                     | CUSIP: 3617BFTE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63736 | PA      | $64639.34      | 0.00%             | 2048-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                                                   | FEDERAL NATL MTG ASSN STRIPPED 6.5% 09/25/2037                                                                                   | CUSIP: 3136FFQR3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |         990 | PA      | $209.87        | 0.00%             | 2037-09-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 7% 03/15/2032                                                                                     | CUSIP: 31393PVX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         646 | PA      | $89.20         | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 6.5% 07/25/2036                                                                                   | CUSIP: 31397QP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2202 | PA      | $2346.98       | 0.00%             | 2036-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 6% 03/15/2032                                                                                     | CUSIP: 31339W2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        5691 | PA      | $5881.49       | 0.00%             | 2032-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2047#BE8347                                                                                                   | CUSIP: 3140FUHZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14721 | PA      | $14264.11      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 11/01/2047#BH6687                                                                                                   | CUSIP: 3140GVND3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28546 | PA      | $27651.64      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+658.552 06/25/2035                                                                        | CUSIP: 31394DJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2716 | PA      | $193.44        | 0.00%             | 2035-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 04/01/2046#MA2593                                                                                                   | CUSIP: 31418B3B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      138613 | PA      | $134701.43     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM TSFR1M+63.448 09/20/2065                                                                            | CUSIP: 38376RHF6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       37628 | PA      | $37641.19      | 0.00%             | 2065-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 8% 09/20/2031#004901                                                                                                     | CUSIP: 36202FNS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2911 | PA      | $3016.33       | 0.00%             | 2031-09-20      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 12/01/2042#Q13796                                                                                                 | CUSIP: 3132HQGD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       83203 | PA      | $80175.73      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+647.552 04/25/2036                                                                        | CUSIP: 31395BX32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2586 | PA      | $250.20        | 0.00%             | 2036-04-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 6.5% 05/15/2033                                                                                   | CUSIP: 31393QXU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1970 | PA      | $318.83        | 0.00%             | 2033-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 5.5% 03/25/2035                                                                                   | CUSIP: 31394CJS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       20820 | PA      | $21352.17      | 0.00%             | 2035-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 06/01/2047#AS9811                                                                                                   | CUSIP: 3138WK3V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33629 | PA      | $34356.27      | 0.00%             | 2047-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FREDDIE MAC 6% 01/15/2029                                                                                                        | CUSIP: 3133THTM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         299 | PA      | $305.23        | 0.00%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 11/01/2043#AU8840                                                                                                 | CUSIP: 3138X8ZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17407 | PA      | $17442.30      | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 11/01/2043#AV2613                                                                                                 | CUSIP: 3138XD3X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44782 | PA      | $44800.90      | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 8% 09/18/2029                                                                                     | CUSIP: 31359WXR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         612 | PA      | $626.20        | 0.00%             | 2029-09-18      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 02/01/2048#BJ5772                                                                                                   | CUSIP: 3140H7MW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90196 | PA      | $87312.30      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 10/01/2042#U90281                                                                                                   | CUSIP: 3132H3J20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13660 | PA      | $13418.67      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 0% 03/15/2036                                                                                     | CUSIP: 31396UYQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        5472 | PA      | $4656.49       | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+613.552 08/16/2039                                                                         | CUSIP: 38373AGM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |        3678 | PA      | $289.61        | 0.00%             | 2039-08-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM TSFR1M+141.448 09/20/2063                                                                           | CUSIP: 38375B8G0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        6407 | PA      | $6461.66       | 0.00%             | 2063-09-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.13% 02/01/2026#AN0707                                                                                                | CUSIP: 3138LCYD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      225290 | PA      | $224412.71     | 0.00%             | 2026-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 09/01/2040#G06576                                                                                                   | CUSIP: 3128M8T95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       57822 | PA      | $59296.78      | 0.00%             | 2040-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 07/01/2043#MA1510                                                                                                   | CUSIP: 31418AVC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32367 | PA      | $31662.33      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 07/20/2049#BO2717                                                                                                   | CUSIP: 3617KJAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      148934 | PA      | $147890.30     | 0.00%             | 2049-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 07/20/2049#BO3158                                                                                                   | CUSIP: 3617KJQK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44395 | PA      | $44084.19      | 0.00%             | 2049-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 5.356% 06/25/2042                                                                                 | CUSIP: 31392JYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         155 | PA      | $157.62        | 0.00%             | 2042-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 09/01/2048#BN1312                                                                                                   | CUSIP: 3140JHN66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      158436 | PA      | $153222.71     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 8% 12/01/2036#AL0379                                                                                                   | CUSIP: 3138EGM50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6589 | PA      | $6913.84       | 0.00%             | 2036-12-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 12/01/2040#AE0681                                                                                                 | CUSIP: 31419AXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48259 | PA      | $48595.51      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2046#BD1371                                                                                                 | CUSIP: 3140F8QZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5006 | PA      | $4720.61       | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2046#BA7485                                                                                                 | CUSIP: 3140ECJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15108 | PA      | $14231.82      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2046#BC2969                                                                                                 | CUSIP: 3140EXJP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12033 | PA      | $11335.27      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 5% 02/25/2040                                                                                     | CUSIP: 31398GX38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       11409 | PA      | $11603.59      | 0.00%             | 2040-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+1346.38 07/15/2033                                                                        | CUSIP: 31394TW76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         309 | PA      | $302.67        | 0.00%             | 2033-07-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 0% 04/25/2036                                                                                     | CUSIP: 31395BZK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       11137 | PA      | $9363.70       | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 08/01/2046#Q42657                                                                                                 | CUSIP: 3132WF5T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      120838 | PA      | $113962.67     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 03/01/2048#BK1963                                                                                                   | CUSIP: 3140HFFD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58514 | PA      | $57118.85      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 05/01/2047#BM1906                                                                                                   | CUSIP: 3140J6DL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      112287 | PA      | $109750.17     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 6.5% 11/15/2036                                                                                   | CUSIP: 3137AAZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1092 | PA      | $1129.01       | 0.00%             | 2036-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 4% 02/01/2038#CA1238                                                                                                   | CUSIP: 3140Q8LU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46217 | PA      | $45909.18      | 0.00%             | 2038-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 4% 02/01/2038#CA1234                                                                                                   | CUSIP: 3140Q8LQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45612 | PA      | $45265.42      | 0.00%             | 2038-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+608.552 02/20/2037                                                                         | CUSIP: 38375JJL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       10520 | PA      | $947.12        | 0.00%             | 2037-02-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+633.552 04/15/2037                                                                        | CUSIP: 31397GTK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        3023 | PA      | $285.72        | 0.00%             | 2037-04-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 4% 01/01/2038#G31099                                                                                                   | CUSIP: 3132J4NR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      147184 | PA      | $146406.84     | 0.00%             | 2038-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4% 06/20/2049#BN2622                                                                                                     | CUSIP: 3617K54F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      178473 | PA      | $170196.38     | 0.00%             | 2049-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5% 07/15/2036                                                                                     | CUSIP: 31396UUY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       11007 | PA      | $11188.14      | 0.00%             | 2036-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5% 06/20/2048#BD0532                                                                                                     | CUSIP: 3617BFSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       79447 | PA      | $80573.23      | 0.00%             | 2048-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 09/01/2033#AL6168                                                                                                   | CUSIP: 3138EN2A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58444 | PA      | $59504.02      | 0.00%             | 2033-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+668.552 05/20/2037                                                                         | CUSIP: 38374XPV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       10516 | PA      | $1183.81       | 0.00%             | 2037-05-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| US DEPT VETS AFF GTD REMI PASS                                                                              | US DEPT VETS AFF GTD REMI PASS 6.5% 01/15/2029                                                                                   | CUSIP: 911760MJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |         613 | PA      | $624.86        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 7% 06/20/2032#738210                                                                                                     | CUSIP: 3620ASDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2663 | PA      | $2750.40       | 0.00%             | 2032-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 7.5% 05/20/2032#005020                                                                                                   | CUSIP: 36202FSH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1084 | PA      | $1132.34       | 0.00%             | 2032-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 10/01/2046#BE0280                                                                                                 | CUSIP: 3140FKJ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41275 | PA      | $38817.26      | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 6% 04/15/2031                                                                                     | CUSIP: 3133TSQF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |          75 | PA      | $76.56         | 0.00%             | 2031-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 11/01/2047#BM3044                                                                                                   | CUSIP: 3140J7L29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85620 | PA      | $83311.36      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                                           | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1 3.5% 06/25/2057                                                                | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      230444 | PA      | $211478.11     | 0.00%             | 2057-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FED HOME LOAN MTG CORP - GOLD 3% 01/15/2044                                                                                      | CUSIP: 3132HTZ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       39477 | PA      | $36002.02      | 0.00%             | 2044-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+611.552 06/20/2038                                                                         | CUSIP: 38375QA58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       16243 | PA      | $1800.13       | 0.00%             | 2038-06-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+36.448 05/15/2029                                                                         | CUSIP: 31395VM48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         510 | PA      | $508.12        | 0.00%             | 2029-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 4.5% 03/15/2030                                                                                   | CUSIP: 31398VDG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        2890 | PA      | $2899.17       | 0.00%             | 2030-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 04/20/2048#BA7568                                                                                                   | CUSIP: 3617ALMR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      118226 | PA      | $117545.01     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 5.5% 06/20/2038                                                                                   | CUSIP: 38375QK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       10778 | PA      | $11228.57      | 0.00%             | 2038-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+4475.588 03/15/2032                                                                       | CUSIP: 31393WDL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |          75 | PA      | $93.37         | 0.00%             | 2032-03-15      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 3.5% 05/25/2049                                                                                   | CUSIP: 3136B4NV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      155332 | PA      | $142468.58     | 0.00%             | 2049-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2032#AO7746                                                                                                 | CUSIP: 3138LYTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2318 | PA      | $2263.01       | 0.00%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 02/01/2041#A96733                                                                                                 | CUSIP: 312945PS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      129024 | PA      | $130085.37     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 05/01/2032#AO7654                                                                                                 | CUSIP: 3138LYQG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19381 | PA      | $18959.58      | 0.00%             | 2032-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 07/01/2048#Z40179                                                                                                   | CUSIP: 3132FCFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      128293 | PA      | $124335.53     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 01/01/2043#AB7575                                                                                                   | CUSIP: 31417EMZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41924 | PA      | $38829.18      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 09/01/2042#Q11285                                                                                                 | CUSIP: 3132HMNA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       51509 | PA      | $49625.49      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 10/01/2042#Q12174                                                                                                 | CUSIP: 3132HNMX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       55472 | PA      | $53383.32      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.71% 09/01/2030#AN9293                                                                                                | CUSIP: 3138LNKF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      733284 | PA      | $722734.83     | 0.00%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 5.5% 04/20/2037                                                                                   | CUSIP: 38375JYC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       10822 | PA      | $11229.58      | 0.00%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 6.25% 02/15/2032                                                                                  | CUSIP: 31339NHY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        2520 | PA      | $2599.82       | 0.00%             | 2032-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 09/01/2046#BM1169                                                                                                   | CUSIP: 3140J5JP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      192713 | PA      | $189228.89     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 04/01/2046#BC0784                                                                                                 | CUSIP: 3140EU2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4409 | PA      | $4163.26       | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 06/01/2048#BK5943                                                                                                   | CUSIP: 3140HKS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17738 | PA      | $18088.41      | 0.00%             | 2048-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 06/01/2046#BA7492                                                                                                   | CUSIP: 3140ECKE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16809 | PA      | $16360.52      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 08/01/2046#Q42656                                                                                                   | CUSIP: 3132WF5S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12676 | PA      | $12352.69      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 06/01/2046#BD1372                                                                                                   | CUSIP: 3140F8Q26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22766 | PA      | $22159.00      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 07/01/2046#Q42079                                                                                                 | CUSIP: 3132WFJZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9332 | PA      | $8801.36       | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+629.552 06/25/2037                                                                        | CUSIP: 31396WEC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       43795 | PA      | $4037.96       | 0.00%             | 2037-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3% 12/15/2032                                                                                     | CUSIP: 3137AXFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       46179 | PA      | $3079.80       | 0.00%             | 2032-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 08/01/2048#BK9292                                                                                                   | CUSIP: 3140HPKE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67167 | PA      | $68493.32      | 0.00%             | 2048-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 10/01/2032#U80074                                                                                                 | CUSIP: 3132G7CK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16302 | PA      | $15960.38      | 0.00%             | 2032-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 01/01/2046#U99134                                                                                                   | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       58489 | PA      | $57115.40      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FED HOME LOAN MTG CORP - GOLD 3% 08/15/2044                                                                                      | CUSIP: 3132J0AF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       39131 | PA      | $35794.25      | 0.00%             | 2044-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 07/20/2049#BO3159                                                                                                   | CUSIP: 3617KJQL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19235 | PA      | $19099.84      | 0.00%             | 2049-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5% 10/15/2039                                                                                     | CUSIP: 31398KFF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       26586 | PA      | $27017.96      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 07/20/2049#BO3157                                                                                                   | CUSIP: 3617KJQJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       72314 | PA      | $71807.07      | 0.00%             | 2049-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 07/20/2049#BO3147                                                                                                   | CUSIP: 3617KJP81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       67526 | PA      | $67053.08      | 0.00%             | 2049-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 07/20/2049#BO3146                                                                                                   | CUSIP: 3617KJP73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       74052 | PA      | $73532.74      | 0.00%             | 2049-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 01/01/2046#MA2519                                                                                                   | CUSIP: 31418BYR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59707 | PA      | $58022.08      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 09/01/2048#890863                                                                                                   | CUSIP: 31410LWY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      321610 | PA      | $327962.16     | 0.00%             | 2048-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+2076.235 02/15/2032                                                                       | CUSIP: 31393FVT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         323 | PA      | $372.54        | 0.00%             | 2032-02-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 6% 03/15/2031                                                                                     | CUSIP: 3133TSBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         409 | PA      | $419.50        | 0.00%             | 2031-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 6% 12/25/2032                                                                                     | CUSIP: 31392FWH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        4400 | PA      | $4554.65       | 0.00%             | 2032-12-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 6% 08/15/2033                                                                                     | CUSIP: 31394HR86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         912 | PA      | $939.57        | 0.00%             | 2033-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 11/01/2045#MA2462                                                                                                   | CUSIP: 31418BWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53785 | PA      | $52410.64      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 7.5% 02/20/2030                                                                                   | CUSIP: 31359XYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         704 | PA      | $737.15        | 0.00%             | 2030-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4.5% 05/15/2046#AS4934                                                                                                 | CUSIP: 36193PPT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13545 | PA      | $13504.67      | 0.00%             | 2046-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.27% 12/01/2028#AN4004                                                                                                | CUSIP: 3138LGNW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      241298 | PA      | $238060.33     | 0.00%             | 2028-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 01/01/2049#BK1176                                                                                                   | CUSIP: 3140HEJW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39094 | PA      | $39816.92      | 0.00%             | 2049-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                                           | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1 3% 02/25/2059                                                                  | CUSIP: 35563PMM8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1256223 | PA      | $974202.82     | 0.00%             | 2059-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 07/01/2045#G61462                                                                                                   | CUSIP: 31335BTT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      215659 | PA      | $211975.23     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 0% 06/25/2035                                                                                     | CUSIP: 31394EBS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         469 | PA      | $349.75        | 0.00%             | 2035-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 02/01/2034#G60154                                                                                                   | CUSIP: 31335AE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      115217 | PA      | $117420.20     | 0.00%             | 2034-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 07/01/2035#G60214                                                                                                   | CUSIP: 31335AGX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      114239 | PA      | $116588.82     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 09/01/2046#Q43241                                                                                                 | CUSIP: 3132WGS73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      102553 | PA      | $96558.12      | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+738.552 12/25/2031                                                                        | CUSIP: 31392BGE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2512 | PA      | $195.26        | 0.00%             | 2031-12-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 03/01/2048#BJ5803                                                                                                   | CUSIP: 3140H7NV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67535 | PA      | $65376.36      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FED HOME LOAN MTG CORP - GOLD 0% 08/01/2027                                                                                      | CUSIP: 31351BFA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         356 | PA      | $344.01        | 0.00%             | 2027-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2046#MA2658                                                                                                 | CUSIP: 31418B5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51919 | PA      | $48972.77      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.14% 08/01/2036#BS2829                                                                                                | CUSIP: 3140LDEB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      355301 | PA      | $291237.02     | 0.00%             | 2036-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3.5% 11/01/2034#CA4723                                                                                                 | CUSIP: 3140QCG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95949 | PA      | $94403.32      | 0.00%             | 2034-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 0% 06/15/2031                                                                                     | CUSIP: 3133TUBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         519 | PA      | $465.58        | 0.00%             | 2031-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 07/01/2048#BK4130                                                                                                 | CUSIP: 3140HHSU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1323 | PA      | $1317.86       | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 03/01/2046#Q39412                                                                                                 | CUSIP: 3132QWN62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19280 | PA      | $18207.15      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 12/01/2045#Q37784                                                                                                 | CUSIP: 3132QUUJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       42718 | PA      | $40340.67      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 05/01/2046#Q40797                                                                                                 | CUSIP: 3132WD3F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       84081 | PA      | $79297.15      | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 06/01/2046#Q40922                                                                                                 | CUSIP: 3132WEAY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22775 | PA      | $21478.88      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 07/01/2032#AO8038                                                                                                 | CUSIP: 3138LY4Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19351 | PA      | $18893.84      | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 6% 07/20/2036                                                                                     | CUSIP: 38374DFX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |        2157 | PA      | $2255.14       | 0.00%             | 2036-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 09/01/2048#CA4662                                                                                                 | CUSIP: 3140QCFC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      133985 | PA      | $124749.46     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2045#MA2482                                                                                                   | CUSIP: 31418BXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56911 | PA      | $55305.51      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 10/01/2048#BN0861                                                                                                   | CUSIP: 3140JG5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23878 | PA      | $24385.77      | 0.00%             | 2048-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.66% 08/01/2029#BL3509                                                                                                | CUSIP: 3140HU3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      640896 | PA      | $614543.18     | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 6% 08/15/2036#783867                                                                                                   | CUSIP: 3622A2JL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33337 | PA      | $34768.27      | 0.00%             | 2036-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 07/01/2046#MA2690                                                                                                 | CUSIP: 31418B7C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100695 | PA      | $94981.11      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 05/01/2049#BK8748                                                                                                 | CUSIP: 3140HNWJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      114023 | PA      | $113235.88     | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 07/01/2046#Q41602                                                                                                 | CUSIP: 3132WEX80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10527 | PA      | $9928.50       | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.835% 08/01/2029#BL3491                                                                                               | CUSIP: 3140HU2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      465159 | PA      | $445359.46     | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 07/01/2049#BO2428                                                                                                 | CUSIP: 3140JWVW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       71594 | PA      | $67061.26      | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 4% 08/15/2046#AT7652                                                                                                   | CUSIP: 36194GQD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       55103 | PA      | $53125.70      | 0.00%             | 2046-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+1134.965 06/16/2033                                                                        | CUSIP: 38373QS44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |         601 | PA      | $598.23        | 0.00%             | 2033-06-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 03/01/2048#BM3665                                                                                                   | CUSIP: 3140J8CB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      337110 | PA      | $328334.66     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 01/01/2048#BJ8238                                                                                                   | CUSIP: 3140HAEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      134916 | PA      | $130602.68     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 01/01/2048#BJ7311                                                                                                   | CUSIP: 3140H9DR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      386980 | PA      | $374608.64     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 01/01/2048#BJ8265                                                                                                   | CUSIP: 3140HAFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67039 | PA      | $64979.40      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 02/01/2048#BK1581                                                                                                   | CUSIP: 3140HEXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14997 | PA      | $14555.40      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 01/01/2048#BK1008                                                                                                   | CUSIP: 3140HEDN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27723 | PA      | $26914.43      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 04/01/2052#RA7192                                                                                                 | CUSIP: 3133KN7D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      623838 | PA      | $577327.58     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 12/01/2051#RA6459                                                                                                 | CUSIP: 3133KNE82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      348015 | PA      | $296406.07     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5% 06/20/2049#BM9683                                                                                                     | CUSIP: 3617K1XL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      109773 | PA      | $111192.61     | 0.00%             | 2049-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.09% 05/01/2032#BS5452                                                                                                | CUSIP: 3140LGBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      693906 | PA      | $652669.53     | 0.00%             | 2032-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 4% 02/01/2038#BM3566                                                                                                   | CUSIP: 3140J76C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      120062 | PA      | $119299.90     | 0.00%             | 2038-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 6% 01/25/2034                                                                                     | CUSIP: 31393UVK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      110201 | PA      | $115461.31     | 0.00%             | 2034-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6.5% 10/20/2039#005072                                                                                                   | CUSIP: 36202FT55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1052 | PA      | $1115.84       | 0.00%             | 2039-10-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 04/01/2048#BE2789                                                                                                   | CUSIP: 3140FNC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24331 | PA      | $23553.63      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+622.552 12/15/2039                                                                        | CUSIP: 31398LNT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        4399 | PA      | $267.68        | 0.00%             | 2039-12-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3.5% 04/15/2027                                                                                   | CUSIP: 3137APLG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         439 | PA      | $4.00          | 0.00%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 3.5% 05/25/2027                                                                                   | CUSIP: 3136A5L87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2635 | PA      | $37.63         | 0.00%             | 2027-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 07/01/2048#BK6562                                                                                                 | CUSIP: 3140HLJG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31728 | PA      | $31598.12      | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 03/01/2048#BJ5789                                                                                                 | CUSIP: 3140H7NF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25832 | PA      | $25734.09      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 07/01/2048#BK6589                                                                                                 | CUSIP: 3140HLKB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34353 | PA      | $34212.85      | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 02/01/2043#AR6380                                                                                                   | CUSIP: 3138W4CS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56739 | PA      | $52979.73      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 06/20/2049#BM9677                                                                                                   | CUSIP: 3617K1XE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      110949 | PA      | $110171.31     | 0.00%             | 2049-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+838.552 11/25/2030                                                                        | CUSIP: 313920LZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         988 | PA      | $89.55         | 0.00%             | 2030-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 3% 07/25/2045                                                                                     | CUSIP: 3136AR6G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      168600 | PA      | $161247.93     | 0.00%             | 2045-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.81% 05/01/2026#AN1221                                                                                                | CUSIP: 3138LDLB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      117021 | PA      | $116171.28     | 0.00%             | 2026-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2047#BM3499                                                                                                   | CUSIP: 3140J73H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      841542 | PA      | $815427.83     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 09/01/2047#BM3500                                                                                                   | CUSIP: 3140J73J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95878 | PA      | $92903.10      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 7% 08/20/2038#005034                                                                                                     | CUSIP: 36202FSX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         246 | PA      | $250.36        | 0.00%             | 2038-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.84% 10/01/2027#BL0497                                                                                                | CUSIP: 3140HRRT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      131512 | PA      | $131347.12     | 0.00%             | 2027-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF 8% 07/18/2027                                                                                         | CUSIP: 31359PW77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         107 | PA      | $109.17        | 0.00%             | 2027-07-18      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 12/01/2042#G07239                                                                                                   | CUSIP: 3128M9LU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       57673 | PA      | $53813.24      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                                              | FHLMC MFD HSG COP GTD (FREDMAC 6.5% 01/15/2028                                                                                   | CUSIP: 3133TD6D3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |         332 | PA      | $337.42        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FREDDIE MAC 6.5% 01/15/2028                                                                                                      | CUSIP: 3133TCLJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |          43 | PA      | $43.45         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 07/01/2049#BO0592                                                                                                   | CUSIP: 3140JUUS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15640 | PA      | $15144.65      | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+598.552 12/20/2034                                                                         | CUSIP: 38374KGQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |        9100 | PA      | $676.61        | 0.00%             | 2034-12-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 08/01/2048#BN0133                                                                                                   | CUSIP: 3140JGEF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42033 | PA      | $40649.82      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.42% 05/01/2030#BS5424                                                                                                | CUSIP: 3140LGA28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      376130 | PA      | $367444.73     | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+613.552 01/25/2040                                                                        | CUSIP: 31398GKG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        3094 | PA      | $296.19        | 0.00%             | 2040-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 6.5% 03/15/2033                                                                                   | CUSIP: 31393MS28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        2813 | PA      | $422.33        | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+639.552 05/20/2037                                                                         | CUSIP: 38375J4W2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |        9981 | PA      | $932.14        | 0.00%             | 2037-05-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5.5% 06/15/2037                                                                                   | CUSIP: 31398KP61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        6900 | PA      | $7156.84       | 0.00%             | 2037-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 06/01/2042#AL2059                                                                                                   | CUSIP: 3138EJJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      174418 | PA      | $171958.31     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 6.5% 01/25/2032                                                                                   | CUSIP: 31392BQR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        4591 | PA      | $4773.22       | 0.00%             | 2032-01-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 4.5% 11/25/2040                                                                                   | CUSIP: 31398SHA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       36724 | PA      | $34759.91      | 0.00%             | 2040-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 07/01/2032#AP0645                                                                                                 | CUSIP: 3138M3WF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23241 | PA      | $22757.36      | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 4% 01/01/2032#D98914                                                                                                   | CUSIP: 3128E53X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26639 | PA      | $26564.28      | 0.00%             | 2032-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 07/01/2032#AP0682                                                                                                 | CUSIP: 3138M3XL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23747 | PA      | $23210.51      | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 09/01/2042#U90230                                                                                                 | CUSIP: 3132H3HF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15915 | PA      | $15969.36      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 6% 04/20/2036#737987                                                                                                     | CUSIP: 3620AR2U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         306 | PA      | $310.25        | 0.00%             | 2036-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 7% 12/25/2041                                                                                     | CUSIP: 31392B6U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        4336 | PA      | $4501.45       | 0.00%             | 2041-12-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF 1.594% 11/25/2028                                                                                     | CUSIP: 3136BBHB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      125167 | PA      | $118074.45     | 0.00%             | 2028-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+638.552 06/20/2036                                                                         | CUSIP: 38374NEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |        7104 | PA      | $685.51        | 0.00%             | 2036-06-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 09/01/2048#BN0234                                                                                                   | CUSIP: 3140JGHL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31786 | PA      | $32414.16      | 0.00%             | 2048-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 09/01/2043#U92021                                                                                                   | CUSIP: 3132HCD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23087 | PA      | $23580.44      | 0.00%             | 2043-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 6.5% 06/15/2031                                                                                   | CUSIP: 3133TTTB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1086 | PA      | $1135.80       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+61.448 09/25/2034                                                                         | CUSIP: 31394AB21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         487 | PA      | $487.22        | 0.00%             | 2034-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 06/01/2046#BC9368                                                                                                   | CUSIP: 3140F5MS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68973 | PA      | $67178.01      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 6% 03/20/2035#738049                                                                                                     | CUSIP: 3620AR5J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2696 | PA      | $2811.08       | 0.00%             | 2035-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 6% 11/20/2032#738062                                                                                                     | CUSIP: 3620AR5X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3598 | PA      | $3720.50       | 0.00%             | 2032-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.62% 05/01/2026#AN1503                                                                                                | CUSIP: 3138LDU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      143496 | PA      | $142344.31     | 0.00%             | 2026-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                                                   | FEDERAL NATL MTG ASSN STRIPPED SOFR30A+778.552 07/25/2037                                                                        | CUSIP: 3136FFGZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        1649 | PA      | $252.58        | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 4% 05/15/2048                                                                                     | CUSIP: 3137FG4P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      282468 | PA      | $272318.26     | 0.00%             | 2048-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 01/01/2048#BH6689                                                                                                   | CUSIP: 3140GVNF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23236 | PA      | $22492.94      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5.5% 11/15/2033                                                                                   | CUSIP: 31394LX98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        2228 | PA      | $2290.40       | 0.00%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 6% 10/20/2033#738059                                                                                                     | CUSIP: 3620AR5U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2522 | PA      | $2621.36       | 0.00%             | 2033-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 05/01/2056#BF0090                                                                                                 | CUSIP: 3140FXC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      518447 | PA      | $480426.07     | 0.00%             | 2056-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+9122.171 04/25/2038                                                                       | CUSIP: 31398TJZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        9210 | PA      | $1739.27       | 0.00%             | 2038-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT SOFR30A+ 06/20/2071                                                                               | CUSIP: 38380Q3N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      672565 | PA      | $679831.02     | 0.00%             | 2071-06-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 02/01/2048#BJ4617                                                                                                   | CUSIP: 3140H6DX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       81511 | PA      | $79567.20      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF 6.5% 09/18/2027                                                                                       | CUSIP: 31359QLQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |           9 | PA      | $8.67          | 0.00%             | 2027-09-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 09/01/2045#BA2343                                                                                                   | CUSIP: 3140E6S94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57182 | PA      | $55770.24      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4% 06/20/2046#AS8105                                                                                                     | CUSIP: 36193UAE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23199 | PA      | $22293.48      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 01/01/2050#RA2008                                                                                                   | CUSIP: 3133KHGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      189437 | PA      | $183262.88     | 0.00%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.78% 04/01/2026#AN1222                                                                                                | CUSIP: 3138LDLC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      204787 | PA      | $203459.94     | 0.00%             | 2026-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 05/01/2046#MA2631                                                                                                   | CUSIP: 31418B4R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      152634 | PA      | $148326.63     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2047#BJ5254                                                                                                   | CUSIP: 3140H6ZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69772 | PA      | $67606.52      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.97% 04/01/2028#AN1449                                                                                                | CUSIP: 3138LDTF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      172541 | PA      | $169080.08     | 0.00%             | 2028-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4% 01/20/2048#BD6195                                                                                                     | CUSIP: 3617BM3C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       91222 | PA      | $87434.52      | 0.00%             | 2048-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+798.552 06/15/2029                                                                        | CUSIP: 31393FAM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1751 | PA      | $101.87        | 0.00%             | 2029-06-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM TSFR1M+111.448 08/20/2063                                                                           | CUSIP: 38375B6F4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        4505 | PA      | $4547.90       | 0.00%             | 2063-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5.3% 01/15/2033                                                                                   | CUSIP: 31393JLU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1340 | PA      | $1366.13       | 0.00%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 6% 02/25/2044                                                                                     | CUSIP: 31393XGH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        1748 | PA      | $1786.50       | 0.00%             | 2044-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.84% 11/01/2031#BL3368                                                                                                | CUSIP: 3140HUW69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      130917 | PA      | $121509.20     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 04/01/2048#G61565                                                                                                 | CUSIP: 31335BW28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      322200 | PA      | $322964.79     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 01/01/2052#FS0196                                                                                                 | CUSIP: 3140XFGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      814827 | PA      | $693993.04     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 5.25% 06/20/2038                                                                                  | CUSIP: 38375XGS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       11405 | PA      | $11730.91      | 0.00%             | 2038-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.6% 09/01/2027#BL3525                                                                                                 | CUSIP: 3140HU4K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      307753 | PA      | $300736.15     | 0.00%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2.5% 03/25/2028                                                                                   | CUSIP: 3136ACE56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       20880 | PA      | $360.40        | 0.00%             | 2028-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.81% 12/01/2028#BL1040                                                                                                | CUSIP: 3140HSEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      468084 | PA      | $468484.49     | 0.00%             | 2028-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.51% 10/01/2030#BS5171                                                                                                | CUSIP: 3140LFW91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      737087 | PA      | $688136.24     | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.73% 07/01/2028#AN2005                                                                                                | CUSIP: 3138LEGP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      278949 | PA      | $271173.97     | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.654% 06/25/2029                                                                                 | CUSIP: 3137FNAY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1462765 | PA      | $1399956.50    | 0.00%             | 2029-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 4% 01/01/2038#BM3254                                                                                                   | CUSIP: 3140J7TL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      114501 | PA      | $113739.00     | 0.00%             | 2038-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 08/01/2032#AP1314                                                                                                 | CUSIP: 3138M4N81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29711 | PA      | $29009.33      | 0.00%             | 2032-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 5.5% 03/20/2033                                                                                   | CUSIP: 38373SM61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |        4984 | PA      | $5126.71       | 0.00%             | 2033-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF 6% 04/25/2033                                                                                         | CUSIP: 31393APN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        3228 | PA      | $3325.44       | 0.00%             | 2033-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.87% 08/01/2031#AN2308                                                                                                | CUSIP: 3138LER60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      216519 | PA      | $205512.70     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 01/01/2042#AX5292                                                                                                   | CUSIP: 3138Y63A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      230478 | PA      | $236096.19     | 0.00%             | 2042-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 03/01/2048#FM0035                                                                                                 | CUSIP: 3140X3BD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      144112 | PA      | $135754.09     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2045#MA2346                                                                                                 | CUSIP: 31418BTC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6828 | PA      | $6486.21       | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM 2.5% 01/20/2065                                                                                     | CUSIP: 38375UUB4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        5081 | PA      | $4977.61       | 0.00%             | 2065-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.16% 08/01/2033#BL3453                                                                                                | CUSIP: 3140HUZT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      429760 | PA      | $396678.62     | 0.00%             | 2033-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 5% 03/16/2034                                                                                     | CUSIP: 38374FTH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       21101 | PA      | $21491.17      | 0.00%             | 2034-03-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 10/01/2032#AQ1534                                                                                                 | CUSIP: 3138MGV44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7161 | PA      | $6999.86       | 0.00%             | 2032-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 11/01/2032#AQ1607                                                                                                 | CUSIP: 3138MGYD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6002 | PA      | $5862.36       | 0.00%             | 2032-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 03/01/2033#AR7961                                                                                                 | CUSIP: 3138W5Z35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7180 | PA      | $7008.95       | 0.00%             | 2033-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.75% 06/20/2046#AS8104                                                                                                  | CUSIP: 36193UAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28618 | PA      | $27149.61      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 7% 11/25/2043                                                                                     | CUSIP: 31393X7C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2164 | PA      | $2216.45       | 0.00%             | 2043-11-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIE MAE SOFR30A+633.552 12/25/2037                                                                                            | CUSIP: 31396X2N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       20867 | PA      | $2014.82       | 0.00%             | 2037-12-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+608.552 07/25/2038                                                                        | CUSIP: 31397LX61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        8614 | PA      | $858.00        | 0.00%             | 2038-07-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 3% 01/25/2033                                                                                     | CUSIP: 3136ABMM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       47998 | PA      | $3240.72       | 0.00%             | 2033-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+1397.466 03/17/2032                                                                       | CUSIP: 31392CGR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |          14 | PA      | $13.71         | 0.00%             | 2032-03-17      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+613.552 08/15/2036                                                                        | CUSIP: 31397APP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        2384 | PA      | $181.47        | 0.00%             | 2036-08-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 3% 01/01/2042#FS0795                                                                                                   | CUSIP: 3140XF3D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      288770 | PA      | $271428.21     | 0.00%             | 2042-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 07/01/2046#BD2956                                                                                                 | CUSIP: 3140FAJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      121294 | PA      | $114260.05     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.61% 06/01/2026#AN1497                                                                                                | CUSIP: 3138LDUX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      296122 | PA      | $293467.30     | 0.00%             | 2026-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.75% 07/20/2046#AS8107                                                                                                  | CUSIP: 36193UAG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51810 | PA      | $49152.63      | 0.00%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 07/20/2046#AS8106                                                                                                   | CUSIP: 36193UAF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       45129 | PA      | $42104.81      | 0.00%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 4.5% 12/15/2039                                                                                   | CUSIP: 31398LLE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        2276 | PA      | $2276.26       | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+663.552 06/20/2037                                                                         | CUSIP: 38376JDC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |        3106 | PA      | $253.88        | 0.00%             | 2037-06-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 06/01/2044#AL6848                                                                                                   | CUSIP: 3138EPTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21130 | PA      | $21648.64      | 0.00%             | 2044-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.13% 03/01/2027#AN4917                                                                                                | CUSIP: 3138LHPB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      369394 | PA      | $365452.90     | 0.00%             | 2027-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 02/01/2034#BS4824                                                                                                 | CUSIP: 3140LFLE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      742207 | PA      | $651374.82     | 0.00%             | 2034-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 09/01/2046#Q43237                                                                                                   | CUSIP: 3132WGS32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24590 | PA      | $23931.51      | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+588.552 03/25/2038                                                                        | CUSIP: 31397MB30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        4426 | PA      | $161.84        | 0.00%             | 2038-03-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.17% 01/01/2029#AN4154                                                                                                | CUSIP: 3138LGTL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      492542 | PA      | $481947.67     | 0.00%             | 2029-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 4.5% 05/15/2040                                                                                   | CUSIP: 3137A05F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       14875 | PA      | $14913.48      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.88% 12/01/2028#BL0907                                                                                                | CUSIP: 3140HSAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8484 | PA      | $8508.08       | 0.00%             | 2028-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 6% 04/15/2029                                                                                     | CUSIP: 3133TKCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |          87 | PA      | $88.46         | 0.00%             | 2029-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.9% 05/01/2029#AN1872                                                                                                 | CUSIP: 3138LECJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97550 | PA      | $94104.21      | 0.00%             | 2029-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GMACM MTG LN TR                                                                                             | GMACM MTG LN TR 4.75% 01/25/2019                                                                                                 | CUSIP: 36185NM72<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         319 | PA      | $175.35        | 0.00%             | 2019-01-25      | Fixed         | 0.05%                 | No            |                  3 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP                                                                                | BANC OF AMERICA FUNDING CORP 5.5% 08/25/2035                                                                                     | CUSIP: 05946XF57<br>LEI: 54930034NF48M07EOO61 | Long             | ABS-CBDO         | CORP              | US        |       13240 | PA      | $13004.68      | 0.00%             | 2035-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INDYMAC MBS INC                                                                                             | INDYMAC MBS INC 3.75% 10/25/2018                                                                                                 | CUSIP: 45660NRL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         232 | PA      | $230.96        | 0.00%             | 2018-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTG TR                                                                                            | JP MORGAN MTG TR 5.5% 12/25/2019                                                                                                 | CUSIP: 466247JX2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         483 | PA      | $476.13        | 0.00%             | 2019-12-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP                                                                                            | GS MTG SECS CORP TSFR1M+61.448 06/25/2035                                                                                        | CUSIP: 36242D7K3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         203 | PA      | $196.26        | 0.00%             | 2035-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP                                                                                            | GS MTG SECS CORP 6% 09/25/2034                                                                                                   | CUSIP: 36242DCH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         374 | PA      | $380.30        | 0.00%             | 2034-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CWALT INC                                                                                                   | CWALT INC 5.5% 07/25/2035                                                                                                        | CUSIP: 12667GLC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        3258 | PA      | $2644.89       | 0.00%             | 2035-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE ISSUER 2019-A LLC                                                                       | ELARA HGV TIMESHARE ISSUER 2019-A LLC 3.45% 01/25/2034 144A                                                                      | CUSIP: 28416TAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       14505 | PA      | $14398.85      | 0.00%             | 2034-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MTG SECS CORP                                                                    | CREDIT SUISS FB MTG SECS CORP 6% 11/25/2035                                                                                      | CUSIP: 225470FN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        5851 | PA      | $1356.58       | 0.00%             | 2035-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CWALT INC                                                                                                   | CWALT INC 5.5% 02/25/2036                                                                                                        | CUSIP: 12668BFL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        8260 | PA      | $4695.68       | 0.00%             | 2036-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCRED LNS MTG PAS                                                                              | RESIDENTIAL ACCRED LNS MTG PAS 5.75% 04/25/2035                                                                                  | CUSIP: 76110H3A5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       15968 | PA      | $14619.77      | 0.00%             | 2035-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTG TR                                                                                            | JP MORGAN MTG TR 5.5% 09/25/2034                                                                                                 | CUSIP: 466247EY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         474 | PA      | $464.15        | 0.00%             | 2034-09-25      | Fixed         | 0.06%                 | No            |                  3 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MTG SECS CORP                                                                    | CREDIT SUISS FB MTG SECS CORP 5.5% 11/25/2035                                                                                    | CUSIP: 225470FA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        5007 | PA      | $1722.66       | 0.00%             | 2035-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CWMBS INC PASS THRU CTFS                                                                                    | CWMBS INC PASS THRU CTFS 5.75% 04/25/2034                                                                                        | CUSIP: 12669FPZ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1503 | PA      | $1463.36       | 0.00%             | 2034-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUT MTG SECS CORP                                                                                | WASHINGTON MUT MTG SECS CORP 7% 03/25/2034                                                                                       | CUSIP: 939336P80<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1969 | PA      | $1991.54       | 0.00%             | 2034-03-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CWMBS INC PASS THRU CTFS                                                                                    | CWMBS INC PASS THRU CTFS 5.25% 05/25/2034                                                                                        | CUSIP: 12669FWD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1640 | PA      | $1601.92       | 0.00%             | 2034-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR                                                                                                | IMPAC CMB TR STEP 03/25/2035                                                                                                     | CUSIP: 45254NLN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1771 | PA      | $1721.41       | 0.00%             | 2035-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR                                                                                         | CITIGROUP MTG LN TR TSFR1M+44.448 12/25/2034                                                                                     | CUSIP: 17307GMC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         426 | PA      | $401.88        | 0.00%             | 2034-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTG TR                                                                                            | JP MORGAN MTG TR 6% 11/25/2034                                                                                                   | CUSIP: 466247JV6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        4790 | PA      | $4539.69       | 0.00%             | 2034-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAP I INCTR                                                                              | MORGAN STANLEY ABS CAP I INCTR STEP 03/25/2033                                                                                   | CUSIP: 61746RCF6<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |         378 | PA      | $363.20        | 0.00%             | 2033-03-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY LN TR                                                                                    | CENTEX HOME EQUITY LN TR 6.36% 07/25/2032                                                                                        | CUSIP: 152314DQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         275 | PA      | $265.49        | 0.00%             | 2032-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SIERRA TIMESHARE 2022-1 RECEIVABLES FUNDING LLC                                                             | SIERRA TIMESHARE 2022-1 RECEIVABLES FUNDING LLC 6% 10/20/2038 144A                                                               | CUSIP: 82652TAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       83291 | PA      | $83090.65      | 0.00%             | 2038-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GE CAP MTG SVCS INC                                                                                         | GE CAP MTG SVCS INC 6.7% 04/25/2029                                                                                              | CUSIP: 36157RD77<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1779 | PA      | $1785.79       | 0.00%             | 2029-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP                                                                                 | GS MORTGAGE SECURITIES CORP 5.5% 05/25/2034                                                                                      | CUSIP: 36228F2K1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         874 | PA      | $867.92        | 0.00%             | 2034-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 LP                                                                                                 | CARS-DB4 LP 4.95% 02/15/2050 144A                                                                                                | CUSIP: 12510HAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      292260 | PA      | $268091.62     | 0.00%             | 2050-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 LP                                                                                                 | CARS-DB4 LP 4.52% 02/15/2050 144A                                                                                                | CUSIP: 12510HAH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      262127 | PA      | $256034.75     | 0.00%             | 2050-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 LP                                                                                                 | CARS-DB4 LP 3.81% 02/15/2050 144A                                                                                                | CUSIP: 12510HAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      135864 | PA      | $129036.97     | 0.00%             | 2050-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PARK G                                                                                            | MRCD 2019-PARK G 2.71752% 12/15/2036 144A                                                                                        | CUSIP: 55348UAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1228000 | PA      | $746513.48     | 0.00%             | 2036-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERN FIN 2020-2 TR                                                                                | COREVEST AMERN FIN 2020-2 TR 3.376% 05/15/2052 144A                                                                              | CUSIP: 21872VAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        2244 | PA      | $2237.51       | 0.00%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST 2021-SFR8                                                                        | PROGRESS RESIDENTIAL TRUST 2021-SFR8 2.382% 10/17/2038 144A                                                                      | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      722000 | PA      | $708029.01     | 0.00%             | 2038-10-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR1 TR                                                                           | PROGRESS RESIDENTIAL 2022-SFR1 TR 3.93% 02/17/2041 144A                                                                          | CUSIP: 74333YAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      479000 | PA      | $462801.70     | 0.00%             | 2041-02-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2022-SFR2 TRUST                                                                              | FIRSTKEY HOMES 2022-SFR2 TRUST 4.5% 07/17/2039 144A                                                                              | CUSIP: 33767PAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      497000 | PA      | $486242.73     | 0.00%             | 2039-07-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-MFM1                                                                                                | BX 2021-MFM1 E TSFR1M+236.448 01/15/2034 144A                                                                                    | CUSIP: 05608VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66555 | PA      | $66515.31      | 0.00%             | 2034-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR3 TR                                                                           | PROGRESS RESIDENTIAL 2022-SFR3 TR 5.6% 04/17/2039 144A                                                                           | CUSIP: 74331UAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      588000 | PA      | $587385.19     | 0.00%             | 2039-04-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR3 TR                                                                           | PROGRESS RESIDENTIAL 2021-SFR3 TR 2.688% 05/17/2026 144A                                                                         | CUSIP: 74333VAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      281728 | PA      | $278293.00     | 0.00%             | 2026-05-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BUSINESS JET SECURITIES 2022-1 LLC                                                                          | BUSINESS JET SECURITIES 2022-1 LLC 6.413% 06/15/2037 144A                                                                        | CUSIP: 12327AAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200018 | PA      | $199870.26     | 0.00%             | 2037-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AQUA FIN TR 2020-A                                                                                          | AQUA FIN TR 2020-A 7.15% 07/17/2046 144A                                                                                         | CUSIP: 038413AD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1053175 | PA      | $1064684.71    | 0.00%             | 2046-07-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST 2021-B                                                                       | MARINER FINANCE ISSUANCE TRUST 2021-B 4.68% 11/20/2036 144A                                                                      | CUSIP: 56847JAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3000000 | PA      | $2797839.60    | 0.01%             | 2036-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST 2021-A                                                                       | MARINER FINANCE ISSUANCE TRUST 2021-A 5.4% 03/20/2036 144A                                                                       | CUSIP: 56848DAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4500000 | PA      | $4361076.00    | 0.01%             | 2036-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ACC TRUST 2022-1                                                                                            | ACC TRUST 2022-1 3.24% 10/20/2025 144A                                                                                           | CUSIP: 00091HAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      245761 | PA      | $44182.97      | 0.00%             | 2025-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 07/01/2045#U93026                                                                                                 | CUSIP: 3132QDA35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12876 | PA      | $12337.56      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 05/01/2046#U93155                                                                                                 | CUSIP: 3132QDE49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11865 | PA      | $11204.99      | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 06/01/2046#U93158                                                                                                 | CUSIP: 3132QDE72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8895 | PA      | $8400.48       | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 07/01/2046#U93167                                                                                                 | CUSIP: 3132QDFG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15099 | PA      | $14258.46      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 07/01/2046#U93172                                                                                                 | CUSIP: 3132QDFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13999 | PA      | $13220.06      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.07% 05/01/2032#BL6302                                                                                                | CUSIP: 3140HYAC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      443451 | PA      | $390403.79     | 0.00%             | 2032-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.82% 04/01/2032#BL6367                                                                                                | CUSIP: 3140HYCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1000788 | PA      | $879446.02     | 0.00%             | 2032-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4% 12/20/2047#BB8791                                                                                                     | CUSIP: 3617B0XU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       90531 | PA      | $86772.69      | 0.00%             | 2047-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 03/20/2048#BE9507                                                                                                   | CUSIP: 3617G4R46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       48142 | PA      | $47865.14      | 0.00%             | 2048-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 03/20/2048#BG2382                                                                                                   | CUSIP: 3617GLUF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       36060 | PA      | $35852.71      | 0.00%             | 2048-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 07/20/2048#BG3833                                                                                                   | CUSIP: 3617GNHJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      181235 | PA      | $180021.70     | 0.00%             | 2048-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 10/20/2048#BH9109                                                                                                   | CUSIP: 3617H7DN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      102468 | PA      | $101781.60     | 0.00%             | 2048-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 07/20/2049#BJ1310                                                                                                   | CUSIP: 3617HNN39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      126686 | PA      | $125797.70     | 0.00%             | 2049-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5% 12/20/2048#BJ7085                                                                                                     | CUSIP: 3617HU2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       67558 | PA      | $68515.95      | 0.00%             | 2048-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 02/20/2049#BK7188                                                                                                   | CUSIP: 3617J76Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       55323 | PA      | $54952.76      | 0.00%             | 2049-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5% 02/20/2049#BK7189                                                                                                     | CUSIP: 3617J77A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       65720 | PA      | $66651.94      | 0.00%             | 2049-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA ARM 0% 04/20/2072#BL8377                                                                                                    | CUSIP: 3617JMJW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      602986 | PA      | $633716.00     | 0.00%             | 2072-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA ARM 0% 03/20/2072#CK2792                                                                                                    | CUSIP: 3617XXC56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      882761 | PA      | $926761.84     | 0.00%             | 2072-03-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA ARM 0% 03/20/2072#CK2795                                                                                                    | CUSIP: 3617XXC80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1382139 | PA      | $1446701.84    | 0.00%             | 2072-03-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA ARM 0% 02/20/2072#CK2783                                                                                                    | CUSIP: 3617XXCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1054434 | PA      | $1103417.36    | 0.00%             | 2072-02-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA ARM 0% 03/20/2072#CK2802                                                                                                    | CUSIP: 3617XXDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      583498 | PA      | $609988.37     | 0.00%             | 2072-03-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA ARM 0% 04/20/2072#CK2804                                                                                                    | CUSIP: 3617XXDH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      973742 | PA      | $1017833.18    | 0.00%             | 2072-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA ARM 0% 03/20/2072#CL4592                                                                                                    | CUSIP: 3617YCC51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      590217 | PA      | $614537.44     | 0.00%             | 2072-03-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 03/20/2052#CL5064                                                                                                   | CUSIP: 3617YCTV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      368354 | PA      | $334250.21     | 0.00%             | 2052-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4% 04/20/2052#CL5137                                                                                                     | CUSIP: 3617YCV68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      242159 | PA      | $230516.77     | 0.00%             | 2052-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA ARM 0% 03/20/2072#CL8122                                                                                                    | CUSIP: 3617YGAX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      976738 | PA      | $1026012.37    | 0.00%             | 2072-03-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA ARM 0% 03/20/2072#CM9934                                                                                                    | CUSIP: 3617YWBB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      394944 | PA      | $413038.62     | 0.00%             | 2072-03-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA ARM 0% 03/20/2072#CM9946                                                                                                    | CUSIP: 3617YWBP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      360486 | PA      | $377337.43     | 0.00%             | 2072-03-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                                            | ALTICE USA TERM B6 1LN 01/18/2028                                                                                                | CUSIP: 64072UAM4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |       97250 | PA      | $96937.83      | 0.00%             | 2028-01-18      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4% 12/20/2052#MA8488                                                                                                     | CUSIP: 36179XND4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1211814 | PA      | $1160085.74    | 0.00%             | 2052-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4% 11/20/2052#MA8426                                                                                                     | CUSIP: 36179XLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2417797 | PA      | $2316099.66    | 0.01%             | 2052-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARNOW AUTO RECEIVABLES TRUST 2022-1                                                                        | CARNOW AUTO RECEIVABLES TRUST 2022-1 8.29% 08/15/2028 144A                                                                       | CUSIP: 14367LAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      351000 | PA      | $86275.17      | 0.00%             | 2028-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST                                                                                      | LENDMARK FUNDING TRUST 5.05% 11/20/2031 144A                                                                                     | CUSIP: 52607MAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3000000 | PA      | $2849646.00    | 0.01%             | 2031-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2021-R1                                                                                      | TOWD PT MTG TR 2021-R1 3.1768% 11/30/2060 144A                                                                                   | CUSIP: 89179TAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      877659 | PA      | $771196.77     | 0.00%             | 2060-11-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FREMF 2017-K63 MORTGAGE TRUST                                                                               | FREMF 2017-K63 MORTGAGE TRUST VAR 02/25/2050 144A                                                                                | CUSIP: 30300HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      146276 | PA      | $144387.31     | 0.00%             | 2050-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS AMER 2019-2 TR                                                                                | HOME PARTNERS AMER 2019-2 TR 3.32% 10/19/2039 144A                                                                               | CUSIP: 43732TAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      269944 | PA      | $261587.20     | 0.00%             | 2039-10-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMSR 2022-SFR1 TRUST                                                                                        | AMSR 2022-SFR1 TRUST 6.021% 03/17/2039 144A                                                                                      | CUSIP: 00179WAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      373005 | PA      | $371382.43     | 0.00%             | 2039-03-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FREMF 2018-KW07 MTG TR                                                                                      | FREMF 2018-KW07 X2B MTG TR 0.1% 10/25/2031 144A                                                                                  | CUSIP: 30297NAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      495949 | PA      | $1162.11       | 0.00%             | 2031-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF 2018-KW07 MTG TR                                                                                      | FREMF 2018-KW07 X2A MTG TR 0.1% 10/25/2031 144A                                                                                  | CUSIP: 30297NAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2930537 | PA      | $6141.82       | 0.00%             | 2031-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF 2018-KW06 MTG TR                                                                                      | FREMF 2018-KW06 X2B MTG TR 0.1% 06/25/2028 144A                                                                                  | CUSIP: 30306WAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      486684 | PA      | $1027.54       | 0.00%             | 2028-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF 2018-KW06 MTG TR                                                                                      | FREMF 2018-KW06 X2A MTG TR 0.1% 06/25/2028 144A                                                                                  | CUSIP: 30306WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3044278 | PA      | $5616.08       | 0.00%             | 2028-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TR 2021-B                                                                                  | OPORTUN ISSUANCE TR 2021-B C 3.65% 05/08/2031 144A                                                                               | CUSIP: 68377GAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      645864 | PA      | $639320.75     | 0.00%             | 2031-05-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HERO FDG III                                                                                                | HERO FDG III 2017-1A A 3.5% 09/21/2043 144A                                                                                      | CUSIP: 42771BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       46875 | PA      | $42300.24      | 0.00%             | 2043-09-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREMF 2017-K61 MORTGAGE TRUST                                                                               | FREMF 2017-K61 C MORTGAGE TRUST CSTR 12/25/2049 144A                                                                             | CUSIP: 30296AAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      156369 | PA      | $153818.12     | 0.00%             | 2049-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ACRE COML MTG 2021-FL4 LTD / ACRE COML MTG 2021-FL4 LLC                                                     | ACRE COML MTG 2021-FL4 LTD / ACRE COML MTG 2021-FL4 LLC TSFR1M+186.448 12/18/2037 144A                                           | CUSIP: 00489TAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      230912 | PA      | $221897.98     | 0.00%             | 2037-12-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FREMF 2019-KL05 MTG TR                                                                                      | FREMF 2019-KL05 CHG MTG TR 4.37% 02/25/2029 144A                                                                                 | CUSIP: 30311NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      339771 | PA      | $308204.41     | 0.00%             | 2029-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HERO FDG 2017-3                                                                                             | HERO FDG 2017-3A A2 3.95% 09/20/2048 144A                                                                                        | CUSIP: 42771AAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       37637 | PA      | $35514.20      | 0.00%             | 2048-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KGS-ALPHA SBA COOF TRUST SERIES 2012-4                                                                      | KGS-ALPHA SBA COOF TRUST SERIES 2012-4 CSTR 09/25/2037 144A                                                                      | CUSIP: 48247QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       34892 | PA      | $505.93        | 0.00%             | 2037-09-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST 2019-MH1                                                                             | CASCADE MH ASSET TRUST 2019-MH1 5% 11/25/2044 144A                                                                               | CUSIP: 14732FAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      497340 | PA      | $468327.67     | 0.00%             | 2044-11-25      | Fixed         | 0.05%                 | No            |                  3 | On Loan: No      |
| COOF SECURITIZATION TRUST 2014-1 LTD                                                                        | COOF SECURITIZATION TRUST 2014-1 LTD VAR 06/25/2040 144A                                                                         | CUSIP: 12631UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       25213 | PA      | $1738.28       | 0.00%             | 2040-06-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CFIN 2022-RTL1 ISSUER LLC                                                                                   | CFIN 2022-RTL1 ISSUER LLC VAR 02/16/2026 144A                                                                                    | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       85056 | PA      | $84673.60      | 0.00%             | 2026-02-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TR                                                                                          | FMC GMSR ISSUER TR 7.9% 07/25/2027 144A                                                                                          | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      373005 | PA      | $375592.98     | 0.00%             | 2027-07-25      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TR                                                                                          | FMC GMSR ISSUER TR 10.07% 07/25/2027 144A                                                                                        | CUSIP: 30259RAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      672872 | PA      | $687235.06     | 0.00%             | 2027-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TR                                                                                          | FMC GMSR ISSUER TR 7.17% 04/25/2027 144A                                                                                         | CUSIP: 30259RAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      675797 | PA      | $679129.08     | 0.00%             | 2027-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TR                                                                                          | FMC GMSR ISSUER TR 6.19% 04/25/2027 144A                                                                                         | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4292553 | PA      | $4305851.76    | 0.01%             | 2027-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TR                                                                                          | FMC GMSR ISSUER TR 4.44% 10/25/2026 144A                                                                                         | CUSIP: 30259RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      661257 | PA      | $636632.05     | 0.00%             | 2026-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2021-R1                                                                                      | TOWD PT MTG TR 2021-R1 2.91808% 11/30/2060 144A                                                                                  | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      994729 | PA      | $909228.07     | 0.00%             | 2060-11-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE ISSUER 2021-A LLC                                                                       | ELARA HGV TIMESHARE ISSUER 2021-A LLC 3.32% 08/27/2035 144A                                                                      | CUSIP: 28416LAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      195487 | PA      | $186294.20     | 0.00%             | 2035-08-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOODGREEN 2017-2 TRUST                                                                                      | GOODGREEN 2017-2 TRUST 3.26% 10/15/2053 144A                                                                                     | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      106611 | PA      | $97301.71      | 0.00%             | 2053-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FREMF 2019-KL05 MTG TR                                                                                      | FREMF 2019-KL05 BHG MTG TR VAR 02/25/2029 144A                                                                                   | CUSIP: 30311NAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      105465 | PA      | $98870.29      | 0.00%             | 2029-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FREMF 2019-KBF3 MORTGAGE TRUST                                                                              | FREMF 2019-KBF3 MORTGAGE TRUST SOFR30A+475 01/25/2029 144A                                                                       | CUSIP: 30311TAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      253325 | PA      | $244521.30     | 0.00%             | 2029-01-25      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG K-1520 X3 MLT CTF GT VAR 04/25/2039                                                                          | CUSIP: 3137FYTZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      130186 | PA      | $30293.01      | 0.00%             | 2039-04-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FKH 2021-SFR1 F1                                                                                            | FKH 2021-SFR1 E2 2.489% 08/17/2038 144A                                                                                          | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      292000 | PA      | $286172.26     | 0.00%             | 2038-08-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK                                                              | FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK SOFR30A+ 01/25/2051 144A                                                          | CUSIP: 35563FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4893281 | PA      | $5053391.11    | 0.01%             | 2051-01-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MSCR 2021-MN3 M1                                                                                            | FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK 21-MN3 M1 SOFR30A+ 11/25/2051 144A                                                | CUSIP: 35563GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56021 | PA      | $56130.71      | 0.00%             | 2051-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MSCR 2022-MN4 M2                                                                                            | FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK 22-MN4 M2 SOFR30A+ 05/25/2052 144A                                                | CUSIP: 35563HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      182845 | PA      | $206373.77     | 0.00%             | 2052-05-25      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| HERO FDG 2017-2                                                                                             | HERO FDG 2017-2A A2 4.07% 09/20/2048 144A                                                                                        | CUSIP: 42771LAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       43058 | PA      | $41144.72      | 0.00%             | 2048-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HERO FDG TR 2015-3                                                                                          | HERO FDG TR 2015-3A A 4.28% 09/20/2041 144A                                                                                      | CUSIP: 42771TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       24792 | PA      | $24312.34      | 0.00%             | 2041-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMSR 2021-SFR2 TR                                                                                           | AMSR 2021-SFR2 F1 TR 3.275% 08/17/2038 144A                                                                                      | CUSIP: 00179VAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      380318 | PA      | $373999.43     | 0.00%             | 2038-08-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMSR 2021-SFR3 TRUST                                                                                        | AMSR 2021-SFR3 E2 TRUST 2.427% 10/17/2038 144A                                                                                   | CUSIP: 00180UAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3178896 | PA      | $3093274.66    | 0.01%             | 2038-10-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY TRUST INC                                                                                      | ARBOR REALTY TRUST INC 5% 04/30/2026                                                                                             | CUSIP: 038923AW8<br>LEI: 549300ASFUWYQO0RW077 | Long             | DBT              | CORP              | US        |      146000 | PA      | $144477.68     | 0.00%             | 2026-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY TRUST INC                                                                                      | ARBOR REALTY TRUST INC 4.5% 09/01/2026 144A                                                                                      | CUSIP: 038923AX6<br>LEI: 549300ASFUWYQO0RW077 | Long             | DBT              | CORP              | US        |      570000 | PA      | $559723.74     | 0.00%             | 2026-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY TRUST INC                                                                                      | ARBOR REALTY TRUST INC 4.5% 03/15/2027 144A                                                                                      | CUSIP: 038923AQ1<br>LEI: 549300ASFUWYQO0RW077 | Long             | DBT              | CORP              | US        |      877000 | PA      | $846742.77     | 0.00%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ACCELERATED 2021-1H LLC                                                                                     | ACCELERATED 2021-1H D LLC 3.58% 10/20/2040 144A                                                                                  | CUSIP: 00439KAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       65124 | PA      | $60205.13      | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KGS-ALPHA SBA COOF TR SER 2012-2                                                                            | KGS-ALPHA SBA COOF TR SER 2012-2 A CSTR 08/25/2038 144A                                                                          | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       32832 | PA      | $507.83        | 0.00%             | 2038-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TR 2021-B                                                                                  | OPORTUN ISSUANCE TR 2021-B B 1.96% 05/08/2031 144A                                                                               | CUSIP: 68377GAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       40325 | PA      | $39582.66      | 0.00%             | 2031-05-08      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GREAT AJAX OPERATING PARTNERSHIP LP                                                                         | GREAT AJAX OPERATING PARTNERSHIP LP 9.875% 09/01/2027 144A                                                                       | CUSIP: 38982GAA4<br>LEI: 549300IMX0KE8QJMZ613 | Long             | DBT              | CORP              | US        |      672000 | PA      | $656846.16     | 0.00%             | 2027-09-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| RENEW 2017-1                                                                                                | RENEW 2017-1A B 5.75% 09/20/2052 144A                                                                                            | CUSIP: 75973LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |        2140 | PA      | $2131.11       | 0.00%             | 2052-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE TRUST SERIES 2008-CIM2                                                                         | PHH MORTGAGE TRUST SERIES 2008-CIM2 6% 07/25/2038                                                                                | CUSIP: 69338AAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1140 | PA      | $1017.05       | 0.00%             | 2038-07-25      | Fixed         | 0.06%                 | No            |                  3 | On Loan: No      |
| E3 2019-1                                                                                                   | E3 2019-1 3.1% 09/20/2055 144A                                                                                                   | CUSIP: 269330AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      111568 | PA      | $98257.55      | 0.00%             | 2055-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TR                                                                                          | FMC GMSR ISSUER TR 4.45% 01/25/2026 144A                                                                                         | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      438000 | PA      | $435270.12     | 0.00%             | 2026-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HERO FUNDING TRUST 2017-1A                                                                                  | HERO FUNDING TRUST 2017-1A 4.46% 09/20/2047 144A                                                                                 | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       41618 | PA      | $39927.64      | 0.00%             | 2047-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SBALR COMMERCIAL MORTGAGE 2020-RR1 TRUST                                                                    | SBALR COMMERCIAL MORTGAGE 2020-RR1 TRUST VAR 02/13/2053 144A                                                                     | CUSIP: 78397EAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1584864 | PA      | $60881.59      | 0.00%             | 2053-02-13      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TR 2022-MH1                                                                                | CASCADE MH ASSET TRUST 2022-MH1 STEP 08/25/2054 144A                                                                             | CUSIP: 14732KAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      401577 | PA      | $326401.69     | 0.00%             | 2054-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CARS MTI-1 L P / CARS MTI-2 L L C / CARS MTI-3 L L C / CARS MTI-4 L P / CARS MTI-5 L P / (CARS MTI-7 L L C) | CARS MTI-1 L P / CARS MTI-2 L L C / CARS MTI-3 L L C / CARS MTI-4 L P / CARS MTI-5 L P / (CARS MTI-7 L L C) 3.1% 12/15/2050 144A | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      165509 | PA      | $159338.44     | 0.00%             | 2050-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RENEW 2017-2                                                                                                | RENEW 2017-2 3.22% 09/22/2053 144A                                                                                               | CUSIP: 75973KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      236618 | PA      | $217821.67     | 0.00%             | 2053-09-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RENEW 2017-1                                                                                                | RENEW 2017-1 3.67% 09/20/2052 144A                                                                                               | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       21478 | PA      | $20188.04      | 0.00%             | 2052-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HERO FUNDING TRUST 2016-3                                                                                   | HERO FUNDING TRUST 2016-3 3.08% 09/20/2042 144A                                                                                  | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       11170 | PA      | $10463.56      | 0.00%             | 2042-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HERO FDG 2017-3                                                                                             | HERO FDG 2017-3 3.19% 09/20/2048 144A                                                                                            | CUSIP: 42771AAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       45599 | PA      | $42006.98      | 0.00%             | 2048-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KGS-ALPHA SBA COOF TRUST 2013-2                                                                             | KGS-ALPHA SBA COOF TRUST 2013-2 A CSTR 03/25/2039 144A                                                                           | CUSIP: 48248XAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       30275 | PA      | $784.75        | 0.00%             | 2039-03-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| HOME RE 2022-1 LTD                                                                                          | HOME RE 2022-1 LTD SOFR30A+550 10/25/2034 144A                                                                                   | CUSIP: 43730GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      443497 | PA      | $459100.95     | 0.00%             | 2034-10-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.25% 04/01/2033#BS1636                                                                                                | CUSIP: 3140LBZA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1272605 | PA      | $1123295.09    | 0.00%             | 2033-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TR                                                                                          | FMC GMSR ISSUER TR 21-GT1 B 4.36% 07/25/2026 144A                                                                                | CUSIP: 30259RAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      234042 | PA      | $225652.09     | 0.00%             | 2026-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREMF 2018-KW07 MTG TR                                                                                      | FREMF 2018-KW07 C MTG TR 0% 10/25/2031 144A                                                                                      | CUSIP: 30297NAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      380318 | PA      | $299686.97     | 0.00%             | 2031-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF 2019-KW10 MORTGAGE TRUST                                                                              | FREMF 2019-KW10 B MORTGAGE TRUST CSTR 10/25/2032 144A                                                                            | CUSIP: 30298XAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      268271 | PA      | $250827.00     | 0.00%             | 2032-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT VAR 04/25/2031                                                                                    | CUSIP: 3137FYUM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      375930 | PA      | $46220.37      | 0.00%             | 2031-04-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BWAY 2013-1515 MTG TR                                                                                       | BWAY 2013-1515 MTG TR VAR 03/10/2033 144A                                                                                        | CUSIP: 05604FAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      146276 | PA      | $123446.76     | 0.00%             | 2033-03-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NEWREZ LLC / NEWRES GMSR EXCESS OWNER LLC                                                                   | NEWREZ LLC / NEWRES GMSR EXCESS OWNER LLC GNT1 A 3.474% 11/25/2026 144A                                                          | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1446786 | PA      | $1419451.21    | 0.00%             | 2026-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                                                          | COTERRA ENERGY INC 3.9% 05/15/2027                                                                                               | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99585.85      | 0.00%             | 2027-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-FRR1 TR                                                                                           | CFMT 2021-FRR1 TR 0% 09/29/2029 144A                                                                                             | CUSIP: 12529YCG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5353696 | PA      | $4194531.41    | 0.01%             | 2029-09-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2017-FRE2                                                                                    | TOWD PT MTG TR 2017-FRE2 STEP 11/25/2047 144A                                                                                    | CUSIP: 89175GAK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       38897 | PA      | $38251.19      | 0.00%             | 2047-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONN AVE SECS TR 2019-01                                                                        | MULTIFAMILY CONN AVE SECS TR 2019-01 M10 SOFR30A+336.448 10/25/2049 144A                                                         | CUSIP: 62547NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3558884 | PA      | $3611038.62    | 0.01%             | 2049-10-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NW RE-REMIC TR 2021-FRR1                                                                                    | NW RE-REMIC TR 2021-FRR1 BK88 VAR 12/18/2051 144A                                                                                | CUSIP: 62955LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      267686 | PA      | $231464.82     | 0.00%             | 2051-12-18      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONN AVE SECS TR 2020-01                                                                        | MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01 M10 SOFR30A+386.448 03/25/2050 144A                                      | CUSIP: 62548QAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4217853 | PA      | $4287700.00    | 0.01%             | 2050-03-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-FRR1 TR                                                                                           | CFMT 2021-FRR1 BK54 TR 0% 02/28/2026 144A                                                                                        | CUSIP: 12529YAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      659122 | PA      | $647712.33     | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-FRR1 TR                                                                                           | CFMT 2021-FRR1 BK58 TR CSTR 09/29/2029 144A                                                                                      | CUSIP: 12529YBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      327366 | PA      | $311086.94     | 0.00%             | 2029-09-29      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-FRR1 TR                                                                                           | CFMT 2021-FRR1 TR 0% 01/29/2026 144A                                                                                             | CUSIP: 12529YBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      263297 | PA      | $260211.16     | 0.00%             | 2026-01-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-FRR1 TR                                                                                           | CFMT 2021-FRR1 BK98 TR 0% 08/29/2029 144A                                                                                        | CUSIP: 12529YBY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2368616 | PA      | $1837021.12    | 0.00%             | 2029-08-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-FRR1 TR                                                                                           | CFMT 2021-FRR1 BK99 TR 0% 09/29/2029 144A                                                                                        | CUSIP: 12529YCJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      447606 | PA      | $316693.96     | 0.00%             | 2029-09-29      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CFMT 2021-FRR1 TR                                                                                           | CFMT 2021-FRR1 CK54 TR 0% 02/28/2026 144A                                                                                        | CUSIP: 12529YAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      204787 | PA      | $200596.46     | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF 2018-KW06 MTG TR                                                                                      | FREMF 2018-KW06 C MTG TR 0% 06/25/2028 144A                                                                                      | CUSIP: 30306WAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      365011 | PA      | $302963.62     | 0.00%             | 2028-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS AMER 2021-3 TR                                                                                | HOME PARTNERS AMER 2021-3 TR 3.347% 01/17/2041 144A                                                                              | CUSIP: 43730XAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      387714 | PA      | $360281.25     | 0.00%             | 2041-01-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FREMF 2018-KBX1 MTG TR                                                                                      | FREMF 2018-KBX1 MORTGAGE TRUST CSTR 01/25/2026 144A                                                                              | CUSIP: 30307LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      219414 | PA      | $217086.63     | 0.00%             | 2026-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FREMF 2018-KHG1 MORTGAGE TRUST                                                                              | FREMF 2018-KHG1 C MORTGAGE TRUST CSTR 12/25/2027 144A                                                                            | CUSIP: 30309FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      971831 | PA      | $925165.13     | 0.00%             | 2027-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 06/01/2045#U92996                                                                                                 | CUSIP: 3132HDGD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5286 | PA      | $5005.48       | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF VAR 11/25/2028                                                                                        | CUSIP: 3136BBSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1016120 | PA      | $39661.00      | 0.00%             | 2028-11-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM VAR 03/20/2067                                                                                      | CUSIP: 38376R2M7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      164602 | PA      | $6680.74       | 0.00%             | 2067-03-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.803% 12/01/2026#AL6937                                                                                               | CUSIP: 3138EPV76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35135 | PA      | $35034.39      | 0.00%             | 2026-12-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA VAR 08/25/2041                                                                                    | CUSIP: 31392A5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      144196 | PA      | $808.10        | 0.00%             | 2041-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA VAR 02/25/2044                                                                                    | CUSIP: 31393YV51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       53397 | PA      | $273.81        | 0.00%             | 2044-02-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM VAR 06/20/2067                                                                                      | CUSIP: 38376R5T9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      212858 | PA      | $5502.47       | 0.00%             | 2067-06-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| HGI CRE CLO 2021-FL3 LTD                                                                                    | HGI CRE CLO 2021-FL3 LTD SOFR30A+375 04/20/2037 144A                                                                             | CUSIP: 403950AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      320500 | PA      | $319973.19     | 0.00%             | 2037-04-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                                                   | FEDERAL NATL MTG ASSN STRIPPED VAR 10/25/2037                                                                                    | CUSIP: 3136FFQS1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        1356 | PA      | $286.70        | 0.00%             | 2037-10-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT VAR 02/20/2029                                                                                    | CUSIP: 38379BNP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |        2165 | PA      | $2160.54       | 0.00%             | 2029-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM ARM 3.995% 10/01/2037#1Q0476                                                                                                | CUSIP: 3128S4Q59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1078 | PA      | $1116.11       | 0.00%             | 2037-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA VAR 08/25/2042                                                                                    | CUSIP: 31392ET34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       30768 | PA      | $296.21        | 0.00%             | 2042-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA VAR 06/25/2029                                                                                    | CUSIP: 31392DD66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       54871 | PA      | $680.03        | 0.00%             | 2029-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT VAR 01/25/2034                                                                                    | CUSIP: 3137FWHN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3951193 | PA      | $131277.61     | 0.00%             | 2034-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT VAR 06/25/2029                                                                                    | CUSIP: 3137FNAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5143082 | PA      | $147994.76     | 0.00%             | 2029-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT VAR 10/25/2055                                                                                    | CUSIP: 3137F72J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      614252 | PA      | $88670.58      | 0.00%             | 2055-10-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM TSFR12M+109.513 06/20/2066                                                                          | CUSIP: 38376RWL6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       52842 | PA      | $53297.09      | 0.00%             | 2066-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTG BACKED SECS 2004 K TR                                                                       | WELLS FARGO MTG BACK SEC 04 K VAR 07/25/2034                                                                                     | CUSIP: 94981VAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         595 | PA      | $595.48        | 0.00%             | 2034-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WAMU MTG PASS THROUGH CTFS                                                                                  | WAMU MTG PASS THROUGH CTFS VAR 10/25/2034                                                                                        | CUSIP: 92922FYA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        2668 | PA      | $2569.61       | 0.00%             | 2034-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVS INC                                                                                 | MERRILL LYNCH MTGE INVS INC VAR 09/25/2029                                                                                       | CUSIP: 59020UGH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         277 | PA      | $266.42        | 0.00%             | 2029-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SACO I INC                                                                                                  | SACO I INC 7% 08/25/2036 144A                                                                                                    | CUSIP: 073919AK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         207 | PA      | $195.66        | 0.00%             | 2036-08-25      | Fixed         | 0.07%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM VAR 05/20/2067                                                                                      | CUSIP: 38376R4N3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      534140 | PA      | $17703.02      | 0.00%             | 2067-05-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA VAR 12/25/2041                                                                                    | CUSIP: 31392B6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      365065 | PA      | $2157.39       | 0.00%             | 2041-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA VAR 05/25/2044                                                                                    | CUSIP: 31394AB88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      181732 | PA      | $1268.86       | 0.00%             | 2044-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM VAR 06/20/2067                                                                                      | CUSIP: 38376R5Q5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      222611 | PA      | $11080.24      | 0.00%             | 2067-06-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTG PASSTHRU TR                                                                               | FIRST HORIZON MTG PASSTHRU TR VAR 12/25/2034                                                                                     | CUSIP: 32051GBD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1036 | PA      | $1011.11       | 0.00%             | 2034-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORT LOAN TR                                                                                 | MORGAN STANLEY MORT LOAN TR VAR 09/25/2034                                                                                       | CUSIP: 61748HCK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         591 | PA      | $580.63        | 0.00%             | 2034-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECS CORP                                                                                  | STRUCTURED ASSET SECS CORP VAR 12/25/2033                                                                                        | CUSIP: 86359BBR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       10162 | PA      | $9717.16       | 0.00%             | 2033-12-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECS CORP                                                                                  | STRUCTURED ASSET SECS CORP VAR 09/25/2033                                                                                        | CUSIP: 86359AS95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        5498 | PA      | $5283.89       | 0.00%             | 2033-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                                           | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1 VAR 11/25/2060 144A                                                            | CUSIP: 35563P4Q9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      142502 | PA      | $103521.38     | 0.00%             | 2060-11-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                                           | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1 VAR 09/25/2060 144A                                                            | CUSIP: 35563PWX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      303068 | PA      | $237220.61     | 0.00%             | 2060-09-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                                          | META PLATFORMS INC 4.65% 08/15/2062                                                                                              | CUSIP: 30303M8K1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     2230000 | PA      | $1871902.07    | 0.00%             | 2062-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                                                         | SUMITOMO MITSUI FINL GRP INC 5.52% 01/13/2028                                                                                    | CUSIP: 86562MCR9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $206362.39     | 0.00%             | 2028-01-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                                                         | SUMITOMO MITSUI FINL GRP INC 5.766% 01/13/2033                                                                                   | CUSIP: 86562MCS7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $214477.28     | 0.00%             | 2033-01-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                                            | SOCIETE GENERALE FRANCE 6.447%/VAR 01/12/2027 144A                                                                               | CUSIP: 83368RBQ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      200000 | PA      | $200411.37     | 0.00%             | 2027-01-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                                                | MEXICO UNITED MEXICAN STATES 6.35% 02/09/2035                                                                                    | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1200000 | PA      | $1264320.00    | 0.00%             | 2035-02-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                                                      | COMMONWEALTH EDISON CO 5.3% 02/01/2053                                                                                           | CUSIP: 202795JY7<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |       95000 | PA      | $91931.72      | 0.00%             | 2053-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                                             | SANTANDER UK GROUP HOLDINGS PLC 6.534%/VAR 01/10/2029                                                                            | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $209217.82     | 0.00%             | 2029-01-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                                              | TARGA RES CORP 6.125% 03/15/2033                                                                                                 | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     1175000 | PA      | $1259679.77    | 0.00%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXPORT IMPORT BANK KOREA                                                                                    | EXPORT IMPORT BANK KOREA 5.125% 01/11/2033                                                                                       | CUSIP: 302154DW6<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | CORP              | KR        |      515000 | PA      | $544121.98     | 0.00%             | 2033-01-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                                                      | COMMONWEALTH EDISON CO 4.9% 02/01/2033                                                                                           | CUSIP: 202795JX9<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |      945000 | PA      | $970201.99     | 0.00%             | 2033-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF OK                                                                                     | PUBLIC SERVICE CO OF OK 5.25% 01/15/2033                                                                                         | CUSIP: 744533BQ2<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |      113000 | PA      | $116769.58     | 0.00%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 6.75% 01/15/2053                                                                                     | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1736621.23    | 0.00%             | 2053-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                                                      | STANDARD CHARTERED PLC 6.301%/VAR 01/09/2029 144A                                                                                | CUSIP: 853254CS7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      297000 | PA      | $309054.28     | 0.00%             | 2029-01-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 6.15% 01/15/2033                                                                                     | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      600000 | PA      | $639731.75     | 0.00%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                                                     | BPCE SA 5.125% 01/18/2028 144A                                                                                                   | CUSIP: 05578AAY4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      541000 | PA      | $552443.05     | 0.00%             | 2028-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                                                | ECOPETROL SA 8.875% 01/13/2033                                                                                                   | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      647000 | PA      | $691513.60     | 0.00%             | 2033-01-13      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                                                           | VENTURE GLOBAL CALCASIEU PASS LLC 6.25% 01/15/2030 144A                                                                          | CUSIP: 92328MAE3<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     2175000 | PA      | $2196219.30    | 0.00%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 02/01/2053#MA4918                                                                                                   | CUSIP: 31418EPC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      552068 | PA      | $554174.10     | 0.00%             | 2053-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 02/01/2053#                                                                                                       | CUSIP: 31418EPB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2140167 | PA      | $2105328.31    | 0.00%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 02/01/2053#                                                                                                       | CUSIP: 3132DWGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26678 | PA      | $24706.14      | 0.00%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2023-R01                                                                | CONNECTICUT AVENUE SECURITIES TRUST 2023-R01 SOFR30A+240 12/25/2042 144A                                                         | CUSIP: 207932AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      591505 | PA      | $604069.70     | 0.00%             | 2042-12-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MERCEDES-AUTO RECEIVABLES TR 2023-1                                                                         | MERCEDES-BENZ AUTO RECEIVABLES TR 2023-1 4.51% 11/15/2027                                                                        | CUSIP: 58770AAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1736811 | PA      | $1739499.16    | 0.00%             | 2027-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 10/01/2052#SD1772                                                                                                   | CUSIP: 3132DN6H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1268030 | PA      | $1225115.39    | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 04/01/2052#FS1647                                                                                                   | CUSIP: 3140XGZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1153741 | PA      | $1112531.35    | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONCOR ELEC DELIVERY CO LLC                                                                                  | ONCOR ELEC DELIVERY CO LLC 4.95% 09/15/2052                                                                                      | CUSIP: 68233JCM4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |      190000 | PA      | $173259.99     | 0.00%             | 2052-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                                                                                           | CLEAN HARBORS INC 6.375% 02/01/2031 144A                                                                                         | CUSIP: 184496AQ0<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |      220000 | PA      | $226117.76     | 0.00%             | 2031-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP/SEALED AIR CORP US                                                                          | SEALED AIR CORP/SEALED AIR CORP US 6.125% 02/01/2028 144A                                                                        | CUSIP: 812127AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      440000 | PA      | $447428.52     | 0.00%             | 2028-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INTERNATIONAL LTD                                                                                | TRANSOCEAN INTERNATIONAL LTD 8.75% 02/15/2030 144A                                                                               | CUSIP: 893830BX6<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |      131250 | PA      | $136842.04     | 0.00%             | 2030-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 7.375% 02/01/2031 144A                                                                                        | CUSIP: 226373AT5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      637000 | PA      | $662898.97     | 0.00%             | 2031-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 5.123%/VAR 02/01/2029                                                                                             | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     5851000 | PA      | $5975877.72    | 0.01%             | 2029-02-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 5.948%/VAR 01/19/2038                                                                                             | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1147000 | PA      | $1212247.22    | 0.00%             | 2038-01-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                                                       | ELECTRICITE DE FRANCE 5.5% 01/25/2035 REGS                                                                                       | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | CORP              | FR        |      300000 | PA      | $393012.48     | 0.00%             | 2035-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SERBIA REPUBLIC OF                                                                                          | SERBIA REPUBLIC OF 6.25% 05/26/2028 144A                                                                                         | CUSIP: 817477AG7<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |      995000 | PA      | $1032709.31    | 0.00%             | 2028-05-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SERBIA REPUBLIC OF                                                                                          | SERBIA REPUBLIC OF 6.25% 05/26/2028 REGS                                                                                         | CUSIP: N/A<br>LEI: 254900W94OCY91V32O78       | Long             | DBT              | NUSS              | RS        |     1308000 | PA      | $1357571.63    | 0.00%             | 2028-05-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.5% 01/31/2030                                                                                                        | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10480000 | PA      | $10452571.85   | 0.02%             | 2030-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 12/01/2052#SD2175                                                                                                   | CUSIP: 3132DPMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      241930 | PA      | $244213.89     | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 01/01/2053#SD2186                                                                                                   | CUSIP: 3132DPNB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      826984 | PA      | $834531.30     | 0.00%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 08/01/2059#BM6734                                                                                                   | CUSIP: 3140JBPU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      286095 | PA      | $271763.58     | 0.00%             | 2059-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                                                       | TRUIST FINANCIAL CORP 5.122%/VAR 01/26/2034                                                                                      | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     1035000 | PA      | $1056999.58    | 0.00%             | 2034-01-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                                                   | CAESARS ENTERTAINMENT INC 7% 02/15/2030 144A                                                                                     | CUSIP: 12769GAB6<br>LEI: 5299000BKFWWVND5L441 | Long             | DBT              | CORP              | US        |     2625000 | PA      | $2717407.88    | 0.01%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KEYBANK NATL ASSN                                                                                           | KEYBANK NATL ASSN 5% 01/26/2033                                                                                                  | CUSIP: 49327M3H5<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |      919000 | PA      | $930928.11     | 0.00%             | 2033-01-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                                                                           | UNITED KINGDOM G.B. and N.IRELAND 3.75% 10/22/2053 REGS                                                                          | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     2700000 | PA      | $2814023.79    | 0.01%             | 2053-10-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE LL                                                                                  | CRESCENT ENERGY FINANCE LLC 9.25% 02/15/2028 144A                                                                                | CUSIP: 45344LAC7<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |     1279000 | PA      | $1322564.02    | 0.00%             | 2028-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 11/01/2052#MA4847                                                                                                   | CUSIP: 31418EL57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2963058 | PA      | $3048936.10    | 0.01%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DLLAD 2023-1A                                                                                               | DLLAD 2023-1A 4.79% 01/20/2028 144A                                                                                              | CUSIP: 233258AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1030824 | PA      | $1035381.68    | 0.00%             | 2028-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3.82% 12/25/2032                                                                                  | CUSIP: 3137H9PB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      731382 | PA      | $716626.66     | 0.00%             | 2032-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CORPORACION NACIONAL DEL COBRE DE CHILE                                                                     | CORPORACION NACIONAL DEL COBRE DE CHILE 5.125% 02/02/2033 REGS                                                                   | CUSIP: N/A<br>LEI: 549300UVMBCBCIPSUI70       | Long             | DBT              | CORP              | CL        |      350000 | PA      | $351092.00     | 0.00%             | 2033-02-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 11/01/2051#FM9505                                                                                                 | CUSIP: 3140XDR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3673474 | PA      | $3171193.42    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 11/01/2051#FM9517                                                                                                 | CUSIP: 3140XDSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3153483 | PA      | $2722302.01    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 04/01/2052#SD8207                                                                                                 | CUSIP: 3132DWDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1585411 | PA      | $1472164.08    | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                                         | SYNCHRONY FINANCIAL 7.25% 02/02/2033                                                                                             | CUSIP: 87165BAU7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     1412000 | PA      | $1512728.59    | 0.00%             | 2033-02-02      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3.625% 02/15/2053                                                                                    | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    96651000 | PA      | $80631851.59   | 0.18%             | 2053-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.5% 02/15/2033                                                                                                        | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   193100000 | PA      | $189305886.24  | 0.43%             | 2033-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                                                                    | QUEENSLAND TREASURY CORP 4.5% 08/22/2035 144A REGS                                                                               | CUSIP: N/A<br>LEI: 98INKCEEHOU5YJS0HQ88       | Long             | DBT              | NUSS              | AU        |     2200000 | PA      | $1367678.03    | 0.00%             | 2035-08-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 02/01/2052#RA6799                                                                                                 | CUSIP: 3133KNRU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      527792 | PA      | $492895.42     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 01/01/2052#CB2679                                                                                                 | CUSIP: 3140QM6R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      288555 | PA      | $269475.86     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 02/01/2052#CB2906                                                                                                 | CUSIP: 3140QNGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      676203 | PA      | $630014.50     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                                         | ALEXANDRIA REAL EST EQUITS INC 5.15% 04/15/2053                                                                                  | CUSIP: 015271BB4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |       31000 | PA      | $27404.70      | 0.00%             | 2053-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COOPER STANDARD AUTO INC                                                                                    | COOPER STANDARD AUTO INC PIK VAR 05/15/2027 144A                                                                                 | CUSIP: 216762AJ3<br>LEI: ITCH5B3Q4RTX2PH9UN62 | Long             | DBT              | CORP              | US        |      143968 | PA      | $141311.11     | 0.00%             | 2027-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER                                                      | ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER 6.75% 04/15/2028 144A                                                     | CUSIP: 01883LAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $101825.60     | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                                              | DEUTSCHE BANK AG NEW YORK BNCH 7.079%/VAR 02/10/2034                                                                             | CUSIP: 251526CT4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |     2110000 | PA      | $2320660.29    | 0.01%             | 2034-02-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                                                       | NORTHROP GRUMMAN CORP 4.95% 03/15/2053                                                                                           | CUSIP: 666807CJ9<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      623000 | PA      | $572793.49     | 0.00%             | 2053-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                                            | T-MOBILE USA INC 4.95% 03/15/2028                                                                                                | CUSIP: 87264ACZ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      800000 | PA      | $815375.51     | 0.00%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RAND PARENT LLC                                                                                             | RAND PARENT LLC 8.5% 02/15/2030 144A                                                                                             | CUSIP: 753272AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      305000 | PA      | $314728.28     | 0.00%             | 2030-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                                            | T-MOBILE USA INC 5.05% 07/15/2033                                                                                                | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      315000 | PA      | $323413.97     | 0.00%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                                                | NEXTERA ENERGY CAP HLDGS INC 5.25% 02/28/2053                                                                                    | CUSIP: 65339KCQ1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |       81000 | PA      | $76300.64      | 0.00%             | 2053-02-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC                                      | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 6.5% 02/15/2028 144A                                      | CUSIP: 01309QAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1110000 | PA      | $1129891.20    | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                                                  | INTEL CORP 5.7% 02/10/2053                                                                                                       | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      375000 | PA      | $359475.43     | 0.00%             | 2053-02-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                                                        | WR GRACE HOLDING LLC 7.375% 03/01/2031 144A                                                                                      | CUSIP: 92943GAE1<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |      195000 | PA      | $198157.07     | 0.00%             | 2031-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                                                       | AMERICAN AIRLINES INC 7.25% 02/15/2028 144A                                                                                      | CUSIP: 023771T32<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |       80000 | PA      | $81897.28      | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                                          | ALLY FINL INC 6.7% 02/14/2033                                                                                                    | CUSIP: 02005NBS8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      285000 | PA      | $298368.14     | 0.00%             | 2033-02-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2023-SFR1 TR                                                                           | PROGRESS RESIDENTIAL 2023-SFR1 E1 TR 6.15% 03/17/2040 144A                                                                       | CUSIP: 74334FAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1822000 | PA      | $1826045.02    | 0.00%             | 2040-03-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE NETHERLANDS B.V.                                                                    | IMPERIAL BRANDS FINANCE NETHERLANDS B.V. 5.25% 02/15/2031 REGS                                                                   | CUSIP: N/A<br>LEI: 724500GIEFJOBWGD0272       | Long             | DBT              | CORP              | NL        |      270000 | PA      | $339815.05     | 0.00%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                                               | TRANSDIGM INC 6.75% 08/15/2028 144A                                                                                              | CUSIP: 893647BR7<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102000.00     | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP                                                        | WYNN RESORTS FIN LLC / CAP CORP 7.125% 02/15/2031 144A                                                                           | CUSIP: 983133AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1170000 | PA      | $1263997.80    | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA INC                                                                                  | BP CAP MARKETS AMERICA INC 4.812% 02/13/2033                                                                                     | CUSIP: 10373QBU3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     2409000 | PA      | $2451315.12    | 0.01%             | 2033-02-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JACOBS ENTERTAINMENT INC                                                                                    | JACOBS ENTERTAINMENT INC 6.75% 02/15/2029 144A                                                                                   | CUSIP: 469815AL8<br>LEI: 5493004U9JIWY3HSUO63 | Long             | DBT              | CORP              | US        |      775000 | PA      | $745317.50     | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 3.875% 02/15/2043                                                                                    | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10713000 | PA      | $9830851.41    | 0.02%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 03/01/2053#MA4958                                                                                                 | CUSIP: 31418EQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51233 | PA      | $50398.71      | 0.00%             | 2053-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 03/01/2053#                                                                                                       | CUSIP: 31418EQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38581 | PA      | $35728.42      | 0.00%             | 2053-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 12/01/2050#FM4959                                                                                                   | CUSIP: 3140X8QM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1404433 | PA      | $1152899.11    | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 12/01/2052#SD2253                                                                                                 | CUSIP: 3132DPQE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43249 | PA      | $40132.86      | 0.00%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                                                        | ENEL FINANCE INTL NV 4.5% 02/20/2043 REGS                                                                                        | CUSIP: N/A<br>LEI: 0YQH6LCEF474UTUV4B96       | Long             | DBT              | CORP              | NL        |      495000 | PA      | $587145.13     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                                             | PHILIP MORRIS INTL INC 5.375% 02/15/2033                                                                                         | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     1352000 | PA      | $1417131.63    | 0.00%             | 2033-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                                             | PHILIP MORRIS INTL INC 5.125% 02/15/2030                                                                                         | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     7455000 | PA      | $7725624.92    | 0.02%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                                             | PHILIP MORRIS INTL INC 4.875% 02/15/2028                                                                                         | CUSIP: 718172CZ0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      145000 | PA      | $147767.83     | 0.00%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TUCSON ELECTRIC POWER CO                                                                                    | TUCSON ELECTRIC POWER CO 5.5% 04/15/2053                                                                                         | CUSIP: 898813AV2<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |       63000 | PA      | $61405.45      | 0.00%             | 2053-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                                                         | CONSUMERS ENERGY CO 4.625% 05/15/2033                                                                                            | CUSIP: 210518DU7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |      279000 | PA      | $281504.18     | 0.00%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 1.5% 02/01/2036#SB8088                                                                                                 | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       46575 | PA      | $42218.15      | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                                          | MITSUBISHI UFJ FIN GRP INC 5.475%/VAR 02/22/2031                                                                                 | CUSIP: 606822CT9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      400000 | PA      | $418588.87     | 0.00%             | 2031-02-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                                          | MITSUBISHI UFJ FIN GRP INC 5.422%/VAR 02/22/2029                                                                                 | CUSIP: 606822CS1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     2350000 | PA      | $2418762.74    | 0.01%             | 2029-02-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                                                   | AMGEN INC 5.6% 03/02/2043                                                                                                        | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     3307000 | PA      | $3378867.36    | 0.01%             | 2043-03-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                                                   | AMGEN INC 5.25% 03/02/2030                                                                                                       | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     4630000 | PA      | $4811930.39    | 0.01%             | 2030-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                                                   | AMGEN INC 5.15% 03/02/2028                                                                                                       | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     3855000 | PA      | $3945794.69    | 0.01%             | 2028-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 4.5% 10/01/2042#RB5189                                                                                                 | CUSIP: 3133KYXS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2615343 | PA      | $2628344.87    | 0.01%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4% 02/29/2028                                                                                                          | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3359000 | PA      | $3395214.22    | 0.01%             | 2028-02-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5.5% 09/20/2052#MA8270                                                                                                   | CUSIP: 36179XFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1377571 | PA      | $1403218.21    | 0.00%             | 2052-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5.5% 11/20/2052#MA8429                                                                                                   | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1072425 | PA      | $1091385.49    | 0.00%             | 2052-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 01/20/2053#MA8568                                                                                                   | CUSIP: 36179XQV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      413544 | PA      | $407058.98     | 0.00%             | 2053-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP NEW                                                                                     | PILGRIMS PRIDE CORP NEW 4.25% 04/15/2031                                                                                         | CUSIP: 72147KAJ7<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |     3070000 | PA      | $2990421.00    | 0.01%             | 2031-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP NEW                                                                                     | PILGRIMS PRIDE CORP NEW 3.5% 03/01/2032                                                                                          | CUSIP: 72147KAH1<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |     3345000 | PA      | $3093740.99    | 0.01%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 01/01/2052#SD0856                                                                                                   | CUSIP: 3132DM5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41546 | PA      | $34065.78      | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                                            | DEUTSCHE BANK AG 6.125%/VAR 12/12/2030 REGS                                                                                      | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |      300000 | PA      | $416465.14     | 0.00%             | 2030-12-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES CORP                                                                                 | CENTERPOINT ENERGY RES CORP 5.25% 03/01/2028                                                                                     | CUSIP: 15189YAG1<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |     3110000 | PA      | $3189314.86    | 0.01%             | 2028-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 02/01/2028#FS3865                                                                                                   | CUSIP: 3140XKJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      809634 | PA      | $794986.58     | 0.00%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COOPER STANDARD AUTO INC                                                                                    | COOPER STANDARD AUTO INC PIK VAR 03/31/2027 144A                                                                                 | CUSIP: 216762AH7<br>LEI: ITCH5B3Q4RTX2PH9UN62 | Long             | DBT              | CORP              | US        |      202568 | PA      | $212347.78     | 0.00%             | 2027-03-31      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| AON CORP / AON GLOBAL HOLDINGS PLC                                                                          | AON CORP / AON GLOBAL HOLDINGS PLC 5.35% 02/28/2033                                                                              | CUSIP: 03740LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      101000 | PA      | $105583.03     | 0.00%             | 2033-02-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELI LILLY and CO                                                                                            | ELI LILLY and CO 4.95% 02/27/2063                                                                                                | CUSIP: 532457CH9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |      320000 | PA      | $297957.40     | 0.00%             | 2063-02-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                                                    | RTX CORP 5.375% 02/27/2053                                                                                                       | CUSIP: 75513ECS8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      126000 | PA      | $123443.22     | 0.00%             | 2053-02-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                                                    | BHP BILLITON FIN USA LTD 4.9% 02/28/2033                                                                                         | CUSIP: 055451BA5<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |      103000 | PA      | $105519.47     | 0.00%             | 2033-02-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/01/2052#BV4119                                                                                                 | CUSIP: 3140MHSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7443824 | PA      | $6367862.24    | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                                                    | RTX CORP 5.15% 02/27/2033                                                                                                        | CUSIP: 75513ECR0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      186000 | PA      | $194065.20     | 0.00%             | 2033-02-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VF CORPORATION                                                                                              | VF CORPORATION 4.25% 03/07/2029                                                                                                  | CUSIP: 918204BE7<br>LEI: CWAJJ9DJ5Z7P057HV541 | Long             | DBT              | CORP              | US        |      200000 | PA      | $231224.56     | 0.00%             | 2029-03-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DTE ELEC CO                                                                                                 | DTE ELEC CO 5.2% 04/01/2033                                                                                                      | CUSIP: 23338VAS5<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |      700000 | PA      | $732687.44     | 0.00%             | 2033-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                                                  | FISERV INC 5.45% 03/02/2028                                                                                                      | CUSIP: 337738BD9<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     1260000 | PA      | $1288915.87    | 0.00%             | 2028-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                                            | WILLIAMS COS INC 5.4% 03/02/2026                                                                                                 | CUSIP: 969457CH1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4515676.11    | 0.01%             | 2026-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                                           | NATWEST GROUP PLC 5.847%/VAR 03/02/2027                                                                                          | CUSIP: 639057AJ7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      700000 | PA      | $702655.81     | 0.00%             | 2027-03-02      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 5.3% 03/01/2028                                                                                    | CUSIP: 842400HU0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     3420000 | PA      | $3487584.57    | 0.01%             | 2028-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                                                    | LLOYDS BANKING GROUP PLC 5.871%/VAR 03/06/2029                                                                                   | CUSIP: 539439AX7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     1365000 | PA      | $1416773.17    | 0.00%             | 2029-03-06      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                                                                           | UNION ELECTRIC CO 5.45% 03/15/2053                                                                                               | CUSIP: 906548CW0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |      240000 | PA      | $235353.41     | 0.00%             | 2053-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ADIENT GLOBAL HOLDINGS LTD                                                                                  | ADIENT GLOBAL HOLDINGS LTD 7% 04/15/2028 144A                                                                                    | CUSIP: 00687YAB1<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |      548000 | PA      | $562271.02     | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                                         | AMERICAN TOWER CORP 5.65% 03/15/2033                                                                                             | CUSIP: 03027XBZ2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      454000 | PA      | $479570.06     | 0.00%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 02/01/2053#CB5600                                                                                                 | CUSIP: 3140QRGJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1349463 | PA      | $1381348.43    | 0.00%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PPL ELEC UTILS CORP                                                                                         | PPL ELEC UTILS CORP 5.25% 05/15/2053                                                                                             | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |       76000 | PA      | $74451.68      | 0.00%             | 2053-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                                                       | FLORIDA PWR and LT CO 5.3% 04/01/2053                                                                                            | CUSIP: 341081GM3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |       35000 | PA      | $34321.80      | 0.00%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| S and P GLOBAL INC                                                                                          | S and P GLOBAL INC 2.9% 03/01/2032                                                                                               | CUSIP: 78409VBK9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |      415000 | PA      | $384289.59     | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RITCHIE BROS HOLDINGS INC                                                                                   | RITCHIE BROS HOLDINGS INC 7.75% 03/15/2031 144A                                                                                  | CUSIP: 76774LAC1<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |      229000 | PA      | $240013.30     | 0.00%             | 2031-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                                                        | FRONTIER COMMUNICATIONS HOLDINGS LLC 8.625% 03/15/2031 144A                                                                      | CUSIP: 35908MAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1320000 | PA      | $1394185.32    | 0.00%             | 2031-03-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| KEYSPAN GAS EAST CORP                                                                                       | KEYSPAN GAS EAST CORP 5.994% 03/06/2033 144A                                                                                     | CUSIP: 49338CAD5<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |     2860000 | PA      | $3040466.11    | 0.01%             | 2033-03-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                                                        | EDISON INTERNATIONAL 8.125%/VAR 06/15/2053                                                                                       | CUSIP: 281020AX5<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     1149000 | PA      | $1186490.72    | 0.00%             | 2053-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 6.161%/VAR 03/09/2029                                                                                          | CUSIP: 404280DU0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    24300000 | PA      | $25326377.08   | 0.06%             | 2029-03-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.625% 03/15/2026                                                                                                      | CUSIP: 91282CGR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7341000 | PA      | $7358893.69    | 0.02%             | 2026-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LTD                                                                              | SUMITOMO MITSUI TRUST BANK LTD 5.65% 03/09/2026 144A                                                                             | CUSIP: 86563VBG3<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |     1820000 | PA      | $1827952.02    | 0.00%             | 2026-03-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2% 02/01/2036#QN5328                                                                                                   | CUSIP: 3133GB4M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      128442 | PA      | $119246.09     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2% 03/01/2036#QN5744                                                                                                   | CUSIP: 3133GCLZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      111788 | PA      | $103784.45     | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2% 03/01/2036#RC1891                                                                                                   | CUSIP: 3133L8C45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14431 | PA      | $13393.30      | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2% 02/01/2036#BR1356                                                                                                   | CUSIP: 3140KYQJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      151077 | PA      | $140449.29     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 02/01/2036#BR3300                                                                                                   | CUSIP: 3140L1U29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106554 | PA      | $99258.50      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 03/01/2036#CA9438                                                                                                   | CUSIP: 3140QHPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      136463 | PA      | $126308.65     | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 02/01/2036#FM6186                                                                                                   | CUSIP: 3140X92U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      107697 | PA      | $100120.60     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 02/01/2036#FM6089                                                                                                   | CUSIP: 3140X9XT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      155749 | PA      | $144840.86     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 02/01/2036#FM6342                                                                                                   | CUSIP: 3140XABL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      141429 | PA      | $131126.75     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 05/01/2036#FM6899                                                                                                   | CUSIP: 3140XAUZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      162913 | PA      | $151758.29     | 0.00%             | 2036-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P1                                                                      | CARVANA AUTO RECEIVABLES TRUST 2023-P1 A3 5.98% 12/10/2027 144A                                                                  | CUSIP: 14688EAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      146240 | PA      | $146590.35     | 0.00%             | 2027-12-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                                              | NRG ENERGY INC 7% 03/15/2033 144A                                                                                                | CUSIP: 629377CT7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     2599000 | PA      | $2883000.53    | 0.01%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 02/01/2036#CA9152                                                                                                 | CUSIP: 3140QHE27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1003225 | PA      | $954331.41     | 0.00%             | 2036-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS and ELECTRIC CO                                                                               | SAN DIEGO GAS and ELECTRIC CO 5.35% 04/01/2053                                                                                   | CUSIP: 797440CD4<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |      336000 | PA      | $323131.87     | 0.00%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 03/01/2053#SD7559                                                                                                 | CUSIP: 3132DVMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10881792 | PA      | $11213724.77   | 0.03%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 12/01/2051#CB2411                                                                                                 | CUSIP: 3140QMVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15699775 | PA      | $13508962.82   | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 12/01/2051#FM9777                                                                                                   | CUSIP: 3140XD2K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1182099 | PA      | $1063825.26    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2023-FUN                                                                                | GS MTG SECS CORP TR 2023-FUN TSFR1M+209.125 03/15/2028 144A                                                                      | CUSIP: 36267CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100187.08     | 0.00%             | 2028-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                                                | UBS GROUP AG 4.75%/VAR 03/17/2032 REGS                                                                                           | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |     1575000 | PA      | $1963028.86    | 0.00%             | 2032-03-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2% 06/01/2035#QN2586                                                                                                   | CUSIP: 3133G82T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18157294 | PA      | $16953761.42   | 0.04%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2023-FUN                                                                                | GS MTG SECS CORP TR 2023-FUN TSFR1M+279.026 03/15/2028 144A                                                                      | CUSIP: 36267CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1400000 | PA      | $1404365.62    | 0.00%             | 2028-03-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 1.5% 08/01/2035#SB8066                                                                                                 | CUSIP: 3132D56B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1364373 | PA      | $1240569.43    | 0.00%             | 2035-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 11/01/2035#BQ5806                                                                                                 | CUSIP: 3140KRNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2587077 | PA      | $2352323.97    | 0.01%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 11/01/2035#BQ6318                                                                                                 | CUSIP: 3140KSAU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2715838 | PA      | $2461763.19    | 0.01%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 11/01/2035#CA7953                                                                                                 | CUSIP: 3140QFZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1393270 | PA      | $1262925.65    | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 03/01/2053#SD8305                                                                                                   | CUSIP: 3132DWGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      704196 | PA      | $673981.93     | 0.00%             | 2053-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 02/01/2053#SD8298                                                                                                 | CUSIP: 3132DWGF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      585838 | PA      | $576301.84     | 0.00%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 1.5% 06/01/2051#SD2106                                                                                                 | CUSIP: 3132DPKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      908110 | PA      | $705333.93     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 04/01/2053#SD8315                                                                                                   | CUSIP: 3132DWGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7520041 | PA      | $7548725.11    | 0.02%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 12/01/2052#SD2080                                                                                                   | CUSIP: 3132DPJZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      226042 | PA      | $216484.65     | 0.00%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2052#FS3205                                                                                                 | CUSIP: 3140XJR39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12434788 | PA      | $10734558.36   | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV                                                                 | NYC TFA (PIT) 5.13% 2/1/2035                                                                                                     | CUSIP: 64971X6R4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      750000 | PA      | $775314.38     | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV                                                                 | NYC TFA (PIT) 5.15% 2/1/2036                                                                                                     | CUSIP: 64971X6S2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      750000 | PA      | $770535.08     | 0.00%             | 2036-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST                                                                              | ONSLOW BAY MORTGAGE LOAN TRUST VAR 10/25/2061 144A                                                                               | CUSIP: 67115DAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6631598 | PA      | $5774118.61    | 0.01%             | 2061-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 6% 12/20/2052#MA8492                                                                                                     | CUSIP: 36179XNH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5890576 | PA      | $6052097.26    | 0.01%             | 2052-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                                                                        | DUKE ENERGY OHIO INC 5.25% 04/01/2033                                                                                            | CUSIP: 26442EAJ9<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     1543000 | PA      | $1612412.75    | 0.00%             | 2033-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                                                | NISOURCE INC 5.25% 03/30/2028                                                                                                    | CUSIP: 65473PAN5<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |      130000 | PA      | $133371.01     | 0.00%             | 2028-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                                                          | METROPOLITAN LIFE GLOBAL FUNDING I 5.15% 03/28/2033 144A                                                                         | CUSIP: 59217GFP9<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |      920000 | PA      | $955268.25     | 0.00%             | 2033-03-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY IND INC                                                                                         | DUKE ENERGY IND INC 5.4% 04/01/2053                                                                                              | CUSIP: 26443TAD8<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |      436000 | PA      | $424164.20     | 0.00%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 5.2% 04/15/2063                                                                                           | CUSIP: 91324PEX6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     8010000 | PA      | $7350040.24    | 0.02%             | 2063-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 5.05% 04/15/2053                                                                                          | CUSIP: 91324PEW8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      195000 | PA      | $179875.91     | 0.00%             | 2053-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 4.5% 04/15/2033                                                                                           | CUSIP: 91324PEV0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     4285000 | PA      | $4276876.67    | 0.01%             | 2033-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC AND GAS CO                                                                          | PUBLIC SERVICE ELECTRIC AND GAS CO 4.65% 03/15/2033                                                                              | CUSIP: 74456QCL8<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     2890000 | PA      | $2922944.35    | 0.01%             | 2033-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                                                 | PROLOGIS LP 4.75% 06/15/2033                                                                                                     | CUSIP: 74340XCE9<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |      165000 | PA      | $167643.27     | 0.00%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                                                 | NUTRIEN LTD 4.9% 03/27/2028                                                                                                      | CUSIP: 67077MBA5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     3135000 | PA      | $3191408.37    | 0.01%             | 2028-03-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC/MD                                                                               | MARRIOTT INTERNATIONAL INC/MD 4.9% 04/15/2029                                                                                    | CUSIP: 571903BL6<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      925000 | PA      | $946753.84     | 0.00%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF COLORADO                                                                               | PUBLIC SERVICE CO OF COLORADO 5.25% 04/01/2053                                                                                   | CUSIP: 744448CY5<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |      750000 | PA      | $709362.47     | 0.00%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANCE AUTO LOAN TR 23-1A                                                                        | CREDIT ACCEPTANCE AUTO LOAN TR 23-1A 7.71% 07/15/2033 144A                                                                       | CUSIP: 224927AE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1008000 | PA      | $1028541.53    | 0.00%             | 2033-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO L P / PTL FIN CORP                                                                  | PENSKE TRUCK LEASING CO LP /CORP 5.55% 05/01/2028 144A                                                                           | CUSIP: 709599BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3375000 | PA      | $3475825.22    | 0.01%             | 2028-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER CO                                                                                  | SOUTHWESTERN ELEC POWER CO 5.3% 04/01/2033                                                                                       | CUSIP: 845437BU5<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |     1926000 | PA      | $1982208.33    | 0.00%             | 2033-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                                                                                 | BX 2021-LBA TSFR1M+91.45 02/15/2036 144A                                                                                         | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1559000 | PA      | $1557083.99    | 0.00%             | 2036-02-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE II LLC                                                                                        | NOBLE FINANCE II LLC 8% 04/15/2030 144A                                                                                          | CUSIP: 65505PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      280000 | PA      | $290886.40     | 0.00%             | 2030-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                                                    | GENERAL MTRS FINL CO INC 5.85% 04/06/2030                                                                                        | CUSIP: 37045XEG7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     2471000 | PA      | $2602160.93    | 0.01%             | 2030-04-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GROUP INC                                                                                    | CLOUD SOFTWARE GROUP INC 9% 09/30/2029 144A                                                                                      | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |      300000 | PA      | $309459.90     | 0.00%             | 2029-09-30      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| VALARIS LTD                                                                                                 | VALARIS LTD 8.375% 04/30/2030 144A                                                                                               | CUSIP: 91889FAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      455000 | PA      | $474684.67     | 0.00%             | 2030-04-30      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ZF NORTH AMER CAP INC                                                                                       | ZF NORTH AMER CAP INC 6.875% 04/14/2028 144A                                                                                     | CUSIP: 98877DAD7<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |      400000 | PA      | $408249.60     | 0.00%             | 2028-04-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UPMC HEALTH SYSTEM                                                                                          | UPMC HEALTH SYSTEM 5.377% 05/15/2043                                                                                             | CUSIP: 90320WAH6<br>LEI: 5493001YCBUGKVU74S74 | Long             | DBT              | CORP              | US        |      655000 | PA      | $648558.49     | 0.00%             | 2043-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UPMC HEALTH SYSTEM                                                                                          | UPMC HEALTH SYSTEM 5.035% 05/15/2033                                                                                             | CUSIP: 90320WAG8<br>LEI: 5493001YCBUGKVU74S74 | Long             | DBT              | CORP              | US        |      800000 | PA      | $821340.84     | 0.00%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF                                                                              | BRAZIL FEDERATIVE REPUBLIC OF 6% 10/20/2033                                                                                      | CUSIP: 105756CF5<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      700000 | PA      | $712600.00     | 0.00%             | 2033-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 01/01/2052#FS1171                                                                                                   | CUSIP: 3140XGJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3857875 | PA      | $3450177.27    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 11/01/2051#FM9464                                                                                                   | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33601 | PA      | $30344.14      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TR 2023-B                                                                       | WORLD OMNI AUTO RECEIVABLES TR 2023-B 4.66% 05/15/2028                                                                           | CUSIP: 98164QAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1665059 | PA      | $1668618.93    | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KNIFE RIVER CORP                                                                                            | KNIFE RIVER CORP 7.75% 05/01/2031 144A                                                                                           | CUSIP: 498894AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      357000 | PA      | $375468.68     | 0.00%             | 2031-05-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                                                        | CLEVELAND-CLIFFS INC 6.75% 04/15/2030 144A                                                                                       | CUSIP: 185899AN1<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      325000 | PA      | $332013.18     | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHURCHILL DOWNS INC                                                                                         | CHURCHILL DOWNS INC 6.75% 05/01/2031 144A                                                                                        | CUSIP: 171484AJ7<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |      155000 | PA      | $159867.93     | 0.00%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 04/01/2053#SD8317                                                                                                   | CUSIP: 3132DWG23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1120203 | PA      | $1151882.42    | 0.00%             | 2053-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYTEX ENERGY CORP                                                                                          | BAYTEX ENERGY CORP 8.5% 04/30/2030 144A                                                                                          | CUSIP: 07317QAJ4<br>LEI: 549300R5LTV2H7I1I079 | Long             | DBT              | CORP              | CA        |      514000 | PA      | $542132.19     | 0.00%             | 2030-04-30      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MH SUB I LLC                                                                                                | INTERNET BRANDS TERM B 1LN 05/03/2028                                                                                            | CUSIP: 45567YAN5<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |      489883 | PA      | $441673.24     | 0.00%             | 2028-05-03      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 5.389%/VAR 04/24/2034                                                                                     | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2061000 | PA      | $2160563.34    | 0.00%             | 2034-04-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KEDRION SPA                                                                                                 | KEDRION SPA 6.5% 09/01/2029 144A                                                                                                 | CUSIP: 49272YAB9<br>LEI: 81560047FA58E1BEDF67 | Long             | DBT              | CORP              | IT        |      414000 | PA      | $402089.15     | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                                                              | SMRT 2022-MINI D TSFR1M+195 01/15/2039 144A                                                                                      | CUSIP: 78457JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1820000 | PA      | $1810941.50    | 0.00%             | 2039-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 04/20/2053#MA8799                                                                                                   | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7661561 | PA      | $7540817.74    | 0.02%             | 2053-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DIAMOND II LTD                                                                                              | DIAMOND II LTD 7.95% 07/28/2026 REGS                                                                                             | CUSIP: N/A<br>LEI: 254900KL4GQ2XC50XL44       | Long             | DBT              | CORP              | MU        |      900000 | PA      | $902250.00     | 0.00%             | 2026-07-28      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 5.202%/VAR 04/25/2029                                                                                | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      136000 | PA      | $139473.20     | 0.00%             | 2029-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                                                                                    | SCE RECOVERY FUNDING LLC 4.697% 06/15/2042                                                                                       | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       27937 | PA      | $28442.04      | 0.00%             | 2042-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                                                   | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 6.75% 05/15/2028 144A                                                                  | CUSIP: 18060TAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      205000 | PA      | $210290.44     | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 5.25%/VAR 04/21/2034                                                                                              | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      259000 | PA      | $268886.18     | 0.00%             | 2034-04-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY CO                                                                                 | CANADIAN PAC RY CO 2.875% 11/15/2029                                                                                             | CUSIP: 13648TAC1<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |      265000 | PA      | $253067.63     | 0.00%             | 2029-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP CY873248 04/17/65 B                                                                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |       20000 | NC      | $3469.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                                            | CROWN CASTLE INC 5.1% 05/01/2033                                                                                                 | CUSIP: 22822VBC4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      234000 | PA      | $237230.43     | 0.00%             | 2033-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                                                                                    | SCE RECOVERY FUNDING LLC 5.112% 12/14/2049                                                                                       | CUSIP: 78433LAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        9000 | PA      | $8798.80       | 0.00%             | 2049-12-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 09/01/2041#FM8850                                                                                                 | CUSIP: 3140XCZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1619930 | PA      | $1464532.05    | 0.00%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 11/01/2041#FM9558                                                                                                 | CUSIP: 3140XDTQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1898816 | PA      | $1713376.02    | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2.5% 01/01/2042#RB5142                                                                                                 | CUSIP: 3133KYWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1862029 | PA      | $1678955.86    | 0.00%             | 2042-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 11/01/2041#MA4475                                                                                                 | CUSIP: 31418D6M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1221027 | PA      | $1102824.54    | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SIX FLAGS ENTERTAINMENT CORP                                                                                | SIX FLAGS ENTERTAINMENT CORP 7.25% 05/15/2031 144A                                                                               | CUSIP: 83001AAD4<br>LEI: 529900AS2CYWYFHRS781 | Long             | DBT              | CORP              | US        |      275000 | PA      | $262222.12     | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                                         | GSCOFI SWAP CY873248 04/17/65 B                                                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |       20000 | NC      | $3469.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SPA                                                                               | CASSA DEPOSITI E PRESTITI SPA 5.75% 05/05/2026 144A                                                                              | CUSIP: 147918AB2<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | NUSS              | IT        |     1200000 | PA      | $1207419.17    | 0.00%             | 2026-05-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 11/01/2041#BT9396                                                                                                 | CUSIP: 3140LYNN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      355262 | PA      | $321575.82     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2.5% 06/01/2041#BR1090                                                                                                 | CUSIP: 3140KYF82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      379714 | PA      | $344655.12     | 0.00%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2.5% 11/01/2041#QK1203                                                                                                 | CUSIP: 3133D4KQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      491730 | PA      | $445088.47     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2.5% 04/01/2042#SC0270                                                                                                 | CUSIP: 3132D9JP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      318478 | PA      | $287493.61     | 0.00%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 CO                                                                                              | PHILLIPS 66 CO 3.75% 03/01/2028                                                                                                  | CUSIP: 718547AH5<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |      695000 | PA      | $690107.60     | 0.00%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                                          | META PLATFORMS INC 5.6% 05/15/2053                                                                                               | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     2633000 | PA      | $2622807.37    | 0.01%             | 2053-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                                                | COMCAST CORP 5.35% 05/15/2053                                                                                                    | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     2467000 | PA      | $2274182.19    | 0.01%             | 2053-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 5.2% 06/01/2028                                                                                                          | CUSIP: 404119CP2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     3210000 | PA      | $3291685.67    | 0.01%             | 2028-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                                                 | AVOLON HOLDINGS FUNDING LTD 6.375% 05/04/2028 144A                                                                               | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     6970000 | PA      | $7267899.54    | 0.02%             | 2028-05-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                                                    | COREBRIDGE FINANCIAL INC 3.9% 04/05/2032                                                                                         | CUSIP: 21871XAH2<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     6908000 | PA      | $6566651.27    | 0.01%             | 2032-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQUIPMENTSHARE.COM INC                                                                                      | EQUIPMENTSHARE.COM INC 9% 05/15/2028 144A                                                                                        | CUSIP: 29450YAA7<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102065.60     | 0.00%             | 2028-05-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP CY451600 12/16/72 S                                                                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     7030000 | NC      | $31045.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.375% 05/15/2033                                                                                                      | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    41033000 | PA      | $39827655.63   | 0.09%             | 2033-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GLENCORE FDG LLC                                                                                            | GLENCORE FDG LLC 5.7% 05/08/2033 144A                                                                                            | CUSIP: 378272BL1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      321000 | PA      | $339635.22     | 0.00%             | 2033-05-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EMRLD BORROWER LP / EMERALD CO-ISSUER INC                                                                   | EMRLD BORROWER LP / EMERALD CO-ISSUER INC 6.625% 12/15/2030 144A                                                                 | CUSIP: 29103CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1697000 | PA      | $1758691.04    | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP CY451600 12/16/72 S                                                                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    10830000 | NC      | $47826.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                                                                   | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2553371 | PA      | $2350280.92    | 0.01%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM7 TRUST                                                                                         | OBX 2022-NQM7 TRUST STEP 08/25/2062 144A                                                                                         | CUSIP: 67117DAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3611682 | PA      | $3604248.24    | 0.01%             | 2062-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2023-2                                                         | AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2023-2 D 6.47% 08/13/2029 144A                                                      | CUSIP: 02529YAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1000000 | PA      | $1010941.60    | 0.00%             | 2029-08-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY873248 04/17/65 B                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |       90000 | NC      | $15614.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BALL CORP                                                                                                   | BALL CORP 6% 06/15/2029                                                                                                          | CUSIP: 058498AZ9<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |     2234000 | PA      | $2299246.20    | 0.01%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL AND GAS INC                                                                                    | NORTHERN OIL AND GAS INC 8.75% 06/15/2031 144A                                                                                   | CUSIP: 665530AB7<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |      285000 | PA      | $291411.36     | 0.00%             | 2031-06-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS and ELECTRIC CO                                                                               | BALTIMORE GAS and ELECTRIC CO 5.4% 06/01/2053                                                                                    | CUSIP: 059165EQ9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |      145000 | PA      | $142106.14     | 0.00%             | 2053-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2% 11/01/2041#RB5135                                                                                                   | CUSIP: 3133KYV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1574757 | PA      | $1381001.58    | 0.00%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                                                               | DTE ENERGY CO 4.875% 06/01/2028                                                                                                  | CUSIP: 233331BJ5<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |      280000 | PA      | $285084.04     | 0.00%             | 2028-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047                                                                                     | CUSIP: 3136BLES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     7254155 | PA      | $6570261.39    | 0.01%             | 2047-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA INC                                                                                  | BP CAP MARKETS AMERICA INC 4.893% 09/11/2033                                                                                     | CUSIP: 10373QBV1<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      829000 | PA      | $848833.23     | 0.00%             | 2033-09-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                                                                              | FORD CR FLOORPLN MAST OWN TR A 4.92% 05/15/2028 144A                                                                             | CUSIP: 34528QHV9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |     1800000 | PA      | $1806300.36    | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                                                     | ENTERGY MISSISSIPPI LLC 5% 09/01/2033                                                                                            | CUSIP: 29366WAD8<br>LEI: FKUZOUT82DOBGXFS6K20 | Long             | DBT              | CORP              | US        |      323000 | PA      | $330353.02     | 0.00%             | 2033-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EMRLD BORROWER LP / EMERALD CO-ISSUER INC                                                                   | EMRLD BORROWER LP / EMERALD CO-ISSUER INC 6.375% 12/15/2030 REGS                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |      100000 | PA      | $120952.34     | 0.00%             | 2030-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2023-V2 MORTGAGE TRUST                                                                            | BENCHMARK 2023-V2 MORTGAGE TRUST 5.8118% 05/15/2055                                                                              | CUSIP: 08163TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13000000 | PA      | $13437806.20   | 0.03%             | 2055-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 07/01/2041#CB2014                                                                                                 | CUSIP: 3140QMGY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      212439 | PA      | $192449.94     | 0.00%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 03/01/2040#FM2646                                                                                                 | CUSIP: 3140X55G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101889 | PA      | $92948.32      | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 04/01/2041#MA4312                                                                                                 | CUSIP: 31418DYJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      307807 | PA      | $279290.80     | 0.00%             | 2041-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENGINEERING INGEGNERIA INFORMA                                                                              | ENGINEERING INGEGNERIA INFORMA 11.125% 05/15/2028 REGS                                                                           | CUSIP: N/A<br>LEI: 81560042F5E23EE61346       | Long             | DBT              | CORP              | IT        |      100000 | PA      | $122709.04     | 0.00%             | 2028-05-15      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                                                        | EDISON INTERNATIONAL 5.25% 11/15/2028                                                                                            | CUSIP: 281020AY3<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |       94000 | PA      | $95357.55      | 0.00%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EIDP INC                                                                                                    | EIDP INC 4.8% 05/15/2033                                                                                                         | CUSIP: 263534CR8<br>LEI: GLU7INWNWH88J9XBXD45 | Long             | DBT              | CORP              | US        |      255000 | PA      | $256258.44     | 0.00%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE ED LN TR 2023-B                                                                                 | SMB PRIVATE ED LN TR 2023-B A1B SOFR30A+215 10/16/2056 144A                                                                      | CUSIP: 78449HAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      858662 | PA      | $875766.03     | 0.00%             | 2056-10-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                                                    | AES CORP 5.45% 06/01/2028                                                                                                        | CUSIP: 00130HCH6<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2659573.38    | 0.01%             | 2028-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUGET SOUND ENERGY INC                                                                                      | PUGET SOUND ENERGY INC 5.448% 06/01/2053                                                                                         | CUSIP: 745332CL8<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |       15000 | PA      | $14644.40      | 0.00%             | 2053-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| 522 FDG CLO 2019-5 LTD / 522 FDG CLO 2019-5                                                                 | 522 FDG CLO 2019-5 LTD / 522 FDG CLO 2019-5 AR TSFR3M+133 04/15/2035 144A                                                        | CUSIP: 33829WAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1001243.00    | 0.00%             | 2035-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                                                     | MNGT SWAP CY873248 04/17/65 B                                                                                                    | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |       20000 | NC      | $3469.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 4.856%/VAR 05/23/2033 REGS                                                                                     | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |      900000 | PA      | $1129032.53    | 0.00%             | 2033-05-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 1.5% 02/01/2051#SD8127                                                                                                 | CUSIP: 3132DWA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1516397 | PA      | $1177793.42    | 0.00%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTERPRISES PTE LTD                                                                       | PFIZER INVESTMENT ENTERPRISES PTE LTD 5.3% 05/19/2053                                                                            | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |      365000 | PA      | $353775.55     | 0.00%             | 2053-05-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FMC CORP                                                                                                    | FMC CORP 5.65% 05/18/2033                                                                                                        | CUSIP: 302491AX3<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |     2390000 | PA      | $2187366.26    | 0.00%             | 2033-05-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                                            | SOUTHERN COMPANY 5.2% 06/15/2033                                                                                                 | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      267000 | PA      | $275841.50     | 0.00%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                                         | GSCOFI SWAP CY873248 04/17/65 B                                                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |       50000 | NC      | $8674.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-2                                                               | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-2 C 5.47% 12/16/2030                                                                 | CUSIP: 80287JAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      740000 | PA      | $753049.23     | 0.00%             | 2030-12-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                                                       | ELECTRICITE DE FRANCE 6.9% 05/23/2053 144A                                                                                       | CUSIP: 28504DAD5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |      390000 | PA      | $439177.93     | 0.00%             | 2053-05-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| XPO INC                                                                                                     | XPO INC 7.125% 06/01/2031 144A                                                                                                   | CUSIP: 98379KAB8<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |      940000 | PA      | $983340.58     | 0.00%             | 2031-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| XPO INC                                                                                                     | XPO INC 6.25% 06/01/2028 144A                                                                                                    | CUSIP: 98379KAA0<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |      213000 | PA      | $217354.57     | 0.00%             | 2028-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MF1 2021-W10X                                                                                               | MF1 2021-W10X TSFR1M+107.033 12/15/2034 144A                                                                                     | CUSIP: 55284DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      480000 | PA      | $479776.32     | 0.00%             | 2034-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                                                      | VENTURE GLOBAL LNG INC 8.125% 06/01/2028 144A                                                                                    | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      960000 | PA      | $983303.04     | 0.00%             | 2028-06-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                                                      | VENTURE GLOBAL LNG INC 8.375% 06/01/2031 144A                                                                                    | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      416000 | PA      | $417027.52     | 0.00%             | 2031-06-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| COLT 2021-5 MORTGAGE LOAN TRUST                                                                             | COLT 2021-5 MORTGAGE LOAN TRUST 1.726% 11/26/2066 144A                                                                           | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      325470 | PA      | $297256.14     | 0.00%             | 2066-11-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM8 TR                                                                                           | CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 1.841% 10/25/2066 144A                                                               | CUSIP: 12659FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7572324 | PA      | $7016374.43    | 0.02%             | 2066-10-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                                                 | OVINTIV INC 6.25% 07/15/2033                                                                                                     | CUSIP: 69047QAC6<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |      617000 | PA      | $654545.49     | 0.00%             | 2033-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FD TR 2022-1                                                                         | HOMEWARD OPPORTUNITIES FUND TRUST 2022-1 5.082%/VAR 07/25/2067 144A                                                              | CUSIP: 43789KAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      145844 | PA      | $145682.68     | 0.00%             | 2067-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 4.9% 06/01/2026                                                                                    | CUSIP: 842400HW6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     2295000 | PA      | $2299176.40    | 0.01%             | 2026-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 03/01/2051#QB9275                                                                                                   | CUSIP: 3133AGJU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3501449 | PA      | $2874340.40    | 0.01%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 5.875% 12/01/2053                                                                                  | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     1079000 | PA      | $1054223.46    | 0.00%             | 2053-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                                                                   | IQVIA INC 6.5% 05/15/2030 144A                                                                                                   | CUSIP: 46266TAD0<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |       85000 | PA      | $88431.11      | 0.00%             | 2030-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.625% 05/31/2028                                                                                                      | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9741000 | PA      | $9772582.17    | 0.02%             | 2028-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2.5% 01/01/2041#SC0119                                                                                                 | CUSIP: 3132D9DY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      359478 | PA      | $326412.62     | 0.00%             | 2041-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 07/01/2040#CA6462                                                                                                 | CUSIP: 3140QEFC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      216664 | PA      | $197342.33     | 0.00%             | 2040-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIE MAE 4.5% 07/25/2048                                                                                                       | CUSIP: 3136BM7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2529939 | PA      | $2530593.50    | 0.01%             | 2048-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 4% 12/25/2048                                                                                     | CUSIP: 3136BNE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      775288 | PA      | $766473.27     | 0.00%             | 2048-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                                              | FAIRFAX FINANCIAL HLDGS LTD 5.625% 08/16/2032                                                                                    | CUSIP: 303901BL5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     6600000 | PA      | $6900641.02    | 0.02%             | 2032-08-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PARTNERS LP / AMERIGAS FINANCE CORP                                                                | AMERIGAS PARTN LP/AMERIGAS FIN 9.375% 06/01/2028 144A                                                                            | CUSIP: 030981AM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      273000 | PA      | $283422.32     | 0.00%             | 2028-06-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TR 2023-2                                                                       | GLS AUTO RECEIVABLES ISSUER TR 2023-2 5.69% 03/15/2029 144A                                                                      | CUSIP: 379928AG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      341000 | PA      | $342594.00     | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                                               | AEP TEXAS INC 5.4% 06/01/2033                                                                                                    | CUSIP: 00108WAR1<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     1580000 | PA      | $1639448.01    | 0.00%             | 2033-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMEREN ILL CO                                                                                               | AMEREN ILL CO 4.95% 06/01/2033                                                                                                   | CUSIP: 02361DBA7<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |     1419000 | PA      | $1460335.23    | 0.00%             | 2033-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2% 07/01/2041#SC0162                                                                                                   | CUSIP: 3132D9FB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6086464 | PA      | $5361273.34    | 0.01%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 07/01/2041#CB1069                                                                                                   | CUSIP: 3140QLFK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1651068 | PA      | $1457180.39    | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 11/01/2041#CB2110                                                                                                   | CUSIP: 3140QMKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2080001 | PA      | $1824561.76    | 0.00%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 12/01/2040#FM5042                                                                                                   | CUSIP: 3140X8S81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      511374 | PA      | $453408.20     | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 11/01/2041#FS0106                                                                                                   | CUSIP: 3140XFDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2607216 | PA      | $2287394.09    | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                                                                   | CUSIP: 3137H5J57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      519722 | PA      | $476436.55     | 0.00%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                                                                   | CUSIP: 3137H5UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      720401 | PA      | $645556.56     | 0.00%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                                                                   | CUSIP: 3137H5F77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      685244 | PA      | $627659.94     | 0.00%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 10/25/2047                                                                                   | CUSIP: 3137H62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      557852 | PA      | $512016.41     | 0.00%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048                                                                           | CUSIP: 3136BLMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      911922 | PA      | $855885.65     | 0.00%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048                                                                            | CUSIP: 3136BLRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1289822 | PA      | $1210885.01    | 0.00%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 5.35%/VAR 06/01/2034                                                                                       | CUSIP: 46647PDR4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       71000 | PA      | $74535.00      | 0.00%             | 2034-06-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ITC HLDGS CORP                                                                                              | ITC HLDGS CORP 5.4% 06/01/2033 144A                                                                                              | CUSIP: 465685AS4<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |      637000 | PA      | $660844.25     | 0.00%             | 2033-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOSCH (ROBERT) GMBH                                                                                         | BOSCH (ROBERT) GMBH 4.375% 06/02/2043 REGS                                                                                       | CUSIP: N/A<br>LEI: 529900F0LT5OP4SV6122       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $115464.25     | 0.00%             | 2043-06-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                                                    | COREBRIDGE FINANCIAL INC 4.35% 04/05/2042                                                                                        | CUSIP: 21871XAK5<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |      701000 | PA      | $603696.87     | 0.00%             | 2042-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 05/01/2053#CB6322                                                                                                 | CUSIP: 3140QSAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      207948 | PA      | $212017.02     | 0.00%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BMO 2023-C5 MTG TR                                                                                          | BMO 2023-C5 MTG TR 6.5176% 06/15/2056                                                                                            | CUSIP: 055988AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8500000 | PA      | $8757085.05    | 0.02%             | 2056-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AUSNET SERVICES HOLDINGS PTY LTD                                                                            | AUSNET SERVICES HOLDINGS PTY LTD 6.134% 05/31/2033                                                                               | CUSIP: N/A<br>LEI: TTMIG9TE1S0X3ZPDHD61       | Long             | DBT              | CORP              | AU        |      800000 | PA      | $546851.08     | 0.00%             | 2033-05-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 05/01/2053#FS4631                                                                                                 | CUSIP: 3140XLED6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3330229 | PA      | $3414120.42    | 0.01%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 05/01/2053#SD2891                                                                                                 | CUSIP: 3132DQF84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3136531 | PA      | $3214562.91    | 0.01%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 06/01/2053#CB6527                                                                                                 | CUSIP: 3140QSHD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1487034 | PA      | $1525887.84    | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 06/01/2053#CB6538                                                                                                   | CUSIP: 3140QSHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3377502 | PA      | $3509958.47    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 06/01/2053#CB6539                                                                                                   | CUSIP: 3140QSHR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1726488 | PA      | $1793656.56    | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANCE AUTO LOAN TRUST 2023-2                                                                    | CREDIT ACCEPTANCE AUTO LOAN TRUST 2023-2A C 7.15% 09/15/2033 144A                                                                | CUSIP: 22537EAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      658000 | PA      | $671254.82     | 0.00%             | 2033-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 6.1% 01/15/2029                                                                                      | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      483000 | PA      | $504868.60     | 0.00%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 6% 06/01/2053#RA9276                                                                                                   | CUSIP: 3133KRJV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      621938 | PA      | $646328.77     | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 6% 06/01/2053#RA9277                                                                                                   | CUSIP: 3133KRJW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      349206 | PA      | $362791.48     | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 6% 06/01/2053#RA9278                                                                                                   | CUSIP: 3133KRJX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      544579 | PA      | $564914.99     | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                                                       | TRUIST FINANCIAL CORP 6.047%/VAR 06/08/2027                                                                                      | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      194000 | PA      | $195762.56     | 0.00%             | 2027-06-08      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                                                       | TRUIST FINANCIAL CORP 5.867%/VAR 06/08/2034                                                                                      | CUSIP: 89788MAP7<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      978000 | PA      | $1043007.90    | 0.00%             | 2034-06-08      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY873248 04/17/65 B                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |       60000 | NC      | $10409.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                                              | BURLINGTON NORTHN SANTA FE LLC 5.2% 04/15/2054                                                                                   | CUSIP: 12189LBK6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1082000 | PA      | $1041895.70    | 0.00%             | 2054-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 07/01/2051#FS4654                                                                                                   | CUSIP: 3140XLE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2208621 | PA      | $1816508.29    | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 6.4% 06/15/2033                                                                                      | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      812000 | PA      | $881207.08     | 0.00%             | 2033-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GUATEMALA, REP OF                                                                                           | GUATEMALA REP OF 6.6% 06/13/2036 144A                                                                                            | CUSIP: 401494AW9<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |      200000 | PA      | $213850.00     | 0.00%             | 2036-06-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 08/01/2051#CB1281                                                                                                 | CUSIP: 3140QLM78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4682479 | PA      | $4029066.27    | 0.01%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 08/01/2051#CB1331                                                                                                 | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3773425 | PA      | $3246865.05    | 0.01%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 08/01/2051#CB1280                                                                                                 | CUSIP: 3140QLM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3614539 | PA      | $3110151.31    | 0.01%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 US LLC                                                                                | AVOLON TERM B6 1LN 06/22/2030                                                                                                    | CUSIP: 05400KAJ9<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |      784116 | PA      | $786719.63     | 0.00%             | 2030-06-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2023                                                                               | OCTANE RECEIVABLES TRUST 2023 6.24% 06/20/2031 144A                                                                              | CUSIP: 67571QAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2589000 | PA      | $2628395.26    | 0.01%             | 2031-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD                                                                                       | HUB INTERNATIONAL LTD 7.25% 06/15/2030 144A                                                                                      | CUSIP: 44332PAH4<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |      330000 | PA      | $345769.05     | 0.00%             | 2030-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTYS LP and RHP FIN CORP                                                                         | RHP HOTEL PPTYS LP and RHP FIN CORP 7.25% 07/15/2028 144A                                                                        | CUSIP: 749571AJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      374000 | PA      | $385837.10     | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                                              | US BANCORP DEL 5.836%/VAR 06/12/2034                                                                                             | CUSIP: 91159HJN1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      915000 | PA      | $981975.41     | 0.00%             | 2034-06-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2023-DELC                                                                                          | BX TRUST 2023-DELC TSFR1M+269 06/15/2038 144A                                                                                    | CUSIP: 05610DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1250000 | PA      | $1249995.88    | 0.00%             | 2038-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 2.5% 01/20/2052#785831                                                                                                   | CUSIP: 3622ABLL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1984734 | PA      | $1709929.23    | 0.00%             | 2052-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                                                       | ELECTRICITE DE FRANCE T5Y+NA PERP 144A                                                                                           | CUSIP: 28504KAA5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | EP               | CORP              | FR        |      570000 | PA      | $659493.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                                           | NATWEST GROUP PLC 5.808%/VAR 09/13/2029                                                                                          | CUSIP: 639057AK4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      240000 | PA      | $250199.44     | 0.00%             | 2029-09-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2.5% 06/25/2049                                                                                   | CUSIP: 3136BKND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2803888 | PA      | $2513432.66    | 0.01%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2.5% 09/25/2048                                                                                   | CUSIP: 3136BKUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1856285 | PA      | $1673655.21    | 0.00%             | 2048-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2% 02/25/2048                                                                                     | CUSIP: 3136BLFC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2665529 | PA      | $2414708.22    | 0.01%             | 2048-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2.5% 11/25/2047                                                                                   | CUSIP: 3136BLRR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2669547 | PA      | $2453990.16    | 0.01%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                                                     | MNGT SWAP CY873248 04/17/65 B                                                                                                    | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      370000 | NC      | $64194.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SVENSKA HANDELSBANKEN AB                                                                                    | SVENSKA HANDELSBANKEN AB 5.5% 06/15/2028 144A                                                                                    | CUSIP: 86959LAP8<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | DBT              | CORP              | SE        |      943000 | PA      | $976031.13     | 0.00%             | 2028-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCWEN LN INVT TR 2023-HB1                                                                                   | OCWEN LN INVT TR 2023-HB1 A 3% 06/25/2036 144A                                                                                   | CUSIP: 67578KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      135581 | PA      | $135023.83     | 0.00%             | 2036-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 06/01/2053#MA5038                                                                                                   | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5653050 | PA      | $5661974.68    | 0.01%             | 2053-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                                                         | INTESA SANPAOLO SPA 6.625% 06/20/2033 144A                                                                                       | CUSIP: 46115HBZ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      225000 | PA      | $248979.42     | 0.00%             | 2033-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2023-1 CLASS A PASS THROUGH TRUST                                                           | UNITED AIRLINES 2023-1 CLASS A PASS THROUGH TRUST 5.8% 07/15/2037                                                                | CUSIP: 90932LAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2201812 | PA      | $2323873.65    | 0.01%             | 2037-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                                                                               | ANGLIAN WATER SVCS FINANC PLC 5.875% 06/20/2031 REGS                                                                             | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |      565000 | PA      | $775233.11     | 0.00%             | 2031-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                                                                      | COX COMMUNICATIONS INC 5.45% 09/15/2028 144A                                                                                     | CUSIP: 224044CR6<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     2525000 | PA      | $2600649.25    | 0.01%             | 2028-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 4% 04/01/2038#SB8227                                                                                                   | CUSIP: 3132D6D80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      101299 | PA      | $100260.16     | 0.00%             | 2038-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 10/01/2051#CB1867                                                                                                 | CUSIP: 3140QMCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      912952 | PA      | $782416.34     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                                                      | EXTRA SPACE STORAGE LP 5.5% 07/01/2030                                                                                           | CUSIP: 30225VAK3<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     1458000 | PA      | $1524260.94    | 0.00%             | 2030-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048                                                                            | CUSIP: 3136BG6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      196910 | PA      | $167376.70     | 0.00%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048                                                                            | CUSIP: 3136BG6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      209258 | PA      | $177873.25     | 0.00%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048                                                                           | CUSIP: 3136BKJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      172518 | PA      | $155035.26     | 0.00%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050                                                                          | CUSIP: 3136BKWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      274019 | PA      | $246024.25     | 0.00%             | 2050-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049                                                                          | CUSIP: 3136BLYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      198596 | PA      | $178316.14     | 0.00%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                                      | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047                                                     | CUSIP: 3137H3SE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      156984 | PA      | $140508.36     | 0.00%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5175 CB 2.5% 04/25/2050                                                                           | CUSIP: 3137H4N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      996552 | PA      | $885787.44     | 0.00%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047                                                                           | CUSIP: 3137H5BG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      196041 | PA      | $179679.24     | 0.00%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5182 A 2.5% 10/25/2048                                                                            | CUSIP: 3137H5BQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1334715 | PA      | $1201748.43    | 0.00%             | 2048-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050                                                                           | CUSIP: 3137H5MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      232337 | PA      | $205551.51     | 0.00%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PALOMINO FUNDING TRUST I                                                                                    | PALOMINO FUNDING TRUST I 7.233% 05/17/2028 144A                                                                                  | CUSIP: 69754AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      300000 | PA      | $317443.83     | 0.00%             | 2028-05-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2% 07/25/2050                                                                                     | CUSIP: 3137FUAS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1488756 | PA      | $1262111.30    | 0.00%             | 2050-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 6% 07/01/2053#RA9382                                                                                                   | CUSIP: 3133KRM76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1744908 | PA      | $1813338.23    | 0.00%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 6% 07/01/2053#RA9383                                                                                                   | CUSIP: 3133KRM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1038966 | PA      | $1079386.64    | 0.00%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2.5% 03/01/2032#SB0878                                                                                                 | CUSIP: 3132CW6P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1670178 | PA      | $1615620.54    | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5.5% 05/20/2053#MA8879                                                                                                   | CUSIP: 36179X2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5115923 | PA      | $5195983.02    | 0.01%             | 2053-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN MTN                                                                                   | FEDERAL NATL MTG ASSN MTN 0% 03/17/2031                                                                                          | CUSIP: 3136F1EQ9<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |      515000 | PA      | $418800.35     | 0.00%             | 2031-03-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BRINKER INTERNATIONAL INC                                                                                   | BRINKER INTERNATIONAL INC 8.25% 07/15/2030 144A                                                                                  | CUSIP: 109641AK6<br>LEI: 52990067JY6PBGJNTG76 | Long             | DBT              | CORP              | US        |     1475000 | PA      | $1564901.25    | 0.00%             | 2030-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                                                                       | CIVITAS RESOURCES INC 8.375% 07/01/2028 144A                                                                                     | CUSIP: 17888HAA1<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |      834000 | PA      | $860140.06     | 0.00%             | 2028-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                                                                       | CIVITAS RESOURCES INC 8.75% 07/01/2031 144A                                                                                      | CUSIP: 17888HAB9<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |     1173000 | PA      | $1221495.34    | 0.00%             | 2031-07-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SIGECO SECURITIZATION I LLC                                                                                 | SIGECO SECURITIZATION I LLC 5.026% 11/15/2038                                                                                    | CUSIP: 82655KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       18941 | PA      | $19607.28      | 0.00%             | 2038-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.75% 06/30/2030                                                                                                       | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    81200000 | PA      | $81748734.17   | 0.19%             | 2030-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 05/01/2052#SD3015                                                                                                   | CUSIP: 3132DQK47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3132402 | PA      | $2802350.40    | 0.01%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 06/01/2053#MA5039                                                                                                 | CUSIP: 31418ES50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2223553 | PA      | $2262194.89    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 05/01/2053#MA5009                                                                                                   | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9567193 | PA      | $9594717.11    | 0.02%             | 2053-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-1                                                                      | CITIZENS AUTO RECEIVABLES TRUST 2023-1 5.84% 01/18/2028 144A                                                                     | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7380825 | PA      | $7423512.98    | 0.02%             | 2028-01-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                                                           | HYATT HOTELS CORP 5.75% 01/30/2027                                                                                               | CUSIP: 448579AQ5<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     1245000 | PA      | $1264169.54    | 0.00%             | 2027-01-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRINITY INDUSTRIES INC                                                                                      | TRINITY INDUSTRIES INC 7.75% 07/15/2028 144A                                                                                     | CUSIP: 896522AJ8<br>LEI: R1JB4KXN77XFCXOQKV49 | Long             | DBT              | CORP              | US        |      325000 | PA      | $338427.38     | 0.00%             | 2028-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.13% 07/01/2036#AN1812                                                                                                | CUSIP: 3138LEAN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      308050 | PA      | $292668.92     | 0.00%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.83% 04/01/2030#AM8426                                                                                                | CUSIP: 3138L9LG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      631554 | PA      | $604888.68     | 0.00%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 10/01/2051#FM9733                                                                                                 | CUSIP: 3140XDY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1734410 | PA      | $1501597.43    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 3% 12/20/2050                                                                                     | CUSIP: 38383MUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      583718 | PA      | $535950.88     | 0.00%             | 2050-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 07/01/2052#BV6778                                                                                                   | CUSIP: 3140MLQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2488467 | PA      | $2387918.06    | 0.01%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES 2020                                                                                  | TRICON AMERICAN HOMES 2020-SFR1 E 3.544% 07/17/2038 144A                                                                         | CUSIP: 89613GAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      800000 | PA      | $791142.88     | 0.00%             | 2038-07-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2062#BF0655                                                                                                 | CUSIP: 3140FXWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4871443 | PA      | $4454968.22    | 0.01%             | 2062-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 03/01/2061#BF0538                                                                                                 | CUSIP: 3140FXS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3906257 | PA      | $3594881.88    | 0.01%             | 2061-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.05% 10/01/2032#WN2305                                                                                                | CUSIP: 3132XGR32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6301000 | PA      | $5881180.75    | 0.01%             | 2032-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 06/01/2053#BV6808                                                                                                 | CUSIP: 3140MLR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2423172 | PA      | $2398114.26    | 0.01%             | 2053-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/01/2051#BR2948                                                                                                 | CUSIP: 3140L1H24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7450579 | PA      | $6406237.38    | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.6% 09/01/2028#AN2497                                                                                                 | CUSIP: 3138LEX30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      353740 | PA      | $341510.89     | 0.00%             | 2028-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.83% 10/01/2027#AN6905                                                                                                | CUSIP: 3138LKU70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      595000 | PA      | $578844.14     | 0.00%             | 2027-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.19% 11/01/2027#AM9605                                                                                                | CUSIP: 3138LAU72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      250000 | PA      | $246916.05     | 0.00%             | 2027-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                                                             | PERMIAN RESOURCES OPERATING LLC 9.875% 07/15/2031 144A                                                                           | CUSIP: 27034RAC7<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |       68000 | PA      | $73269.05      | 0.00%             | 2031-07-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 09/01/2051#RA5901                                                                                                   | CUSIP: 3133KMRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      535953 | PA      | $480821.10     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 11/01/2051#RA6347                                                                                                   | CUSIP: 3133KNBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      600906 | PA      | $539093.06     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 6% 06/20/2053#MA8949                                                                                                     | CUSIP: 36179X5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      741126 | PA      | $760289.70     | 0.00%             | 2053-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 04/01/2053#BY0439                                                                                                 | CUSIP: 3140NGPZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1915107 | PA      | $1952577.93    | 0.00%             | 2053-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                                                      | STANDARD CHARTERED PLC 6.187%/VAR 07/06/2027 144A                                                                                | CUSIP: 853254CT5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      700000 | PA      | $707934.42     | 0.00%             | 2027-07-06      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 08/01/2052#CB4610                                                                                                   | CUSIP: 3140QQDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2735316 | PA      | $2620518.85    | 0.01%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 03/01/2052#QD9467                                                                                                   | CUSIP: 3133B7QU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1186573 | PA      | $1138999.32    | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.37% 10/01/2030#BS8736                                                                                                | CUSIP: 3140LKV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2498331 | PA      | $2518154.26    | 0.01%             | 2030-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 10/01/2041#BQ6615                                                                                                   | CUSIP: 3140KSK55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      303522 | PA      | $266270.38     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 12/01/2041#BU7091                                                                                                   | CUSIP: 3140M82Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      708606 | PA      | $620931.92     | 0.00%             | 2041-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 10/01/2041#FM9396                                                                                                   | CUSIP: 3140XDNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1435884 | PA      | $1258849.60    | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 09/01/2041#FM8862                                                                                                   | CUSIP: 3140XCZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      452963 | PA      | $397533.13     | 0.00%             | 2041-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                                                  | MIZUHO FINL GROUP INC 5.778%/VAR 07/06/2029                                                                                      | CUSIP: 60687YCZ0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     1765000 | PA      | $1839059.15    | 0.00%             | 2029-07-06      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                                                  | MIZUHO FINL GROUP INC 5.748%/VAR 07/06/2034                                                                                      | CUSIP: 60687YDB2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $213510.40     | 0.00%             | 2034-07-06      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ADMIRAL GROUP PLC                                                                                           | ADMIRAL GROUP PLC 8.5% 01/06/2034 REGS                                                                                           | CUSIP: N/A<br>LEI: 213800FGVM7Z9EJB2685       | Long             | DBT              | CORP              | GB        |      400000 | PA      | $612505.15     | 0.00%             | 2034-01-06      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 03/01/2052#BQ7481                                                                                                   | CUSIP: 3140KTJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1087195 | PA      | $1045304.57    | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 02/01/2033#SB0621                                                                                                   | CUSIP: 3132CWVN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       80815 | PA      | $79361.50      | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.11% 04/01/2033#BS7740                                                                                                | CUSIP: 3140LJS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3436169 | PA      | $3416382.85    | 0.01%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 1.5% 04/20/2051                                                                                   | CUSIP: 38382WHR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      646519 | PA      | $566085.57     | 0.00%             | 2051-04-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 02/01/2031#FS1234                                                                                                   | CUSIP: 3140XGLQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      278262 | PA      | $273753.18     | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 09/01/2035#FS0112                                                                                                   | CUSIP: 3140XFDS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      553972 | PA      | $542578.58     | 0.00%             | 2035-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 11/01/2034#FS1799                                                                                                   | CUSIP: 3140XG7M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      162621 | PA      | $159616.88     | 0.00%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 07/01/2034#FM8940                                                                                                   | CUSIP: 3140XC5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      322676 | PA      | $317084.00     | 0.00%             | 2034-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.77% 09/01/2032#BS6472                                                                                                | CUSIP: 3140LHFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2000000 | PA      | $1955897.40    | 0.00%             | 2032-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 05/01/2050#BP7685                                                                                                 | CUSIP: 3140KFRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2722023 | PA      | $2348134.63    | 0.01%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                                                | ECOPETROL SA 8.625% 01/19/2029                                                                                                   | CUSIP: 279158AT6<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     3555000 | PA      | $3821056.20    | 0.01%             | 2029-01-19      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 1.75% 12/20/2051                                                                                  | CUSIP: 38383D3B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     1023491 | PA      | $853255.63     | 0.00%             | 2051-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 1.25% 09/20/2051                                                                                  | CUSIP: 38383AKY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      655585 | PA      | $573218.91     | 0.00%             | 2051-09-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2022-SFR3 TRUST                                                                              | FIRSTKEY HOMES 2022-SFR3 TRUST 3.5% 07/17/2038 144A                                                                              | CUSIP: 33768EAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3500000 | PA      | $3445511.30    | 0.01%             | 2038-07-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.32% 03/01/2029#AN4786                                                                                                | CUSIP: 3138LHJ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      893053 | PA      | $877595.53     | 0.00%             | 2029-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO LTD                                                                                              | ROMARK CLO LTD A1R TSFR3M+129.161 10/23/2030 144A                                                                                | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |        7038 | PA      | $7039.03       | 0.00%             | 2030-10-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BMD2 RE-REMIC TR 2019-FRR1                                                                                  | BMD2 RE-REMIC TR 2019-FRR1 2.202046% 05/25/2052 144A                                                                             | CUSIP: 055631GM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3565483.60    | 0.01%             | 2052-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 04/01/2052#RA7183                                                                                                   | CUSIP: 3133KN6U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      230025 | PA      | $219580.13     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 07/01/2050#BP9120                                                                                                 | CUSIP: 3140KHD24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4565970 | PA      | $3934523.09    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.24% 03/01/2033#BS7706                                                                                                | CUSIP: 3140LJR40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5289207 | PA      | $5306987.38    | 0.01%             | 2033-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.83% 09/01/2032#BS6689                                                                                                | CUSIP: 3140LHNF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6000000 | PA      | $5889125.40    | 0.01%             | 2032-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SHUTTERFLY FINANCE LLC                                                                                      | SHUTTERFLY FINANCE LLC PIK VAR 10/01/2027 144A                                                                                   | CUSIP: 82568NAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       41774 | PA      | $39789.74      | 0.00%             | 2027-10-01      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 03/01/2051#RA4749                                                                                                 | CUSIP: 3133KLH26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      495922 | PA      | $427959.03     | 0.00%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL PARIS                                                                                | BANQUE FED CRED MUTUEL PARIS 5.79% 07/13/2028 144A                                                                               | CUSIP: 06675FBB2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |     1800000 | PA      | $1872700.67    | 0.00%             | 2028-07-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 01/01/2051#FM5651                                                                                                 | CUSIP: 3140X9H57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      293271 | PA      | $253080.10     | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 5.5% 06/01/2053#RA9161                                                                                                 | CUSIP: 3133KRFA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1984698 | PA      | $2036555.09    | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 5.5% 05/01/2053#RA9058                                                                                                 | CUSIP: 3133KRB37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4049179 | PA      | $4160039.42    | 0.01%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 6% 06/20/2053#CV9606                                                                                                     | CUSIP: 3618F6U79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      794316 | PA      | $833596.35     | 0.00%             | 2053-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5.5% 07/20/2053#CS4314                                                                                                   | CUSIP: 3618AWYK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2031846 | PA      | $2090596.16    | 0.00%             | 2053-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 5% 06/20/2063#CU1091                                                                                                   | CUSIP: 3618BJF80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      532144 | PA      | $531041.49     | 0.00%             | 2063-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                                              | DEUTSCHE BANK AG NEW YORK BNCH 7.146%/VAR 07/13/2027                                                                             | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3458428.18    | 0.01%             | 2027-07-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 6% 06/20/2063#CU1092                                                                                                   | CUSIP: 3618BJF98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      639105 | PA      | $653134.71     | 0.00%             | 2063-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 5.5% 06/20/2063#CU1093                                                                                                 | CUSIP: 3618BJGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      363281 | PA      | $367632.27     | 0.00%             | 2063-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.5% 07/15/2026                                                                                                        | CUSIP: 91282CHM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10019000 | PA      | $10066793.74   | 0.02%             | 2026-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 07/01/2053#CB6673                                                                                                 | CUSIP: 3140QSMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2551617 | PA      | $2617489.24    | 0.01%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2023-B                                                                       | HYUNDAI AUTO RECEIVABLES TRUST 2023-B 5.48% 04/17/2028                                                                           | CUSIP: 44933XAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      828841 | PA      | $834857.68     | 0.00%             | 2028-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 06/01/2053#CB6724                                                                                                 | CUSIP: 3140QSPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      713850 | PA      | $706467.74     | 0.00%             | 2053-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 2.5% 12/20/2051#785791                                                                                                   | CUSIP: 3622ABKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1648390 | PA      | $1420154.89    | 0.00%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 07/01/2053#BY4736                                                                                                 | CUSIP: 3140NMHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1842813 | PA      | $1886931.87    | 0.00%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 06/01/2053#BY4741                                                                                                 | CUSIP: 3140NMHT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1554893 | PA      | $1626517.47    | 0.00%             | 2053-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 1% 03/20/2050                                                                                     | CUSIP: 38383CP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      282631 | PA      | $221564.41     | 0.00%             | 2050-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 2.842% 07/20/2071#CF8513                                                                                                 | CUSIP: 3617WAN63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2732564 | PA      | $2474359.84    | 0.01%             | 2071-07-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 2.939% 05/20/2071#CE5464                                                                                                 | CUSIP: 3617VUB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1377976 | PA      | $1250161.99    | 0.00%             | 2071-05-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 2.893% 08/20/2071#CF9559                                                                                                 | CUSIP: 3617WBTQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1087339 | PA      | $985438.91     | 0.00%             | 2071-08-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 12/01/2052#BX0467                                                                                                 | CUSIP: 3140N4QV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10924192 | PA      | $10736803.41   | 0.02%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 3% 07/20/2071#CF0297                                                                                                   | CUSIP: 3617W1KJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1329812 | PA      | $1211750.88    | 0.00%             | 2071-07-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.56% 10/01/2035#BL8874                                                                                                | CUSIP: 3140J12G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3154429 | PA      | $2509562.87    | 0.01%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SEADRILL FINANCE LTD                                                                                        | SEADRILL FINANCE LTD 8.375% 08/01/2030 144A                                                                                      | CUSIP: 81172QAA2<br>LEI: 213800WMN3OHFUDHD642 | Long             | DBT              | CORP              | BM        |      215000 | PA      | $222213.90     | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 06/01/2052#QE4026                                                                                                   | CUSIP: 3133BDPK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       91007 | PA      | $86846.44      | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 01/01/2053#MA4895                                                                                                 | CUSIP: 31418ENM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3177638 | PA      | $3303407.43    | 0.01%             | 2053-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY SOUTHN CALIF                                                                                     | UNIVERSITY SOUTHN CALIF 4.976% 10/01/2053                                                                                        | CUSIP: 914886AH9<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |      572000 | PA      | $541453.98     | 0.00%             | 2053-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                                                     | MNGT SWAP CY873248 04/17/65 B                                                                                                    | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      120000 | NC      | $20819.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOLT C LLC                                                                                                  | VOLT C LLC 1.9918% 05/25/2051 144A                                                                                               | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      161096 | PA      | $161062.13     | 0.00%             | 2051-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VERICREST OPPORTUNITY LOAN TRANSFEREE                                                                       | VERICREST OPPORTUNITY LOAN TRANSFEREE STEP 08/25/2051 144A                                                                       | CUSIP: 92873HAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      981382 | PA      | $981200.40     | 0.00%             | 2051-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 03/01/2050#FS5079                                                                                                   | CUSIP: 3140XLUD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      869018 | PA      | $886182.52     | 0.00%             | 2050-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RFM REREMIC TRUST 2022-FRR1                                                                                 | RFM REREMIC TRUST 2022-FRR1 VAR 03/01/2050 144A                                                                                  | CUSIP: 74971BBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3773363.20    | 0.01%             | 2050-03-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TR 2023-3                                                                                     | DT AUTO OWNER TR 2023-3 7.12% 05/15/2029 144A                                                                                    | CUSIP: 23345WAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3936000 | PA      | $4043121.78    | 0.01%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOLT CI LLC                                                                                                 | VOLT CI LLC 1.9918% 05/25/2051 144A                                                                                              | CUSIP: 92873EAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       29940 | PA      | $29929.31      | 0.00%             | 2051-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SIERRA TIMESHARE 2023-2 RECEIVABLES FUNDING LLC                                                             | SIERRA TIMESHARE 2023-2 RECEIVABLES FUNDING LLC 9.72% 04/20/2040 144A                                                            | CUSIP: 82650BAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      377080 | PA      | $397198.60     | 0.00%             | 2040-04-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TR 2021-C                                                                                  | OPORTUN ISSUANCE TRUST 2021-C A 2.18% 10/08/2031 144A                                                                            | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1870712 | PA      | $1837209.85    | 0.00%             | 2031-10-08      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GAM RE-REMIC TRUST 2021-FRR1                                                                                | GAM RE-REMIC TRUST FRR1 1B 2021-FRR1 0% 11/29/2050 144A                                                                          | CUSIP: 364614AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4548221.50    | 0.01%             | 2050-11-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 03/01/2052#FS4393                                                                                                   | CUSIP: 3140XK3B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1117173 | PA      | $1002252.84    | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 7.625%/VAR PERP                                                                                           | CUSIP: 95002YAA1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |      160000 | PA      | $170413.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2021-SFR2 TR                                                                                 | FIRSTKEY HOMES 2021-SFR2 TR 2.358% 09/17/2038 144A                                                                               | CUSIP: 33767TAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1763000 | PA      | $1721238.06    | 0.00%             | 2038-09-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERN FIN                                                                                          | COREVEST AMERICAN FINANCE 2018-1 E TRUST VAR 06/15/2051 144A                                                                     | CUSIP: 21872BAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3034000 | PA      | $3011169.15    | 0.01%             | 2051-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE                                                                                                  | GINNIE MAE II 6.5% 06/20/2053#CV0174                                                                                             | CUSIP: 3618BVFP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1197717 | PA      | $1263911.83    | 0.00%             | 2053-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 6% 07/20/2053#CT7475                                                                                                     | CUSIP: 3618BDJU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1104696 | PA      | $1144480.01    | 0.00%             | 2053-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 5.557%/VAR 07/25/2034                                                                                     | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     3672000 | PA      | $3889338.70    | 0.01%             | 2034-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 5.574%/VAR 07/25/2029                                                                                     | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    10556000 | PA      | $10940321.16   | 0.02%             | 2029-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMSR 2023-SFR2 TRUST                                                                                        | AMSR 2023-SFR2 TRUST 3.95% 06/17/2040 144A                                                                                       | CUSIP: 00178YAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3100000 | PA      | $2960888.43    | 0.01%             | 2040-06-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.75% 07/01/2033#AN9496                                                                                                | CUSIP: 3138LNRS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4000000 | PA      | $3882364.40    | 0.01%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONTARIO GAMING GTA LP/OTG CO-ISSUER INC                                                                     | ONTARIO GAMING GTA LP/OTG CO-ISSUER INC 8% 08/01/2030 144A                                                                       | CUSIP: 68306MAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       97000 | PA      | $95132.14      | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 5.449%/VAR 07/20/2029                                                                                             | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2058000 | PA      | $2126891.90    | 0.00%             | 2029-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 5.424%/VAR 07/21/2034                                                                                             | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      265000 | PA      | $277784.65     | 0.00%             | 2034-07-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE                                                                                                  | GINNIE MAE II 6.5% 07/20/2053#CV0172                                                                                             | CUSIP: 3618BVFM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1444093 | PA      | $1523904.21    | 0.00%             | 2053-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FINANCIAL GROUP INC                                                                               | JEFFERIES FINANCIAL GROUP INC 5.875% 07/21/2028                                                                                  | CUSIP: 47233WBM0<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |     2330000 | PA      | $2415993.08    | 0.01%             | 2028-07-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LCM INVESTMENTS HOLDINGS II LLC                                                                             | LCM INVESTMENTS HOLDINGS II LLC 8.25% 08/01/2031 144A                                                                            | CUSIP: 50190EAC8<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105504.80     | 0.00%             | 2031-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| HEICO CORP NEW                                                                                              | HEICO CORP NEW 5.25% 08/01/2028                                                                                                  | CUSIP: 422806AA7<br>LEI: 529900O1DTDLCJ7L0I14 | Long             | DBT              | CORP              | US        |     1220000 | PA      | $1256936.07    | 0.00%             | 2028-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAND INDUSTRIAL SERVICES INC                                                                               | BRAND INDUSTRIAL SERVICES INC 10.375% 08/01/2030 144A                                                                            | CUSIP: 104931AA8<br>LEI: 549300B658W2BPDQMW42 | Long             | DBT              | CORP              | US        |      195000 | PA      | $191228.10     | 0.00%             | 2030-08-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FINANCE DAC                                                                           | SMBC AVIATION CAPITAL FINANCE DAC 5.7% 07/25/2033 144A                                                                           | CUSIP: 78448TAK8<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |     2365000 | PA      | $2489340.51    | 0.01%             | 2033-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4% 07/31/2030                                                                                                          | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      130000 | PA      | $132244.53     | 0.00%             | 2030-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIE MAE 3% 05/25/2048                                                                                                         | CUSIP: 3136BMAC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      468358 | PA      | $439592.70     | 0.00%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3% 01/25/2049                                                                                     | CUSIP: 3137H5ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      349717 | PA      | $327124.66     | 0.00%             | 2049-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BXG RECEIVABLES NT TR 2023-A                                                                                | BXG RECEIVABLES NT TR 2023-A 7.38% 11/15/2038 144A                                                                               | CUSIP: 123919AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      376510 | PA      | $386266.53     | 0.00%             | 2038-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMSR 2021-SFR2 TR                                                                                           | AMSR 2021-SFR2 TR 2.278% 08/17/2038 144A                                                                                         | CUSIP: 00179VAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1150000 | PA      | $1126466.29    | 0.00%             | 2038-08-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MASTEC INC                                                                                                  | MASTEC INC 6.625% 08/15/2029 144A                                                                                                | CUSIP: 576323AQ2<br>LEI: 549300TMDIT8WREDOF45 | Long             | DBT              | CORP              | US        |       43000 | PA      | $43242.95      | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SHUTTERFLY FINANCE LLC                                                                                      | SHUTTERFLY FINANCE LLC 9.75% 10/01/2027 144A                                                                                     | CUSIP: 82568NAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        4660 | PA      | $4660.00       | 0.00%             | 2027-10-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVE SECS TR 2023-R06                                                                            | CONNECTICUT AVE SECS TR 2023-R06 1M2 SOFR30A+270 07/25/2043 144A                                                                 | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2500000 | PA      | $2570016.50    | 0.01%             | 2043-07-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 07/01/2052#SD1293                                                                                                 | CUSIP: 3132DNNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      574960 | PA      | $566318.86     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 07/01/2052#SD1303                                                                                                 | CUSIP: 3132DNNU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      303410 | PA      | $298850.09     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 08/01/2052#SD1794                                                                                                 | CUSIP: 3132DN7F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      475715 | PA      | $468565.92     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 03/01/2052#SD2301                                                                                                 | CUSIP: 3132DPRW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      587829 | PA      | $547309.80     | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.55% 11/01/2032#WA3237                                                                                                | CUSIP: 3132WWZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      430799 | PA      | $415974.50     | 0.00%             | 2032-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA CSTR 08/25/2032                                                                                   | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      412499 | PA      | $401195.08     | 0.00%             | 2032-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANC AMER ALTERNATIVE LN TR                                                                                 | BANC AMER ALTERNATIVE LN TR 5% 05/25/2048                                                                                        | CUSIP: 05948KSN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         265 | PA      | $233.69        | 0.00%             | 2048-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MSCR 2021-MN3 M1                                                                                            | MSCR 2021-MN3 M1 SOFR30A+400 11/25/2051 144A                                                                                     | CUSIP: 35563GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6605728 | PA      | $6842803.61    | 0.02%             | 2051-11-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MVW 2022-2 LLC                                                                                              | MVW 2022-2 LLC 9% 10/21/2041 144A                                                                                                | CUSIP: 55400VAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      182695 | PA      | $185365.82     | 0.00%             | 2041-10-21      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SIERRA TIMESHARE 2023-1 RECEIVABLES FUNDING LLC                                                             | SIERRA TIMESHARE 2023-1 RECEIVABLES FUNDING LLC 9.8% 01/20/2040 144A                                                             | CUSIP: 826943AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      577397 | PA      | $606491.38     | 0.00%             | 2040-01-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 08/01/2052#QE8091                                                                                                   | CUSIP: 3133BH7C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      820046 | PA      | $782554.92     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 09/01/2052#FS2982                                                                                                   | CUSIP: 3140XJJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      452059 | PA      | $454771.88     | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 08/01/2051#CB1411                                                                                                   | CUSIP: 3140QLR99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      630727 | PA      | $566634.71     | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 07/01/2053#BY4776                                                                                                   | CUSIP: 3140NMJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1234192 | PA      | $1233675.14    | 0.00%             | 2053-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 11/01/2050#BF0533                                                                                                 | CUSIP: 3140FXSX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      478210 | PA      | $422387.44     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3% 02/20/2052#786362                                                                                                     | CUSIP: 3622AB5X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      292755 | PA      | $259863.64     | 0.00%             | 2052-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 09/01/2052#FS3829                                                                                                 | CUSIP: 3140XKHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      158182 | PA      | $155804.97     | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMREICA AUTO TR 2023-1A                                                                             | BANK OF AMREICA AUTO TR 2023-1A A3 5.53% 02/15/2028 144A                                                                         | CUSIP: 06428AAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1376259 | PA      | $1385711.86    | 0.00%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RADNOR RE 2022-1 LTD                                                                                        | RADNOR RE 2022-1 LTD SOFR30A+675 09/25/2032 144A                                                                                 | CUSIP: 75049XAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      282852 | PA      | $292304.33     | 0.00%             | 2032-09-25      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/01/2052#FS3536                                                                                                 | CUSIP: 3140XJ4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      521104 | PA      | $513272.90     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOODGREEN 2023-1                                                                                            | GOODGREEN 2023-1 5.9% 01/17/2061 144A                                                                                            | CUSIP: 38217DAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      555290 | PA      | $550101.39     | 0.00%             | 2061-01-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.895% 02/01/2033#BS7843                                                                                               | CUSIP: 3140LJWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      559653 | PA      | $550292.97     | 0.00%             | 2033-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLAA 2023-1A                                                                                               | DLLAA 2023-1A 5.64% 02/22/2028 144A                                                                                              | CUSIP: 23292HAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1752769 | PA      | $1771296.09    | 0.00%             | 2028-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 03/01/2052#FS1954                                                                                                   | CUSIP: 3140XHE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      675468 | PA      | $611050.61     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/01/2052#FS2588                                                                                                 | CUSIP: 3140XH2W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1225614 | PA      | $1207195.28    | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2052#FS3428                                                                                                   | CUSIP: 3140XJY23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      657148 | PA      | $631211.74     | 0.00%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2023-1                                                                    | GLS AUTO SELECT RECEIVABLES TRUST 2023-1 6.09% 03/15/2029 144A                                                                   | CUSIP: 36267FAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      175000 | PA      | $178558.89     | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SIGECO SECURITIZATION I LLC                                                                                 | SIGECO SECURITIZATION I LLC 5.172% 05/15/2043                                                                                    | CUSIP: 82655KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        8000 | PA      | $8067.74       | 0.00%             | 2043-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 11/01/2052#FS3457                                                                                                 | CUSIP: 3140XJZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      706009 | PA      | $695178.57     | 0.00%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 03/01/2053#CB5907                                                                                                 | CUSIP: 3140QRR54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      484196 | PA      | $494728.76     | 0.00%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 10/01/2051#CB1901                                                                                                 | CUSIP: 3140QMDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      520592 | PA      | $454778.94     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 07/01/2050#CA6361                                                                                                 | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      587560 | PA      | $511812.07     | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                                                                         | FIFTH THIRD BANCORP 6.339%/VAR 07/27/2029                                                                                        | CUSIP: 316773DK3<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     2815000 | PA      | $2966023.34    | 0.01%             | 2029-07-27      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE                                                                                              | PUBLIC STORAGE 5.1% 08/01/2033                                                                                                   | CUSIP: 74460WAG2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |      171000 | PA      | $178350.11     | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                                                | UNIVISION COMMUNICATIONS INC 8% 08/15/2028 144A                                                                                  | CUSIP: 914906AY8<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |     1610000 | PA      | $1661492.63    | 0.00%             | 2028-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 05/01/2053#CB6314                                                                                                   | CUSIP: 3140QSAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      432066 | PA      | $433713.98     | 0.00%             | 2053-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 09/01/2052#CB4628                                                                                                   | CUSIP: 3140QQEA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      954409 | PA      | $960734.21     | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 05/01/2052#CB3608                                                                                                 | CUSIP: 3140QPAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2331825 | PA      | $2165261.62    | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2023-2                                                                               | MARLETTE FUNDING TRUST 2023-2 6.96% 06/15/2033 144A                                                                              | CUSIP: 57109LAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      149074 | PA      | $149843.17     | 0.00%             | 2033-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMSR 2023-SFR1 TR                                                                                           | AMSR 2023-SFR1 TR 4% 04/17/2040 144A                                                                                             | CUSIP: 66981XAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4644946 | PA      | $4414284.48    | 0.01%             | 2040-04-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.11% 01/01/2032#BS4375                                                                                                | CUSIP: 3140LE2H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4925290 | PA      | $4427390.88    | 0.01%             | 2032-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/01/2050#CA5702                                                                                                 | CUSIP: 3140QDKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      607121 | PA      | $527902.88     | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 10/01/2052#BX0098                                                                                                   | CUSIP: 3140N4DC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      343639 | PA      | $347956.49     | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 06/01/2053#BY4714                                                                                                   | CUSIP: 3140NMGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1431999 | PA      | $1438356.29    | 0.00%             | 2053-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.37% 05/01/2033#BS8546                                                                                                | CUSIP: 3140LKP80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      487100 | PA      | $491807.72     | 0.00%             | 2033-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.48% 04/01/2033#BS8141                                                                                                | CUSIP: 3140LKBK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      446114 | PA      | $453698.96     | 0.00%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                                           | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1 3% 03/25/2058                                                                  | CUSIP: 35563PGZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1885337 | PA      | $1642892.06    | 0.00%             | 2058-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.33% 01/01/2033#BS7496                                                                                                | CUSIP: 3140LJKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      731382 | PA      | $737927.65     | 0.00%             | 2033-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.88% 12/01/2032#BS7320                                                                                                | CUSIP: 3140LJD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      234042 | PA      | $241239.70     | 0.00%             | 2032-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.17% 10/01/2034#WN1167                                                                                                | CUSIP: 3132XFJM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      585106 | PA      | $576779.59     | 0.00%             | 2034-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.85% 09/01/2032#WN1179                                                                                                | CUSIP: 3132XFJZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      509042 | PA      | $498771.52     | 0.00%             | 2032-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 11/01/2052#QF3378                                                                                                   | CUSIP: 3133BQXF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      362879 | PA      | $367438.20     | 0.00%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 11/01/2052#QF3433                                                                                                   | CUSIP: 3133BQY67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      465622 | PA      | $471472.43     | 0.00%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 12/01/2052#QF5369                                                                                                   | CUSIP: 3133BS6E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      470869 | PA      | $476049.81     | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 03/01/2053#RA8766                                                                                                   | CUSIP: 3133KQW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      952851 | PA      | $957676.66     | 0.00%             | 2053-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 12/01/2061#BF0584                                                                                                 | CUSIP: 3140FXUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      192070 | PA      | $188943.30     | 0.00%             | 2061-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/01/2062#BF0617                                                                                                 | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      973852 | PA      | $802045.91     | 0.00%             | 2062-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 06/01/2062#BF0654                                                                                                   | CUSIP: 3140FXWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      583283 | PA      | $509611.94     | 0.00%             | 2062-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 09/01/2062#BF0677                                                                                                   | CUSIP: 3140FXXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1215866 | PA      | $1152298.97    | 0.00%             | 2062-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 03/01/2061#BM7075                                                                                                   | CUSIP: 3140JB2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      300510 | PA      | $263681.56     | 0.00%             | 2061-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 07/01/2050#BP6439                                                                                                 | CUSIP: 3140KEEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1134719 | PA      | $967510.64     | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.96% 09/01/2033#BS3020                                                                                                | CUSIP: 3140LDLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      248670 | PA      | $211211.05     | 0.00%             | 2033-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.09% 05/01/2032#BS5332                                                                                                | CUSIP: 3140LF4S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      182845 | PA      | $172457.23     | 0.00%             | 2032-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.26% 05/01/2032#BS5440                                                                                                | CUSIP: 3140LGBJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      429906 | PA      | $409506.27     | 0.00%             | 2032-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.13% 05/01/2032#BS5500                                                                                                | CUSIP: 3140LGDE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      336436 | PA      | $318092.77     | 0.00%             | 2032-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.75% 09/01/2034#BS6427                                                                                                | CUSIP: 3140LHD98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      389300 | PA      | $373864.49     | 0.00%             | 2034-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 08/01/2053#MA5107                                                                                                 | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3839086 | PA      | $3899804.92    | 0.01%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.51% 07/01/2033#BS9089                                                                                                | CUSIP: 3140LLC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2938829 | PA      | $2990118.33    | 0.01%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                                                      | EXTRA SPACE STORAGE LP 2.2% 10/15/2030                                                                                           | CUSIP: 30225VAP2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     3399000 | PA      | $3071118.12    | 0.01%             | 2030-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BXG RECEIVABLES NT TR 2020-A                                                                                | BXG RECEIVABLES NOTE TRUST 2020-A B 2.49% 02/28/2036 144A                                                                        | CUSIP: 05608TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      739922 | PA      | $718614.74     | 0.00%             | 2036-02-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 3% 08/25/2046                                                                                     | CUSIP: 3136BL5X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      592668 | PA      | $564566.10     | 0.00%             | 2046-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 3% 06/25/2049                                                                                     | CUSIP: 3136BMER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      777589 | PA      | $730453.53     | 0.00%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BMO 2023-5C1 MTG TR                                                                                         | BMO 2023-5C1 MTG TR 6.534% 08/15/2056                                                                                            | CUSIP: 055986AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $10486868.00   | 0.02%             | 2056-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 07/01/2053#                                                                                                         | CUSIP: 3140MLR93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      635473 | PA      | $608008.42     | 0.00%             | 2053-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD MULTIFAMILY REMIC PASS THRU SECS                                               | GOVERNMENT NATL MTG ASN MLFY R VAR 03/16/2063                                                                                    | CUSIP: 38380RXJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    13436790 | PA      | $1118982.27    | 0.00%             | 2063-03-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 9YR 4.73% 10/01/2032#BS8959                                                                                                 | CUSIP: 3140LK5V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      536805 | PA      | $548664.58     | 0.00%             | 2032-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 10YR 4.32% 07/01/2033#BS9007                                                                                                | CUSIP: 3140LLAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      507350 | PA      | $510897.29     | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                                                                   | L3HARRIS TECHNOLOGIES INC 5.4% 01/15/2027                                                                                        | CUSIP: 502431AP4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     3030000 | PA      | $3075441.64    | 0.01%             | 2027-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                                                                   | L3HARRIS TECHNOLOGIES INC 5.6% 07/31/2053                                                                                        | CUSIP: 502431AR0<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |      120000 | PA      | $120995.63     | 0.00%             | 2053-07-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 02/01/2035#FM6733                                                                                                 | CUSIP: 3140XAPT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      278588 | PA      | $269799.08     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 04/01/2036#FM9743                                                                                                 | CUSIP: 3140XDZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      505349 | PA      | $489211.34     | 0.00%             | 2036-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.19% 07/01/2033#WN3233                                                                                                | CUSIP: 3132XHSX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5966854 | PA      | $5597192.70    | 0.01%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO L P / PTL FIN CORP                                                                  | PENSKE TRUCK LEASING CO LP /CORP 6.05% 08/01/2028 144A                                                                           | CUSIP: 709599BW3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2105000 | PA      | $2198055.59    | 0.00%             | 2028-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                                                    | LLOYDS BANKING GROUP PLC 5.985%/VAR 08/07/2027                                                                                   | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     1000000 | PA      | $1012052.85    | 0.00%             | 2027-08-07      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                                            | BAT CAPITAL CORP 6.343% 08/02/2030                                                                                               | CUSIP: 054989AA6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1270000 | PA      | $1374336.49    | 0.00%             | 2030-08-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                                               | BAT INTL FINANCE PLC 5.931% 02/02/2029                                                                                           | CUSIP: 05530QAQ3<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |      395000 | PA      | $415217.50     | 0.00%             | 2029-02-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VT TOPCO INC                                                                                                | VT TOPCO INC 8.5% 08/15/2030 144A                                                                                                | CUSIP: 91838PAA9<br>LEI: 5493007T812R37X02Y38 | Long             | DBT              | CORP              | US        |      285000 | PA      | $296796.15     | 0.00%             | 2030-08-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                                                          | BANCO SANTANDER SA 5.588% 08/08/2028                                                                                             | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     1400000 | PA      | $1452300.95    | 0.00%             | 2028-08-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LAMAR TX ISD                                                                                                | LAMAR TX ISD(PSF) 5% 2/15/58                                                                                                     | CUSIP: 513174M25<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      980000 | PA      | $1014415.54    | 0.00%             | 2058-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                                            | BAT CAPITAL CORP 7.079% 08/02/2043                                                                                               | CUSIP: 054989AC2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1813000 | PA      | $2052985.72    | 0.00%             | 2043-08-02      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                                            | BAT CAPITAL CORP 7.081% 08/02/2053                                                                                               | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      254000 | PA      | $290569.67     | 0.00%             | 2053-08-02      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TRINET GROUP INC                                                                                            | TRINET GROUP INC 7.125% 08/15/2031 144A                                                                                          | CUSIP: 896288AC1<br>LEI: 5299003FJVBETSFKE990 | Long             | DBT              | CORP              | US        |      265000 | PA      | $274243.47     | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENTRAL PARENT LLC / CDK GLO                                                                                | CNT PRNT/CDK GLO II/FIN 8% 06/15/2029 144A                                                                                       | CUSIP: 154915AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $85239.69      | 0.00%             | 2029-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 08/01/2053#CB6911                                                                                                 | CUSIP: 3140QSVD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1180971 | PA      | $1214780.57    | 0.00%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 06/01/2053#CB6642                                                                                                 | CUSIP: 3140QSLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      345409 | PA      | $355297.79     | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN CR ACCEP RECEIVABLES TR 2023-3                                                                     | AMERICAN CR ACCEP RECEIVABLES TR 2023-3 6.82% 10/12/2029 144A                                                                    | CUSIP: 02530EAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2180000 | PA      | $2221140.09    | 0.01%             | 2029-10-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS TRUST 2023-1A                                                                        | HILTON GRAND VACATIONS TRUST 2023-1A C 6.94% 01/25/2038 144A                                                                     | CUSIP: 432917AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1576592 | PA      | $1629282.57    | 0.00%             | 2038-01-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RENEW 2023-1                                                                                                | RENEW 2023-1A A 5.9% 11/20/2058 144A                                                                                             | CUSIP: 75973HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2462420 | PA      | $2461118.14    | 0.01%             | 2058-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.875% 08/15/2033                                                                                                      | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    59511000 | PA      | $59622583.13   | 0.13%             | 2033-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.125% 08/15/2053                                                                                    | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    78159600 | PA      | $71274838.16   | 0.16%             | 2053-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 08/01/2051#SD2230                                                                                                   | CUSIP: 3132DPPP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      640111 | PA      | $525867.62     | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                                         | COLUMBIA PIPELINES OPERATING CO LLC 5.927% 08/15/2030 144A                                                                       | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      957000 | PA      | $1016003.52    | 0.00%             | 2030-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                                         | COLUMBIA PIPELINES OPERATING CO LLC 6.497% 08/15/2043 144A                                                                       | CUSIP: 19828TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      971000 | PA      | $1041369.28    | 0.00%             | 2043-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                                         | COLUMBIA PIPELINES OPERATING CO LLC 6.544% 11/15/2053 144A                                                                       | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1389000 | PA      | $1498672.80    | 0.00%             | 2053-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 5.5% 08/01/2053#RA9619                                                                                                 | CUSIP: 3133KRVL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4170123 | PA      | $4282991.83    | 0.01%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                                         | COLUMBIA PIPELINES OPERATING CO LLC 6.714% 08/15/2063 144A                                                                       | CUSIP: 19828TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      831000 | PA      | $916554.63     | 0.00%             | 2063-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 5% 08/01/2053#RA9615                                                                                                   | CUSIP: 3133KRVG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1035502 | PA      | $1043335.27    | 0.00%             | 2053-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                                         | COLUMBIA PIPELINES OPERATING CO LLC 6.036% 11/15/2033 144A                                                                       | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6190000 | PA      | $6647159.66    | 0.02%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2023-C                                                                    | WORLD OMNI AUTO RECEIVABLES TRUST 2023-C 5.15% 11/15/2028                                                                        | CUSIP: 98164FAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1094200 | PA      | $1099999.69    | 0.00%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GAM RE-REMIC TR 2022-FRR3                                                                                   | GAM RE-REMIC TR 2022-FRR3 BK89 0% 01/27/2052 144A                                                                                | CUSIP: 36459DCQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6000000 | PA      | $4965549.00    | 0.01%             | 2052-01-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 07/01/2053#BY3039                                                                                                   | CUSIP: 3140NKLV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2170208 | PA      | $2190693.80    | 0.00%             | 2053-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 07/01/2053#BY4772                                                                                                   | CUSIP: 3140NMJS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2115288 | PA      | $2188328.60    | 0.00%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 08/01/2053#BY4792                                                                                                 | CUSIP: 3140NMKE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1120962 | PA      | $1141493.38    | 0.00%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 07/01/2053#BY4771                                                                                                   | CUSIP: 3140NMJR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      827090 | PA      | $857975.71     | 0.00%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 07/01/2036#CB1180                                                                                                   | CUSIP: 3140QLJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       76970 | PA      | $71459.30      | 0.00%             | 2036-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 08/01/2053#BY8580                                                                                                 | CUSIP: 3140NRRA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1961383 | PA      | $1997307.71    | 0.00%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040                                                                                     | CUSIP: 3137FXBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      364362 | PA      | $334694.18     | 0.00%             | 2040-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                                                                   | CUSIP: 3137H5FF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      522877 | PA      | $468406.67     | 0.00%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049                                                                                   | CUSIP: 3137H5J24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      522879 | PA      | $468407.44     | 0.00%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                                                                   | CUSIP: 3137H5VK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      623524 | PA      | $558704.09     | 0.00%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.67% 07/01/2033#AN9700                                                                                                | CUSIP: 3138LNX63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2000000 | PA      | $1938027.60    | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                                           | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1 3% 10/25/2062 144A                                                             | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4923430 | PA      | $4184216.96    | 0.01%             | 2062-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS and ELECTRIC CO                                                                               | SAN DIEGO GAS and ELECTRIC CO 4.95% 08/15/2028                                                                                   | CUSIP: 797440CE2<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |      731000 | PA      | $748579.86     | 0.00%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2023-SHIP                                                                               | GS MTG SECS CORP TR 2023-SHIP A VAR 09/06/2026 144A                                                                              | CUSIP: 36270GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4140000 | PA      | $4132560.42    | 0.01%             | 2038-09-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 5.887%/VAR 08/14/2027                                                                                          | CUSIP: 404280DZ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     2285000 | PA      | $2311743.66    | 0.01%             | 2027-08-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 08/01/2051#SD3092                                                                                                 | CUSIP: 3132DQNH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4745703 | PA      | $4110161.87    | 0.01%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TENNECO INC                                                                                                 | TENNECO INC 8% 11/17/2028 144A                                                                                                   | CUSIP: 880349AU9<br>LEI: 549300U0EXXFAQFAD785 | Long             | DBT              | CORP              | US        |     3475000 | PA      | $3473996.42    | 0.01%             | 2028-11-17      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 5% 05/01/2053#RA9045                                                                                                   | CUSIP: 3133KRBN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1033737 | PA      | $1044463.70    | 0.00%             | 2053-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 03/01/2053#SD2666                                                                                                   | CUSIP: 3132DP6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1012904 | PA      | $1023098.39    | 0.00%             | 2053-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 5% 05/01/2053#RA9056                                                                                                   | CUSIP: 3133KRBZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      573416 | PA      | $576140.42     | 0.00%             | 2053-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHL MTG PASS-THROUGH TR 2007-3                                                                              | CHL MTG PASS-THROUGH TR 2007-3 A17 6% 04/25/2037                                                                                 | CUSIP: 12543RAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      962615 | PA      | $433318.03     | 0.00%             | 2037-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA VAR 04/25/2033                                                                                    | CUSIP: 3136BQCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      600000 | PA      | $609378.90     | 0.00%             | 2033-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 3.625% 03/15/2032                                                                                                        | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      336000 | PA      | $318716.63     | 0.00%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 4.625% 03/15/2052                                                                                                        | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      295000 | PA      | $246535.17     | 0.00%             | 2052-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 05/01/2053#FS4679                                                                                                   | CUSIP: 3140XLFV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      782869 | PA      | $804800.19     | 0.00%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES                                                                                    | CARVANA AUTO RECEIVABLES TR 2023-P3 A4 5.71% 07/10/2029 144A                                                                     | CUSIP: 14688GAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1418000 | PA      | $1451441.83    | 0.00%             | 2029-07-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 09/01/2050#SI2072                                                                                                   | CUSIP: 3133USJR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2142024 | PA      | $1767758.90    | 0.00%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 01/01/2053#CB5482                                                                                                   | CUSIP: 3140QRCU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1948888 | PA      | $2023034.20    | 0.00%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 06/01/2053#CB6489                                                                                                   | CUSIP: 3140QSF71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      754095 | PA      | $775067.56     | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 11/01/2051#SD2868                                                                                                   | CUSIP: 3132DQFH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2348449 | PA      | $2125218.90    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 11/01/2046#BC8998                                                                                                   | CUSIP: 3140F47L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      786436 | PA      | $719792.15     | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 02/01/2052#SD1652                                                                                                   | CUSIP: 3132DNZR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1588436 | PA      | $1436455.29    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 02/01/2050#QA7250                                                                                                   | CUSIP: 3133A2BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2240174 | PA      | $2029335.78    | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 12/01/2047#FS5415                                                                                                   | CUSIP: 3140XMAR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      368147 | PA      | $341191.62     | 0.00%             | 2047-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CUSHMAN and WAKEFIELD US BORROWER LLC                                                                       | CUSHMAN and WAKEFIELD US BORROWER LLC 8.875% 09/01/2031 144A                                                                     | CUSIP: 23166MAC7<br>LEI: 549300870CMN3WI5IF97 | Long             | DBT              | CORP              | US        |      100000 | PA      | $107217.00     | 0.00%             | 2031-09-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 02/01/2052#SD1836                                                                                                   | CUSIP: 3132DPBD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1399746 | PA      | $1152988.32    | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                                                      | CONOCOPHILLIPS CO 5.55% 03/15/2054                                                                                               | CUSIP: 20826FBG0<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     1170000 | PA      | $1148752.99    | 0.00%             | 2054-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                                                      | CONOCOPHILLIPS CO 5.05% 09/15/2033                                                                                               | CUSIP: 20826FBF2<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |      940000 | PA      | $974571.57     | 0.00%             | 2033-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 08/01/2052#SD2382                                                                                                 | CUSIP: 3132DPUF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      311271 | PA      | $291371.49     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 03/01/2050#FP0023                                                                                                 | CUSIP: 3140XTAZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2136628 | PA      | $1999363.95    | 0.00%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 05/01/2052#FS5189                                                                                                 | CUSIP: 3140XLXT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      324795 | PA      | $303218.71     | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 01/01/2050#FS5313                                                                                                 | CUSIP: 3140XL3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1158757 | PA      | $1088659.91    | 0.00%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 06/01/2052#SD2634                                                                                                 | CUSIP: 3132DP4T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      262974 | PA      | $246572.97     | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 04/01/2053#FS5088                                                                                                 | CUSIP: 3140XLUN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      343901 | PA      | $321270.25     | 0.00%             | 2053-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 07/01/2052#SD1074                                                                                                 | CUSIP: 3132DNFP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      414077 | PA      | $387475.60     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 08/01/2053#SD8350                                                                                                   | CUSIP: 3132DWH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7755431 | PA      | $7961423.28    | 0.02%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2023-SHIP                                                                               | GS MTG SECS CORP TR 2023-SHIP 7.68138% 09/10/2038 144A                                                                           | CUSIP: 36270GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       74000 | PA      | $74244.01      | 0.00%             | 2038-09-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| LIGHT and WONDER INTERNATIONAL INC                                                                          | LIGHT and WONDER INTERNATIONAL INC 7.5% 09/01/2031 144A                                                                          | CUSIP: 531968AA3<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104781.30     | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                                              | VIRGINIA ELECTRIC AND POWER CO 5.7% 08/15/2053                                                                                   | CUSIP: 927804GN8<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      250000 | PA      | $251414.50     | 0.00%             | 2053-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 02/01/2051#FS5154                                                                                                   | CUSIP: 3140XLWQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      670615 | PA      | $651062.75     | 0.00%             | 2051-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 10/01/2048#BM4680                                                                                                   | CUSIP: 3140J9FW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      812896 | PA      | $789195.09     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST 2023-3                                                                           | GLS AUTO RECEIVABLES TRUST 2023-3 D 6.44% 05/15/2029 144A                                                                        | CUSIP: 36267PAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1407000 | PA      | $1442604.28    | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 08/01/2042#FS3742                                                                                                   | CUSIP: 3140XKEQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      670001 | PA      | $587270.75     | 0.00%             | 2042-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST 2023-3                                                                           | GLS AUTO RECEIVABLES TRUST 2023-3A E 9.27% 08/15/2030 144A                                                                       | CUSIP: 36267PAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1000000 | PA      | $1069592.30    | 0.00%             | 2030-08-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 1.5% 12/01/2041#MA4500                                                                                                 | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3613190 | PA      | $3063469.79    | 0.01%             | 2041-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| RINGCENTRAL INC                                                                                             | RINGCENTRAL INC 8.5% 08/15/2030 144A                                                                                             | CUSIP: 76680RAJ6<br>LEI: 549300C8EH0H1614VE84 | Long             | DBT              | CORP              | US        |      378000 | PA      | $402218.84     | 0.00%             | 2030-08-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 4.5% 05/01/2039#FM1194                                                                                                 | CUSIP: 3140X4KG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      921360 | PA      | $934290.26     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 09/01/2048#FS0559                                                                                                 | CUSIP: 3140XFTR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      407364 | PA      | $425104.27     | 0.00%             | 2048-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 06/01/2053#FS4874                                                                                                 | CUSIP: 3140XLMY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1625867 | PA      | $1658237.60    | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 08/01/2053#SD3572                                                                                                 | CUSIP: 3132DQ6H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1705936 | PA      | $1739314.30    | 0.00%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMSR 2021-SFR1 TRUST                                                                                        | AMSR 2021-SFR1 TRUST 2.153% 06/17/2038 144A                                                                                      | CUSIP: 00179DAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4000000 | PA      | $3765610.80    | 0.01%             | 2038-06-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3                                                                | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3 6.02% 09/15/2028 144A                                                               | CUSIP: 96041CAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1900000 | PA      | $1921836.32    | 0.00%             | 2028-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3                                                                | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3 6.47% 03/15/2029 144A                                                               | CUSIP: 96041CAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2169000 | PA      | $2219483.48    | 0.01%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 03/01/2050#FS4617                                                                                                 | CUSIP: 3140XLDX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1129900 | PA      | $1129867.33    | 0.00%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 02/01/2051#FS4297                                                                                                 | CUSIP: 3140XKX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      545565 | PA      | $543333.34     | 0.00%             | 2051-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 07/01/2048#CA2045                                                                                                 | CUSIP: 3140Q9HX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1553609 | PA      | $1554536.01    | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 08/01/2053#BY7027                                                                                                   | CUSIP: 3140NPYZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3779278 | PA      | $3796055.85    | 0.01%             | 2053-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                                                       | CELANESE US HLDGS LLC VAR 11/15/2028                                                                                             | CUSIP: 15089QAW4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     4508000 | PA      | $4659955.66    | 0.01%             | 2028-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                                                       | CELANESE US HLDGS LLC VAR 11/15/2030                                                                                             | CUSIP: 15089QAX2<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     3406000 | PA      | $3530622.13    | 0.01%             | 2030-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                                                       | CELANESE US HLDGS LLC VAR 11/15/2033                                                                                             | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     1991000 | PA      | $2079304.83    | 0.00%             | 2033-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                                                   | ONEOK INC 6.05% 09/01/2033                                                                                                       | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     4345000 | PA      | $4640991.00    | 0.01%             | 2033-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 10/01/2036#BU1080                                                                                                   | CUSIP: 3140M2FW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1057360 | PA      | $982978.98     | 0.00%             | 2036-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 12/01/2036#BU5931                                                                                                   | CUSIP: 3140M7SV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1107985 | PA      | $1029349.73    | 0.00%             | 2036-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2% 06/01/2036#QN6605                                                                                                   | CUSIP: 3133GDKS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      802270 | PA      | $746836.07     | 0.00%             | 2036-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 10/01/2035#FM8618                                                                                                 | CUSIP: 3140XCSG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      435831 | PA      | $418099.50     | 0.00%             | 2035-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 06/01/2037#FS4409                                                                                                 | CUSIP: 3140XK3T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      731761 | PA      | $692210.09     | 0.00%             | 2037-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 05/01/2037#CB3435                                                                                                 | CUSIP: 3140QNY97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      443613 | PA      | $420190.42     | 0.00%             | 2037-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERDANT RECEIVABLES 2023-1 LLC                                                                              | VERDANT RECEIVABLES 2023-1 LLC 6.24% 01/13/2031 144A                                                                             | CUSIP: 92339GAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1239016 | PA      | $1260567.58    | 0.00%             | 2031-01-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANC AMER FDG 2007-3 TR                                                                                     | BANC AMER FDG 2007-3 TA8 TSFR1M+29.448 04/25/2037                                                                                | CUSIP: 059515AK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1180010 | PA      | $967121.10     | 0.00%             | 2037-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ASSET BKD SEC CORP HM EQ LN TR                                                                              | ASSET BKD SEC CORP HM EQ LN TR STEP 12/25/2034                                                                                   | CUSIP: 04541GNA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      855067 | PA      | $810345.89     | 0.00%             | 2034-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3% 04/20/2053#MA8796                                                                                                     | CUSIP: 36179XXZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1874294 | PA      | $1705742.26    | 0.00%             | 2053-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 05/20/2053#MA8875                                                                                                   | CUSIP: 36179X2G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1502735 | PA      | $1388635.83    | 0.00%             | 2053-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PBF HLDG CO LLC / PBF FIN CORP                                                                              | PBF HLDG CO LLC / PBF FIN CORP 7.875% 09/15/2030 144A                                                                            | CUSIP: 69318FAL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      330000 | PA      | $325021.98     | 0.00%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CHL MTG PASS-THROUGH TR 2007-8                                                                              | CHL MTG PASS-THROUGH TR 2007-8 1A12 5.875% 01/25/2038                                                                            | CUSIP: 12545AAM6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      844310 | PA      | $339313.64     | 0.00%             | 2038-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET BACKED CTFS WAMU SER 2007 HE2 TR                                                                 | WAMU ABC WAMU SER 2007 HE2 TR STEP 04/25/2037                                                                                    | CUSIP: 92926SAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2282123 | PA      | $829345.85     | 0.00%             | 2037-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2022-INV1 TRUST                                                                                        | PRPM 2022-INV1 A2 TRUST CSTR 04/25/2067 144A                                                                                     | CUSIP: 69377EAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      587566 | PA      | $581517.29     | 0.00%             | 2067-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES INC/OH                                                                                | HUNTINGTON BANCSHARES INC/OH 6.208%/VAR 08/21/2029                                                                               | CUSIP: 446150BC7<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |     1030000 | PA      | $1081725.85    | 0.00%             | 2029-08-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 05/01/2037#BV9862                                                                                                   | CUSIP: 3140MP5Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      376930 | PA      | $364510.39     | 0.00%             | 2037-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 4.5% 02/01/2038#MA4914                                                                                                 | CUSIP: 31418EN89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60957 | PA      | $61156.85      | 0.00%             | 2038-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 01/01/2036#SB0475                                                                                                   | CUSIP: 3132CWQ49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      354463 | PA      | $344999.41     | 0.00%             | 2036-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6% 08/20/2053#MA9107                                                                                                     | CUSIP: 36179YDL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26852 | PA      | $27544.06      | 0.00%             | 2053-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5.5% 08/20/2053#MA9106                                                                                                   | CUSIP: 36179YDK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63527 | PA      | $64481.60      | 0.00%             | 2053-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2051#FS5025                                                                                                   | CUSIP: 3140XLSP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1062972 | PA      | $1023343.33    | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                                                  | FISERV INC 5.625% 08/21/2033                                                                                                     | CUSIP: 337738BH0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |      970000 | PA      | $1002850.99    | 0.00%             | 2033-08-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                                              | PNC FINANCIAL SERVICES GRP INC 5.939%/VAR 08/18/2034                                                                             | CUSIP: 693475BS3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |      300000 | PA      | $323980.33     | 0.00%             | 2034-08-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MAXIM CRANE WORKS HOLDINGS CAPITAL LLC                                                                      | MAXIM CRANE WORKS HOLDINGS CAPITAL LLC 11.5% 09/01/2028 144A                                                                     | CUSIP: 57779EAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      900000 | PA      | $956195.01     | 0.00%             | 2028-09-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.81% 09/01/2029#BS7011                                                                                                | CUSIP: 3140LHYH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2921189 | PA      | $2991915.58    | 0.01%             | 2029-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                                                                                         | VIRGIN MONEY UK PLC 7.625%/VAR 08/23/2029 REGS                                                                                   | CUSIP: N/A<br>LEI: 213800ZK9VGCYYR6O495       | Long             | DBT              | CORP              | GB        |      345000 | PA      | $494484.03     | 0.00%             | 2029-08-23      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEP AUTO LN TR 2023-3                                                                              | CREDIT ACCEPTANCE AUTO LOAN TRUST 2023-3A C 7.62% 12/15/2033 144A                                                                | CUSIP: 224936AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4000000 | PA      | $4126471.60    | 0.01%             | 2033-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2                                                                     | ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2 6.17% 09/15/2036 144A                                                                    | CUSIP: 68269HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5714000 | PA      | $5907980.01    | 0.01%             | 2036-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2                                                                     | ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2 6.74% 09/15/2036 144A                                                                    | CUSIP: 68269HAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1300000 | PA      | $1344513.56    | 0.00%             | 2036-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2                                                                     | ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2 7.52% 09/15/2036 144A                                                                    | CUSIP: 68269HAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2400000 | PA      | $2480798.40    | 0.01%             | 2036-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BXG RECEIVABLES NT TR 2022-A                                                                                | BXG RECEIVABLES NT TR 2022-A A 4.12% 09/28/2037 144A                                                                             | CUSIP: 12434KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2206324 | PA      | $2191750.12    | 0.00%             | 2037-09-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP MORTGAGE LOAN TRUST SERIES 2007-D1                                                      | ACE SECURITIES CORP MORTGAGE LOAN TRUST SERIES 2007-D1 STEP 02/25/2038 144A                                                      | CUSIP: 00083BAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      556642 | PA      | $477421.01     | 0.00%             | 2038-02-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CONTINUUM ENERGY AURA PTE LTD                                                                               | CONTINUUM ENERGY AURA PTE LTD 9.5% 02/24/2027 REGS                                                                               | CUSIP: N/A<br>LEI: 984500AB52D7C8GC2E33       | Long             | DBT              | CORP              | SG        |      900000 | PA      | $918974.54     | 0.00%             | 2027-02-24      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5.5% 07/20/2053#CS4391                                                                                                   | CUSIP: 3618AW2Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2663084 | PA      | $2740085.85    | 0.01%             | 2053-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING LLC 2021                                                                            | HERTZ VEHICLE FINANCING LLC 2023-3A A 5.94% 02/25/2028 144A                                                                      | CUSIP: 42806MCA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1197000 | PA      | $1214967.69    | 0.00%             | 2028-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUT MTG SECS CORP                                                                                | WASHINGTON MUT MTG SECS CORP 06-2 3CB 6% 03/25/2036                                                                              | CUSIP: 93934FME9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1015255 | PA      | $812721.06     | 0.00%             | 2036-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.93% 01/01/2032#BS4505                                                                                                | CUSIP: 3140LFAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6000000 | PA      | $5308783.80    | 0.01%             | 2032-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2% 03/01/2041#SC0136                                                                                                   | CUSIP: 3132D9EH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      374388 | PA      | $331701.00     | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2.5% 09/01/2041#SC0185                                                                                                 | CUSIP: 3132D9F25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      279226 | PA      | $253336.26     | 0.00%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2.5% 08/01/2041#QK0985                                                                                                 | CUSIP: 3133D4CW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      128171 | PA      | $116391.58     | 0.00%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2.5% 11/01/2041#QK1167                                                                                                 | CUSIP: 3133D4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      156936 | PA      | $142344.59     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 03/01/2041#CA9362                                                                                                 | CUSIP: 3140QHML6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      203864 | PA      | $185943.05     | 0.00%             | 2041-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.375% 08/15/2043                                                                                    | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5985000 | PA      | $5834206.07    | 0.01%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 04/01/2041#CB0116                                                                                                   | CUSIP: 3140QKDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      159885 | PA      | $141613.85     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 05/01/2041#CB0471                                                                                                 | CUSIP: 3140QKQZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      181330 | PA      | $164945.60     | 0.00%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 07/01/2041#CB1074                                                                                                 | CUSIP: 3140QLFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      186880 | PA      | $169726.13     | 0.00%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2.5% 05/01/2041#FM7587                                                                                                 | CUSIP: 3140XBND8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      235430 | PA      | $213595.95     | 0.00%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 06/01/2041#FM7891                                                                                                   | CUSIP: 3140XBXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115150 | PA      | $101973.12     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.73% 11/01/2031#BS3637                                                                                                | CUSIP: 3140LEBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4283554 | PA      | $3778821.19    | 0.01%             | 2031-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.02% 01/01/2032#BS4650                                                                                                | CUSIP: 3140LFEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4000000 | PA      | $3574884.40    | 0.01%             | 2032-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PARK G                                                                                            | MRCD 2019-PARK G 2.71752% 12/15/2036 144A                                                                                        | CUSIP: 55348UAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      600000 | PA      | $410046.00     | 0.00%             | 2036-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 12/01/2052#CB5267                                                                                                 | CUSIP: 3140QQZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4313957 | PA      | $4258561.40    | 0.01%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.8% 12/01/2030#BS9296                                                                                                 | CUSIP: 3140LLKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1985136 | PA      | $2037078.18    | 0.00%             | 2030-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 10/01/2051#QC7968                                                                                                 | CUSIP: 3133ASZ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3808628 | PA      | $3285487.00    | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 05/01/2053#SD3567                                                                                                 | CUSIP: 3132DQ6C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2959682 | PA      | $2924451.74    | 0.01%             | 2053-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 03/01/2052#SD3490                                                                                                   | CUSIP: 3132DQ2X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1863960 | PA      | $1528960.08    | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 04/01/2051#CB0090                                                                                                   | CUSIP: 3140QKC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2535088 | PA      | $2079469.65    | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 10/01/2051#FM9167                                                                                                   | CUSIP: 3140XDFH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      844288 | PA      | $698616.73     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 11/01/2050#FP0052                                                                                                   | CUSIP: 3140XTBW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      834174 | PA      | $689465.92     | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 02/01/2052#CB2763                                                                                                   | CUSIP: 3140QNB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1051900 | PA      | $866463.27     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                                                       | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 6.5% 12/01/2052                                                            | CUSIP: 46590XAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     1976000 | PA      | $2064762.83    | 0.00%             | 2052-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                                                       | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 3.625% 01/15/2032                                                          | CUSIP: 46590XAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     2224000 | PA      | $2083917.80    | 0.00%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                                                       | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 4.375% 02/02/2052                                                          | CUSIP: 46590XAQ9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     1620000 | PA      | $1276812.40    | 0.00%             | 2052-02-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                                                       | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 3% 05/15/2032                                                              | CUSIP: 46590XAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     7125000 | PA      | $6443810.10    | 0.01%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4                                                                  | EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4 9.57% 02/18/2031 144A                                                                 | CUSIP: 30166TAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1015000 | PA      | $1099226.32    | 0.00%             | 2031-02-18      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 07/01/2049#FS5372                                                                                                 | CUSIP: 3140XL6J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      323018 | PA      | $303679.52     | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2007-OA10                                                                            | ALTERNATIVE LOAN TRUST 2007-OA10 STEP TSFR1M+61.448 09/25/2047                                                                   | CUSIP: 02149QAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4611922 | PA      | $658848.15     | 0.00%             | 2047-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4                                                                  | EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4 6.95% 12/17/2029                                                                      | CUSIP: 30166TAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1205000 | PA      | $1232708.13    | 0.00%             | 2029-12-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 05/01/2052#FS1863                                                                                                 | CUSIP: 3140XHB97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      322977 | PA      | $302228.37     | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 02/01/2053#SD3099                                                                                                 | CUSIP: 3132DQNQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      324623 | PA      | $302957.02     | 0.00%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SERIES 2007-6                                                | STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SERIES 2007-6 VAR 07/25/2037                                                      | CUSIP: 86364CAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1271610 | PA      | $799819.50     | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVE SECS TR 2022-R08                                                                            | CONNECTICUT AVE SECS TR 2022-R08 1B1 SOFR30A+560 07/25/2042 144A                                                                 | CUSIP: 20755DAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1500000 | PA      | $1602104.40    | 0.00%             | 2042-07-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 08/01/2048#FS0517                                                                                                   | CUSIP: 3140XFSF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      296320 | PA      | $271209.25     | 0.00%             | 2048-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.375% 08/31/2028                                                                                                      | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12335000 | PA      | $12616392.19   | 0.03%             | 2028-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA 30YR 2.976% 06/20/2071#CG2457                                                                                               | CUSIP: 3617WFWS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      619415 | PA      | $562344.84     | 0.00%             | 2071-06-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                                                | SABINE PASS LIQUEFACTION LLC 5.9% 09/15/2037                                                                                     | CUSIP: 785592AZ9<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     1188261 | PA      | $1258416.98    | 0.00%             | 2037-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 04/01/2050#FS3189                                                                                                   | CUSIP: 3140XJRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      271821 | PA      | $264235.40     | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 08/01/2050#FS5024                                                                                                   | CUSIP: 3140XLSN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      308971 | PA      | $299576.87     | 0.00%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TR                                                                                          | FMC GMSR ISSUER TR 2021-GT2 A 3.85% 10/25/2026 144A                                                                              | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4000000 | PA      | $3873228.00    | 0.01%             | 2026-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 04/01/2052#CB3234                                                                                                   | CUSIP: 3140QNSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3743821 | PA      | $3362215.80    | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MTG SECS CORP                                                                    | CREDIT SUISS FB MTG SECS CORP 6.5% 01/25/2036                                                                                    | CUSIP: 225470RT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1799611 | PA      | $930832.43     | 0.00%             | 2036-01-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/01/2050#FS5103                                                                                                 | CUSIP: 3140XLU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      450130 | PA      | $449132.52     | 0.00%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3% 03/20/2053#MA8721                                                                                                     | CUSIP: 36179XVN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      333923 | PA      | $303371.99     | 0.00%             | 2053-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.17% 08/01/2028#BS9255                                                                                                | CUSIP: 3140LLH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2340149 | PA      | $2406146.48    | 0.01%             | 2028-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2% 03/01/2037#RC2467                                                                                                   | CUSIP: 3133L8W43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      355226 | PA      | $330680.77     | 0.00%             | 2037-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2% 05/01/2036#RC1953                                                                                                   | CUSIP: 3133L8E27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      327353 | PA      | $303915.82     | 0.00%             | 2036-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 02/01/2037#FS0785                                                                                                   | CUSIP: 3140XF2T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      487790 | PA      | $453171.28     | 0.00%             | 2037-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 3% 01/01/2041#FM8941                                                                                                   | CUSIP: 3140XC5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      210730 | PA      | $199852.96     | 0.00%             | 2041-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 10/01/2052#BW9886                                                                                                 | CUSIP: 3140N26Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5391561 | PA      | $5308849.12    | 0.01%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 07/01/2037#FS2984                                                                                                 | CUSIP: 3140XJJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      186604 | PA      | $176635.03     | 0.00%             | 2037-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2.5% 04/01/2037#SB0814                                                                                                 | CUSIP: 3132CW3X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49494 | PA      | $47097.14      | 0.00%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 07/01/2036#FM8131                                                                                                 | CUSIP: 3140XCA99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      111366 | PA      | $105694.40     | 0.00%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                                                  | VOLKSWAGEN INTL FINANCE NV 7.875%/VAR PERP REGS                                                                                  | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |      700000 | PA      | $939839.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC MTG BACKED TR 2006-6                                                                                   | CSMC MTG BACKED TR 2006-6 6% 07/25/2036                                                                                          | CUSIP: 22942JAH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1909941 | PA      | $843793.01     | 0.00%             | 2036-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LNS 2021-C LLC                                                                          | COLLEGE AVE STUDENT LNS 2021-C LLC 2.72% 07/26/2055 144A                                                                         | CUSIP: 19424WAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      298553 | PA      | $278923.09     | 0.00%             | 2055-07-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EUROPE BV                                                                                        | TELEFONICA EUROPE BV EUAMDB08+NA PERP REGS                                                                                       | CUSIP: N/A<br>LEI: 7245007FZS0M65WUGP67       | Long             | EP               | CORP              | NL        |      100000 | PA      | $128551.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENGIE SA                                                                                                    | ENGIE SA 4.25% 09/06/2034 REGS                                                                                                   | CUSIP: N/A<br>LEI: LAXUQCHT4FH58LRZDY46       | Long             | DBT              | CORP              | FR        |      400000 | PA      | $484841.06     | 0.00%             | 2034-09-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIVION INVESTMENTS SARL                                                                                     | VIVION INVESTMENTS SARL PIK VAR 08/31/2028 REGS                                                                                  | CUSIP: N/A<br>LEI: 529900SJ7X71ESJK9N76       | Long             | DBT              | CORP              | LU        |      281869 | PA      | $327481.68     | 0.00%             | 2028-08-31      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                                                                                      | FEDERAL HOME LOAN BANKS 2.09% 02/22/2036                                                                                         | CUSIP: 3130ALDV3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     1760000 | PA      | $1420011.77    | 0.00%             | 2036-02-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS                                                                                   | FEDERAL FARM CREDIT BANKS 2.35% 03/10/2036                                                                                       | CUSIP: 3133EMSR4<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |     1825000 | PA      | $1518524.99    | 0.00%             | 2036-03-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.5% 09/01/2051#FS2766                                                                                                 | CUSIP: 3140XJCC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      216436 | PA      | $168107.14     | 0.00%             | 2051-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 3% 07/01/2037#SB0855                                                                                                   | CUSIP: 3132CW5Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      137159 | PA      | $132296.73     | 0.00%             | 2037-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 3% 12/01/2035#FS1488                                                                                                   | CUSIP: 3140XGUN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      132188 | PA      | $128659.12     | 0.00%             | 2035-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIVION INVESTMENTS SARL                                                                                     | VIVION INVESTMENTS SARL PIK VAR 02/28/2029 REGS                                                                                  | CUSIP: N/A<br>LEI: 529900SJ7X71ESJK9N76       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $115690.79     | 0.00%             | 2029-02-28      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC3 TR                                                                                          | PRKCM 2023-AFC3 A2 TRUST 6.987% 09/25/2058 144A                                                                                  | CUSIP: 693984AB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      573941 | PA      | $578663.02     | 0.00%             | 2058-09-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                                                         | SUMITOMO MITSUI FINL GRP INC 5.716% 09/14/2028                                                                                   | CUSIP: 86562MDG2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |      405000 | PA      | $422533.86     | 0.00%             | 2028-09-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2023-NQM6                                                                          | BRAVO RESIDENTIAL FUNDING TRUST 2023-NQM6 A2 6.956% 09/25/2063 144A                                                              | CUSIP: 10569DAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      643256 | PA      | $648554.25     | 0.00%             | 2063-09-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                                                    | BHP BILLITON FIN USA LTD 5.25% 09/08/2033                                                                                        | CUSIP: 055451BE7<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |     3170000 | PA      | $3308811.03    | 0.01%             | 2033-09-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                                            | SOUTHERN COMPANY 5.5% 03/15/2029                                                                                                 | CUSIP: 842587DS3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      320000 | PA      | $332625.41     | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                                                  | CARVANA CO PIK VAR 06/01/2031 144A                                                                                               | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     1391000 | PA      | $1564415.97    | 0.00%             | 2031-06-01      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                                                  | CARVANA CO PIK VAR 06/01/2030 144A                                                                                               | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     2875000 | PA      | $3014615.75    | 0.01%             | 2030-06-01      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                                                        | WEC ENERGY GROUP INC 5.6% 09/12/2026                                                                                             | CUSIP: 92939UAM8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |       97000 | PA      | $98009.29      | 0.00%             | 2026-09-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DIGICEL LTD                                                                                                 | DIGICEL LTD                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | BM        |      104255 | NS      | $1340719.30    | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| DIGICEL LTD                                                                                                 | DIGICEL LTD PFD PERP                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               | CORP              | BM        |        6735 | NS      | $82773.15      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| ZF EUROPE FINANCE BV                                                                                        | ZF EUROPE FINANCE BV 6.125% 03/13/2029 REGS                                                                                      | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |      100000 | PA      | $119040.31     | 0.00%             | 2029-03-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REWE INT FINANCE                                                                                            | REWE INT FINANCE 4.875% 09/13/2030 REGS                                                                                          | CUSIP: N/A<br>LEI: 5299003XLG8J4YTHLX44       | Long             | DBT              | CORP              | NL        |      200000 | PA      | $248179.71     | 0.00%             | 2030-09-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                                               | AIB GROUP PLC 6.608%/VAR 09/13/2029 144A                                                                                         | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |      400000 | PA      | $425518.40     | 0.00%             | 2029-09-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                                                             | PERMIAN RESOURCES OPERATING LLC 7% 01/15/2032 144A                                                                               | CUSIP: 71424VAA8<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      520000 | PA      | $541450.00     | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                                             | PHILIP MORRIS INTL INC 5.25% 09/07/2028                                                                                          | CUSIP: 718172DC0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      485000 | PA      | $500502.48     | 0.00%             | 2028-09-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                                               | VOLKSWAGEN GROUP AMER FIN LLC 5.65% 09/12/2028 144A                                                                              | CUSIP: 928668BW1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     4113000 | PA      | $4250960.22    | 0.01%             | 2028-09-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                                                                | CAIXABANK SA 6.684%/VAR 09/13/2027 144A                                                                                          | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |      265000 | PA      | $270045.26     | 0.00%             | 2027-09-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC 6.692%/VAR 09/13/2034                                                                                               | CUSIP: 06738ECL7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     2900000 | PA      | $3225029.62    | 0.01%             | 2034-09-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC 6.496%/VAR 09/13/2027                                                                                               | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      600000 | PA      | $610254.91     | 0.00%             | 2027-09-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUT MTG PASS THRU CTFS WMALT SER 2006 7 TR                                                       | WASHINGTON MUT MTG PASS THRU CTFS WMALT SER 2006 7 A1A TR STEP 09/25/2036                                                        | CUSIP: 93935HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      617300 | PA      | $166139.46     | 0.00%             | 2036-09-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                                                       | MIDAMERICAN ENERGY CO 5.85% 09/15/2054                                                                                           | CUSIP: 595620AY1<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |      293000 | PA      | $306907.43     | 0.00%             | 2054-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 09/01/2053#CB7134                                                                                                 | CUSIP: 3140QS4U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2282659 | PA      | $2401004.13    | 0.01%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STAR PARENT INC                                                                                             | STAR PARENT INC 9% 10/01/2030 144A                                                                                               | CUSIP: 855170AA4<br>LEI: 254900GRGCJYRMDRWT73 | Long             | DBT              | CORP              | US        |      100000 | PA      | $107170.00     | 0.00%             | 2030-10-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP                                                                                            | GS MTG SECS CORP 6% 02/25/2036                                                                                                   | CUSIP: 362334BP8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1538732 | PA      | $650194.06     | 0.00%             | 2036-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2022-SFR1 TRUST                                                                              | FIRSTKEY HOMES 2022-SFR1 TRUST 5% 05/19/2039 144A                                                                                | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1826000 | PA      | $1809822.74    | 0.00%             | 2039-05-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WORLDLINE SA/FRANCE                                                                                         | WORLDLINE SA/FRANCE 4.125% 09/12/2028 REGS                                                                                       | CUSIP: N/A<br>LEI: 549300CJMQNCA0U4TS33       | Long             | DBT              | CORP              | FR        |      200000 | PA      | $203969.07     | 0.00%             | 2028-09-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                                                                                        | SARTORIUS FINANCE BV 4.875% 09/14/2035 REGS                                                                                      | CUSIP: N/A<br>LEI: 529900JCAKTMRXK9EA58       | Long             | DBT              | CORP              | NL        |      800000 | PA      | $988266.36     | 0.00%             | 2035-09-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 08/01/2053#CB7099                                                                                                   | CUSIP: 3140QS3H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2583620 | PA      | $2620118.74    | 0.01%             | 2053-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LENDING FUNDING TRUST 2020-2                                                                                | LENDING FUNDING TRUST 2020-2 6.77% 04/21/2031                                                                                    | CUSIP: 51507KAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3455000 | PA      | $3449346.24    | 0.01%             | 2031-04-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS FINANCE BV                                                                              | BRASKEM NETHERLANDS FIN BV 8.5% 01/12/2031 144A                                                                                  | CUSIP: 10554TAH8<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |     4393000 | PA      | $1605202.20    | 0.00%             | 2031-01-12      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| STAR PARENT INC                                                                                             | SYNEOS TERM B 1LN 9/27/2030                                                                                                      | CUSIP: 87169DAB1<br>LEI: 254900GRGCJYRMDRWT73 | Long             | LON              | CORP              | US        |       81471 | PA      | $81565.12      | 0.00%             | 2030-09-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUT MTG PASS THRU CTFS WMALT SER 2006 7 TR                                                       | WASHINGTON MUT MTG PASS THRU CTFS WMALT SER 2006-7 A1B TR STEP 09/25/2036                                                        | CUSIP: 93935HAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1913529 | PA      | $518739.08     | 0.00%             | 2036-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-BHAR                                                                                              | CSMC 2021-BHAR TSFR1M+126.448 11/15/2038 144A                                                                                    | CUSIP: 12659VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      228000 | PA      | $226653.02     | 0.00%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                                            | ABN AMRO BANK NV 6.339%/VAR 09/18/2027 144A                                                                                      | CUSIP: 00084DBA7<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     3400000 | PA      | $3456927.36    | 0.01%             | 2027-09-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                                                | US FOODS INC 7.25% 01/15/2032 144A                                                                                               | CUSIP: 90290MAH4<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |      110000 | PA      | $115896.44     | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                                                      | MARVELL TECHNOLOGY INC 5.75% 02/15/2029                                                                                          | CUSIP: 573874AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1467000 | PA      | $1533133.94    | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INC                                                                                       | WILLIAMS SCOTSMAN INC 7.375% 10/01/2031 144A                                                                                     | CUSIP: 96949VAL7<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |      260000 | PA      | $270857.60     | 0.00%             | 2031-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 08/01/2042#FS3487                                                                                                   | CUSIP: 3140XJ2V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      282285 | PA      | $247597.48     | 0.00%             | 2042-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                                                                             | NEVADA POWER CO 6% 03/15/2054                                                                                                    | CUSIP: 641423CG1<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |      110000 | PA      | $114516.53     | 0.00%             | 2054-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DIAMOND FOREIGN ASSET CO / DIAMOND FINANCE LLC                                                              | DIAMOND FOREIGN ASSET CO / DIAMOND FINANCE LLC 8.5% 10/01/2030 144A                                                              | CUSIP: 25260WAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      250000 | PA      | $265929.25     | 0.00%             | 2030-10-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 5.819%/VAR 09/15/2029                                                                                | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    48499000 | PA      | $50698274.45   | 0.11%             | 2029-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 5.933%/VAR 09/15/2027                                                                                | CUSIP: 06051GLV9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2579000 | PA      | $2614975.55    | 0.01%             | 2027-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                                                    | VISTRA OPERATIONS CO LLC 7.75% 10/15/2031 144A                                                                                   | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     1105000 | PA      | $1173721.06    | 0.00%             | 2031-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                                                  | INTUIT INC 5.2% 09/15/2033                                                                                                       | CUSIP: 46124HAG1<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |      490000 | PA      | $514621.48     | 0.00%             | 2033-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                                         | AMERICAN TOWER CORP 5.9% 11/15/2033                                                                                              | CUSIP: 03027XCF5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |       47000 | PA      | $50421.44      | 0.00%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                                                                   | CHESAPEAKE FUNDING II LLC 6.16% 10/15/2035 144A                                                                                  | CUSIP: 165183CZ5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |      852324 | PA      | $863434.96     | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LN MTG CORP MTN                                                                                    | FED HOME LN MTG CORP 1.22% 08/19/2030                                                                                            | CUSIP: 3134GXBA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |     1530000 | PA      | $1366372.51    | 0.00%             | 2030-08-19      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 11/01/2051#FS5389                                                                                                 | CUSIP: 3140XL7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7130057 | PA      | $6152924.30    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/01/2053#FS4919                                                                                                 | CUSIP: 3140XLPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      476061 | PA      | $407397.86     | 0.00%             | 2053-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 09/01/2053#MA5138                                                                                                 | CUSIP: 31418EV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3091493 | PA      | $3140387.56    | 0.01%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 07/01/2053#MA5072                                                                                                 | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10995213 | PA      | $11169113.40   | 0.03%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/01/2051#FM9748                                                                                                 | CUSIP: 3140XDZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39216 | PA      | $34050.06      | 0.00%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP                                                                                          | BAUSCH + LOMB CORP 8.375% 10/01/2028 144A                                                                                        | CUSIP: 071705AA5<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | CORP              | CA        |       69000 | PA      | $71932.50      | 0.00%             | 2028-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                                                    | VISTRA OPERATIONS CO LLC 6.95% 10/15/2033 144A                                                                                   | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     2277000 | PA      | $2540763.13    | 0.01%             | 2033-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MF1 2021-W10X                                                                                               | MF1 2021-W10X B TSFR1M+ 12/15/2034 144A                                                                                          | CUSIP: 55284DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      400000 | PA      | $400020.04     | 0.00%             | 2034-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LENDMARK FDG TR 2021-2                                                                                      | LENDMARK FDG TR 2021-2 4.46% 04/20/2032 144A                                                                                     | CUSIP: 52604DAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3000000 | PA      | $2785725.90    | 0.01%             | 2032-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CO LLC                                                                              | NISSAN MOTOR ACCEPTANCE CO LLC 7.05% 09/15/2028 144A                                                                             | CUSIP: 65480CAF2<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      200000 | PA      | $206330.01     | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VITAL ENERGY INC                                                                                            | VITAL ENERGY INC 9.75% 10/15/2030                                                                                                | CUSIP: 516806AJ5<br>LEI: 549300X0PTWU2QSLSL14 | Long             | DBT              | CORP              | US        |      925000 | PA      | $960841.90     | 0.00%             | 2030-10-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2023-C21                                                                               | BBCMS MORTGAGE TRUST 2023-C21 A3 CSTR 09/15/2056                                                                                 | CUSIP: 05553WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1718961.44    | 0.00%             | 2056-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CWALT INC                                                                                                   | CWALT INC 05-42CB A1 TSFR1M+79.448 10/25/2035                                                                                    | CUSIP: 12667G4S9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1090570 | PA      | $586111.54     | 0.00%             | 2035-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CWALT INC                                                                                                   | CWALT INC 05-42CB A2 TSFR1M+76.448 10/25/2035                                                                                    | CUSIP: 12667G4T7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      825773 | PA      | $442313.56     | 0.00%             | 2035-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                                                | UBS GROUP AG 6.246%/VAR 09/22/2029 144A                                                                                          | CUSIP: 225401BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    10600000 | PA      | $11174582.96   | 0.03%             | 2029-09-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                                                    | LLOYDS BANKING GROUP PLC 4.75%/VAR 09/21/2031 REGS                                                                               | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | DBT              | CORP              | GB        |      605000 | PA      | $751522.35     | 0.00%             | 2031-09-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XXXVII                                                                                           | APIDOS CLO XXXVII A TSFR3M+139.161 10/22/2034 144A                                                                               | CUSIP: 03769HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1650000 | PA      | $1651486.65    | 0.00%             | 2034-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                                                | ENBRIDGE INC 8.5%/VAR 01/15/2084                                                                                                 | CUSIP: 29250NBT1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     3910000 | PA      | $4485829.61    | 0.01%             | 2084-01-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| BOOST NEWCO BORROWER LLC                                                                                    | BOOST NEWCO BORROWER LLC 7.5% 01/15/2031 144A                                                                                    | CUSIP: 36268NAA8<br>LEI: 254900S8RE1OL7TTCU64 | Long             | DBT              | CORP              | US        |      830000 | PA      | $881418.50     | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NCR ATLEOS CORP                                                                                             | NCR ATLEOS CORP 9.5% 04/01/2029 144A                                                                                             | CUSIP: 638962AA8<br>LEI: 9845005FC3S0VA714741 | Long             | DBT              | CORP              | US        |     1482000 | PA      | $1601772.28    | 0.00%             | 2029-04-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| MOBICO GROUP PLC                                                                                            | MOBICO GROUP PLC 4.875% 09/26/2031 REGS                                                                                          | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | DBT              | CORP              | GB        |      660000 | PA      | $577279.63     | 0.00%             | 2031-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RR15 LTD / RR15 LLC                                                                                         | RR15 LTD / RR15 LLC A2 TSFR3M+171.161 04/15/2036 144A                                                                            | CUSIP: 74980XAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $999986.00     | 0.00%             | 2036-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS                                                                                   | FEDERAL FARM CREDIT BANKS 1.77% 02/04/2031                                                                                       | CUSIP: 3133EMZ39<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |      815000 | PA      | $734864.23     | 0.00%             | 2031-02-04      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PUBLIC SVC CO OF NEW HAMPSHIRE                                                                              | PUBLIC SVC CO OF NEW HAMPSHIRE 5.35% 10/01/2033                                                                                  | CUSIP: 744538AF6<br>LEI: 549300SHPFALUPKK2351 | Long             | DBT              | CORP              | US        |     2875000 | PA      | $3017627.37    | 0.01%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2023-SFR2 TR                                                                           | PROGRESS RESIDENTIAL 2023-SFR2 TR 4.75% 10/17/2040 144A                                                                          | CUSIP: 74331GAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3231000 | PA      | $3186567.29    | 0.01%             | 2040-10-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MSCR TR MN7                                                                                     | FREDDIE MAC MSCR TR MN7 M2 SOFR30A+570 09/25/2043 144A                                                                           | CUSIP: 35563QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1030000 | PA      | $1109847.15    | 0.00%             | 2043-09-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS                                                                                   | FEDERAL FARM CREDIT BANKS 2.46% 02/05/2035                                                                                       | CUSIP: 3133ELLH5<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |      765000 | PA      | $660331.81     | 0.00%             | 2035-02-05      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6.5% 09/01/2053#QH0277                                                                                                 | CUSIP: 3133CCJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      538466 | PA      | $567434.19     | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6.5% 09/01/2053#QH0300                                                                                                 | CUSIP: 3133CCKM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      410394 | PA      | $431285.79     | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                                                                                      | FEDERAL HOME LOAN BANKS 1.75% 06/20/2031                                                                                         | CUSIP: 3130ANUL2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |      810000 | PA      | $726573.61     | 0.00%             | 2031-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CLUE OPCO LLC                                                                                               | CLUE OPCO LLC 9.5% 10/15/2031 144A                                                                                               | CUSIP: 36267QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6522000 | PA      | $6752937.50    | 0.02%             | 2031-10-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP                                                                                            | GS MTG SECS CORP VAR 09/25/2035 144A                                                                                             | CUSIP: 362341LS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      343635 | PA      | $301657.99     | 0.00%             | 2035-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FOUNDATION FINANCE TRUST 2023-2                                                                             | FOUNDATION FINANCE TRUST 2023-2A A 6.53% 06/15/2049 144A                                                                         | CUSIP: 35042RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      188916 | PA      | $197329.06     | 0.00%             | 2049-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                                               | CDX IG41 5Y ICE SWAP 12/20/2028                                                                                                  | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |      200000 | NC      | $-94.67        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST 2023-B                                                                               | TESLA AUTO LEASE TRUST 2023-B 6.22% 03/22/2027 144A                                                                              | CUSIP: 88167QAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2321828 | PA      | $2323992.86    | 0.01%             | 2027-03-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FOUNDATION FINANCE TRUST 2023-2                                                                             | FOUNDATION FINANCE TRUST 2023-2 6.97% 06/15/2049 144A                                                                            | CUSIP: 35042RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1737976 | PA      | $1815946.11    | 0.00%             | 2049-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MTG LN TR 2014-1                                                                 | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2014-1 VAR 06/25/2044 144A                                                        | CUSIP: 61763YAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      585474 | PA      | $588430.40     | 0.00%             | 2044-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.625% 09/30/2030                                                                                                      | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    56145000 | PA      | $58658365.73   | 0.13%             | 2030-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2023-4                                                                              | MOSAIC SOLAR LOAN TRUST 23-4 6.4% 05/20/2053 144A                                                                                | CUSIP: 618934AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      180754 | PA      | $182047.14     | 0.00%             | 2053-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.625% 09/30/2028                                                                                                      | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       95000 | PA      | $97887.11      | 0.00%             | 2028-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                                                          | CREDIT AGRICOLE SA 6.316%/VAR 10/03/2029 144A                                                                                    | CUSIP: 22535WAJ6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     3655000 | PA      | $3853095.30    | 0.01%             | 2029-10-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.1% 06/01/2029#BS9253                                                                                                 | CUSIP: 3140LLH79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2530699 | PA      | $2609532.48    | 0.01%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                                                       | MINERAL RESOURCES LTD 9.25% 10/01/2028 144A                                                                                      | CUSIP: 603051AE3<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |      775000 | PA      | $813746.13     | 0.00%             | 2028-10-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | CITIBANK NA 5.803% 09/29/2028                                                                                                    | CUSIP: 17325FBB3<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |      500000 | PA      | $524812.43     | 0.00%             | 2028-09-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6.5% 10/01/2053#RJ0002                                                                                                 | CUSIP: 3142GQAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      862928 | PA      | $906318.53     | 0.00%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6.5% 10/01/2053#RJ0001                                                                                                 | CUSIP: 3142GQAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      869317 | PA      | $914114.77     | 0.00%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 04/01/2045#FM2986                                                                                                   | CUSIP: 3140X6J85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6357365 | PA      | $6215517.38    | 0.01%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 5.65% 10/01/2028                                                                                   | CUSIP: 842400HY2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      500000 | PA      | $517256.46     | 0.00%             | 2028-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT CSTR 05/16/2065                                                                                   | CUSIP: 38381JNH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1369772 | PA      | $1256384.86    | 0.00%             | 2065-05-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.7% 09/01/2033#BS9351                                                                                                 | CUSIP: 3140LLL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3907344 | PA      | $3982862.02    | 0.01%             | 2033-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.55% 09/01/2033#BS8897                                                                                                | CUSIP: 3140LK3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3115000 | PA      | $3177370.09    | 0.01%             | 2033-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GLENCORE FDG LLC                                                                                            | GLENCORE FDG LLC 6.375% 10/06/2030 144A                                                                                          | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      233000 | PA      | $251833.88     | 0.00%             | 2030-10-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GLENCORE FDG LLC                                                                                            | GLENCORE FDG LLC 6.125% 10/06/2028 144A                                                                                          | CUSIP: 378272BN7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     1250000 | PA      | $1313168.73    | 0.00%             | 2028-10-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE GLOBAL FUNDING                                                                                | GUARDIAN LIFE GLOBAL FUNDING 5.737% 10/02/2028 144A                                                                              | CUSIP: 40139LBH5<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |      200000 | PA      | $209145.80     | 0.00%             | 2028-10-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUT MTG PASS-THROUGH CTFS WMALT SER 2006-4 TR                                                    | WASHINGTON MUT MTG PASS-THROUGH CTFS WMALT SER 2006-4 3A1 TR STEP 05/25/2036                                                     | CUSIP: 939344AK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      148188 | PA      | $135158.72     | 0.00%             | 2036-05-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                                    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATIO 3% 08/20/2050                                                                            | CUSIP: 38382VHH5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1811848 | PA      | $305404.07     | 0.00%             | 2050-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 3% 07/25/2051                                                                                     | CUSIP: 3136BHV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      334295 | PA      | $299255.13     | 0.00%             | 2051-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2.25% 11/25/2047                                                                                  | CUSIP: 3136BLHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2724262 | PA      | $2474479.87    | 0.01%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                                      | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.5% 07/25/2048                                                           | CUSIP: 3137H3QP0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      718517 | PA      | $646327.95     | 0.00%             | 2048-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                                      | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.5% 08/25/2048                                                           | CUSIP: 3137H3S94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      704610 | PA      | $633564.87     | 0.00%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049                                                                                   | CUSIP: 3137H4HQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      713947 | PA      | $638402.67     | 0.00%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 06/01/2052#SD3290                                                                                                   | CUSIP: 3132DQUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1588906 | PA      | $1538111.08    | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 05/01/2036#FM7659                                                                                                 | CUSIP: 3140XBQM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      291761 | PA      | $264192.02     | 0.00%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 3% 02/20/2051                                                                                     | CUSIP: 38382RHG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     1521957 | PA      | $254257.99     | 0.00%             | 2051-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                                                                        | LIFEPOINT HEALTH INC 11% 10/15/2030 144A                                                                                         | CUSIP: 53219LAW9<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |      100000 | PA      | $110084.70     | 0.00%             | 2030-10-15      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 06/01/2051#FM7916                                                                                                 | CUSIP: 3140XBYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3088003 | PA      | $2672529.98    | 0.01%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM8 TRUST                                                                                         | OBX 2023-NQM8 TRUST 7.248% 09/25/2063 144A                                                                                       | CUSIP: 67118CAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      608187 | PA      | $615365.57     | 0.00%             | 2063-09-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 03/01/2053#MA4964                                                                                                   | CUSIP: 31418EQS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      501321 | PA      | $527922.20     | 0.00%             | 2053-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 3.25% 03/25/2049                                                                                  | CUSIP: 3136BMAZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      917951 | PA      | $867786.75     | 0.00%             | 2049-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 3.25% 07/25/2046                                                                                  | CUSIP: 3136BMGV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1632827 | PA      | $1569777.99    | 0.00%             | 2046-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.625% 10/15/2026                                                                                                      | CUSIP: 91282CJC6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    34854000 | PA      | $35137529.27   | 0.08%             | 2026-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2023-4                                                                                 | CARMAX AUTO OWNER TR 2023-4 6% 07/17/2028                                                                                        | CUSIP: 14318XAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2378488 | PA      | $2407059.19    | 0.01%             | 2028-07-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 3% 05/20/2051                                                                                     | CUSIP: 38382TBX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      517747 | PA      | $86937.88      | 0.00%             | 2051-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.51% 10/01/2033#BS9185                                                                                                | CUSIP: 3140LLF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3050000 | PA      | $3102147.07    | 0.01%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 3% 05/20/2051                                                                                     | CUSIP: 38383R2G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      274200 | PA      | $46314.99      | 0.00%             | 2051-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS                                                                                      | COUNTRYWIDE HOME LOANS TSFR1M+47.448 03/25/2035 144A                                                                             | CUSIP: 12669GXD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      844583 | PA      | $822859.55     | 0.00%             | 2035-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| POINT AU ROCHE PK CLO LTD / PT AU ROCHE PK CLO LLC                                                          | POINT AU ROCHE PK CLO LTD / PT AU ROCHE PK CLO LLC A TSFR3M+134.161 07/20/2034 144A                                              | CUSIP: 73052VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250265.25     | 0.00%             | 2034-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 08/01/2053#MA5106                                                                                                   | CUSIP: 31418EU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7244173 | PA      | $7262750.15    | 0.02%             | 2053-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELFI GRADUATE LN PROGRAM 2023-A LLC                                                                         | ELFI GRADUATE LOAN PROGRAM 2023-A LLC 6.37% 02/04/2048 144A                                                                      | CUSIP: 28628DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      478658 | PA      | $503256.27     | 0.00%             | 2048-02-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                                                                       | CIVITAS RESOURCES INC 8.625% 11/01/2030 144A                                                                                     | CUSIP: 17888HAC7<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |      770000 | PA      | $806620.43     | 0.00%             | 2030-11-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 6.4% 12/01/2030                                                                                               | CUSIP: 29273VAT7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      785000 | PA      | $852171.30     | 0.00%             | 2030-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 6.55% 12/01/2033                                                                                              | CUSIP: 29273VAU4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      965000 | PA      | $1064457.99    | 0.00%             | 2033-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                                                     | BPCE SA 6.612%/VAR 10/19/2027 144A                                                                                               | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     1055000 | PA      | $1076225.60    | 0.00%             | 2027-10-19      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                                                     | BPCE SA 6.714%/VAR 10/19/2029 144A                                                                                               | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     4540000 | PA      | $4829373.52    | 0.01%             | 2029-10-19      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                                                     | BPCE SA 7.003%/VAR 10/19/2034 144A                                                                                               | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     1731000 | PA      | $1945745.49    | 0.00%             | 2034-10-19      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 10/01/2053#CB7240                                                                                                   | CUSIP: 3140QTBJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      352184 | PA      | $365720.78     | 0.00%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 11/01/2053#SD8372                                                                                                 | CUSIP: 3132DWJR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3415829 | PA      | $3467719.09    | 0.01%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 11/01/2053#SD8373                                                                                                   | CUSIP: 3132DWJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      896817 | PA      | $920217.08     | 0.00%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                                                 | NATIONWIDE BUILDING SOC(UNGTD) 6.557%/VAR 10/18/2027 144A                                                                        | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |      955000 | PA      | $973681.39     | 0.00%             | 2027-10-18      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRST                                                                                   | NAVIENT STUDENT LOAN TRUST 23-BA A1A 6.48% 03/15/2072 144A                                                                       | CUSIP: 63942TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       87522 | PA      | $90696.14      | 0.00%             | 2072-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GRANITE PARK EQUIPMENT LEASING 2023-1 LLC                                                                   | GRANITE PARK EQUIPMENT LEASING 2023-1A E LLC 7% 06/20/2035 144A                                                                  | CUSIP: 387422AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1587000 | PA      | $1572611.46    | 0.00%             | 2035-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SIERRA TIMESHARE 2023-3 RECEIVABLES FUNDING LLC                                                             | SIERRA TIMESHARE 2023-3 RECEIVABLES FUNDING LLC 9.44% 09/20/2040 144A                                                            | CUSIP: 826944AD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      289897 | PA      | $304090.98     | 0.00%             | 2040-09-20      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRST                                                                                   | NAVIENT STUDENT LOAN TRST SOFR30A+ 03/15/2072 144A                                                                               | CUSIP: 63942TAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      121752 | PA      | $122821.99     | 0.00%             | 2072-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 2.5% 09/20/2051#785616                                                                                                   | CUSIP: 3622ABDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1557889 | PA      | $1341697.38    | 0.00%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2023-SFR2 TR                                                                           | PROGRESS RESIDENTIAL 2023-SFR2 TR 4.5% 10/17/2040 144A                                                                           | CUSIP: 74331GAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2550000 | PA      | $2511425.13    | 0.01%             | 2040-10-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                                              | EUROPEAN UNION 4% 04/04/2044 REGS                                                                                                | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | LU        |      815000 | PA      | $982684.24     | 0.00%             | 2044-04-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES 2023-B OWNER TR                                                                     | NISSAN AUTO RECEIVABLES 2023-B OWNER TR 5.93% 03/15/2028                                                                         | CUSIP: 65480MAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3036526 | PA      | $3059014.16    | 0.01%             | 2028-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 6.303%/VAR 10/23/2029                                                                                     | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    45125000 | PA      | $47782313.78   | 0.11%             | 2029-10-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 6.491%/VAR 10/23/2034                                                                                     | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      555000 | PA      | $620628.49     | 0.00%             | 2034-10-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 6.087%/VAR 10/23/2029                                                                                      | CUSIP: 46647PDX1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    29400000 | PA      | $31030622.20   | 0.07%             | 2029-10-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                                            | WHEELS FLEET LEASE FUNDING 1 LLC 6.46% 08/18/2038 144A                                                                           | CUSIP: 96328GBG1<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     5224752 | PA      | $5288973.45    | 0.01%             | 2038-08-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.45% 10/01/2033#BS9470                                                                                                | CUSIP: 3140LLQY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2000000 | PA      | $2026823.80    | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                                              | PNC FINANCIAL SERVICES GRP INC 6.615%/VAR 10/20/2027                                                                             | CUSIP: 693475BT1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     2340000 | PA      | $2389178.03    | 0.01%             | 2027-10-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                                              | PNC FINANCIAL SERVICES GRP INC 6.875%/VAR 10/20/2034                                                                             | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |      865000 | PA      | $983552.19     | 0.00%             | 2034-10-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                                                      | VENTURE GLOBAL LNG INC 9.5% 02/01/2029 144A                                                                                      | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |       30000 | PA      | $31639.97      | 0.00%             | 2029-02-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                                                      | VENTURE GLOBAL LNG INC 9.875% 02/01/2032 144A                                                                                    | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     1143000 | PA      | $1190013.88    | 0.00%             | 2032-02-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2023-3 LLC                                                                            | ENTERPRISE FLEET FING 2023-3 LLC 6.4% 03/20/2030 144A                                                                            | CUSIP: 29374LAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2258269 | PA      | $2288399.24    | 0.01%             | 2030-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                                         | GSCOFI SWAP CY873248 04/17/65 B                                                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |       10000 | NC      | $1734.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3% 08/25/2050                                                                                     | CUSIP: 3137H6V28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1320238 | PA      | $1232939.87    | 0.00%             | 2050-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3% 08/25/2050                                                                                     | CUSIP: 3137H6UX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1320238 | PA      | $1232939.87    | 0.00%             | 2050-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                                                                                  | KENVUE INC 5.1% 03/22/2043                                                                                                       | CUSIP: 49177JAM4<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |      140000 | PA      | $135943.97     | 0.00%             | 2043-03-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                                                                 | MERCHANTS FLEET FUNDING LLC 7.21% 05/20/2036 144A                                                                                | CUSIP: 588926AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1915549 | PA      | $1925066.31    | 0.00%             | 2036-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 11/01/2053#SD8371                                                                                                   | CUSIP: 3132DWJQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    23994351 | PA      | $24040885.16   | 0.05%             | 2053-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 6.484%/VAR 10/24/2029                                                                              | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    39194000 | PA      | $41669907.32   | 0.09%             | 2029-10-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIS ENGINE STRUCTURED TR VII                                                                             | WILLIS ENGINE STRUCTURED TR VII 23-A A 8% 10/15/2048 144A                                                                        | CUSIP: 97064YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      673992 | PA      | $692575.59     | 0.00%             | 2048-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 11/01/2035#MA4178                                                                                                 | CUSIP: 31418DUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12540 | PA      | $11401.97      | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GRACIE POINT INTERNATIONAL FUNDING 2023-2                                                                   | GRACIE POINT INTERNATIONAL FUNDING 2023-2 SOFR90A+ 03/01/2027 144A                                                               | CUSIP: 38410JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      166176 | PA      | $166431.66     | 0.00%             | 2027-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK NEW YORK MELLON CORP                                                                                   | BANK NEW YORK MELLON CORP 6.317%/VAR 10/25/2029                                                                                  | CUSIP: 06406RBT3<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |      175000 | PA      | $186035.30     | 0.00%             | 2029-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 10/01/2052#CB4820                                                                                                 | CUSIP: 3140QQLA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      562220 | PA      | $553595.01     | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK NEW YORK MELLON CORP                                                                                   | BANK NEW YORK MELLON CORP 6.474%/VAR 10/25/2034                                                                                  | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |      610000 | PA      | $684518.02     | 0.00%             | 2034-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC SECURITIZATION FUNDING II LLC                                                                  | DTE ELECTRIC SECURITIZATION FUNDING II LLC 6.09% 09/01/2038                                                                      | CUSIP: 23346TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      300000 | PA      | $326878.41     | 0.00%             | 2038-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                                                | AUTOZONE INC 6.25% 11/01/2028                                                                                                    | CUSIP: 053332BG6<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |      440000 | PA      | $466342.53     | 0.00%             | 2028-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LNS                                                                                     | COLLEGE AVE STUDENT LNS 6.5% 06/25/2054 144A                                                                                     | CUSIP: 19425MAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      252831 | PA      | $265153.24     | 0.00%             | 2054-06-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.875% 10/31/2030                                                                                                      | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   109029600 | PA      | $115179550.88  | 0.26%             | 2030-10-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMSR 2023-SFR2 TRUST                                                                                        | AMSR 2023-SFR2 E1 TRUST 3.95% 06/17/2040 REGS 144A                                                                               | CUSIP: 00178YAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2650000 | PA      | $2543836.23    | 0.01%             | 2040-06-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TR 2023-2                                                                                        | FHF ISSUER TR 2023-2 7.97% 12/17/2029 144A                                                                                       | CUSIP: 30333LAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3000000 | PA      | $3040190.40    | 0.01%             | 2029-12-17      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/01/2052#CB4345                                                                                                 | CUSIP: 3140QPZK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      342457 | PA      | $338915.89     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIT MTG LN TR 2007-1                                                                                        | CIT MTG LN TR 2007-1 STEP 10/25/2037 144A                                                                                        | CUSIP: 12559QAH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      700000 | PA      | $705602.17     | 0.00%             | 2037-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2023-D                                                                           | CPS AUTO RECEIVABLES TRUST 2023-D 7.17% 01/15/2030 144A                                                                          | CUSIP: 12598VAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2500000 | PA      | $2529321.75    | 0.01%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C50                                                                            | WELLS FARGO COML MTG TR 2019-C50 XA CSTR 05/15/2052                                                                              | CUSIP: 95001XBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8865448 | PA      | $316069.19     | 0.00%             | 2052-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                                                       | TRUIST FINANCIAL CORP 7.161%/VAR 10/30/2029                                                                                      | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     2395000 | PA      | $2593278.60    | 0.01%             | 2029-10-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                                                  | CAPITAL ONE FIN CORP 7.624%/VAR 10/30/2031                                                                                       | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     3995000 | PA      | $4520571.45    | 0.01%             | 2031-10-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 6.407%/VAR 11/01/2029                                                                                             | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    23462000 | PA      | $24911828.42   | 0.06%             | 2029-11-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 2% 05/01/2042#FS4603                                                                                                   | CUSIP: 3140XLDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3072300 | PA      | $2712615.65    | 0.01%             | 2042-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 04/01/2048#FS5721                                                                                                   | CUSIP: 3140XMLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1612241 | PA      | $1489325.85    | 0.00%             | 2048-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                                                                       | QUEST DIAGNOSTICS INC 6.4% 11/30/2033                                                                                            | CUSIP: 74834LBD1<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |      150000 | PA      | $167237.79     | 0.00%             | 2033-11-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.5% 11/15/2033                                                                                                        | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   175900000 | PA      | $183575011.28  | 0.42%             | 2033-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.75% 11/15/2053                                                                                     | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    34730000 | PA      | $35082726.56   | 0.08%             | 2053-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCTAGON 66 LTD                                                                                              | OCTAGON 66 LTD A1R TSFR3M+175 11/16/2036 144A                                                                                    | CUSIP: 67577WAP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500000.00     | 0.00%             | 2036-11-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OPEN TR 2023-AIR                                                                                            | OPEN TR 2023-AIR TSFR1M+383.799 10/15/2028 144A                                                                                  | CUSIP: 68373BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1701088 | PA      | $1702145.79    | 0.00%             | 2040-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| HILTON WORLDWIDE FINANCE LLC                                                                                | HILTON TERM B 1LN 11/08/2030                                                                                                     | CUSIP: 43289DAK9<br>LEI: 549300406TN7EY0NPH20 | Long             | LON              | CORP              | US        |      934016 | PA      | $937340.83     | 0.00%             | 2030-11-08      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INEOS US PETROCHEM LLC                                                                                      | INEOS QUATTRO TERM B 1LN 04/02/2029                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      144570 | PA      | $110379.16     | 0.00%             | 2029-04-02      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| XEROX CORP                                                                                                  | XEROX TERM 1LN 11/19/2029                                                                                                        | CUSIP: 98415LAY2<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | LON              | CORP              | US        |      652556 | PA      | $589035.89     | 0.00%             | 2029-11-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CIT MTG LN TR 2007-1                                                                                        | CIT MTG LN TR 2007-1 STEP 10/25/2037 144A                                                                                        | CUSIP: 12559QAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1938000 | PA      | $1921052.58    | 0.00%             | 2037-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 4.4% 10/25/2030                                                                                   | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2200000 | PA      | $2238821.86    | 0.01%             | 2030-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 6.798% 11/07/2028                                                                                       | CUSIP: 345397D59<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     3839000 | PA      | $4019317.33    | 0.01%             | 2028-11-07      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                                         | PETROLEOS MEXICANOS 10% 02/07/2033                                                                                               | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      788000 | PA      | $909430.80     | 0.00%             | 2033-02-07      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                                                        | LXP INDUSTRIAL TRUST 6.75% 11/15/2028                                                                                            | CUSIP: 529043AF8<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |      113000 | PA      | $120177.19     | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 10/01/2052#QF0895                                                                                                   | CUSIP: 3133BM7G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22122 | PA      | $22338.08      | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 07/01/2052#FS2473                                                                                                   | CUSIP: 3140XHXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       66593 | PA      | $67284.48      | 0.00%             | 2052-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 08/01/2052#SD1465                                                                                                   | CUSIP: 3132DNTW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      187571 | PA      | $189219.56     | 0.00%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 09/01/2052#QF0409                                                                                                   | CUSIP: 3133BMN27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7346 | PA      | $7417.84       | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 06/01/2052#QE4965                                                                                                   | CUSIP: 3133BEQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4997 | PA      | $5048.87       | 0.00%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP                                                                                   | GREEN TREE FINANCIAL CORP 98-4 M1 6.83% 04/01/2030                                                                               | CUSIP: 393505F64<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      194331 | PA      | $197780.65     | 0.00%             | 2030-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP/FIN CO                                                                                  | HILCORP ENERGY I LP/FIN CO 8.375% 11/01/2033 144A                                                                                | CUSIP: 431318BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      125000 | PA      | $128156.13     | 0.00%             | 2033-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                                                    | RTX CORP 6.4% 03/15/2054                                                                                                         | CUSIP: 75513ECX7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      100000 | PA      | $111988.25     | 0.00%             | 2054-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                                              | TARGA RES CORP 6.15% 03/01/2029                                                                                                  | CUSIP: 87612GAE1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     3203000 | PA      | $3377432.08    | 0.01%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                                              | TARGA RES CORP 6.5% 03/30/2034                                                                                                   | CUSIP: 87612GAF8<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     3350000 | PA      | $3681040.84    | 0.01%             | 2034-03-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                                              | BOMBARDIER INC 8.75% 11/15/2030 144A                                                                                             | CUSIP: 097751CA7<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |      355000 | PA      | $383255.87     | 0.00%             | 2030-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                                                     | ALABAMA POWER CO 5.85% 11/15/2033                                                                                                | CUSIP: 010392GB8<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      125000 | PA      | $135043.07     | 0.00%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COSTA RICA REPUBLIC OF                                                                                      | COSTA RICA REPUBLIC OF 7.3% 11/13/2054 144A                                                                                      | CUSIP: 221597CV7<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |      285000 | PA      | $316136.25     | 0.00%             | 2054-11-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 06/01/2053#QG5549                                                                                                   | CUSIP: 3133C6EW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6071840 | PA      | $6087410.23    | 0.01%             | 2053-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                                                     | DUKE ENERGY FLORIDA LLC 5.875% 11/15/2033                                                                                        | CUSIP: 26444HAQ4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     1465000 | PA      | $1590113.52    | 0.00%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                                                     | DUKE ENERGY FLORIDA LLC 6.2% 11/15/2053                                                                                          | CUSIP: 26444HAR2<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |      120000 | PA      | $131250.05     | 0.00%             | 2053-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAP LLC / OUTFRONT MEDIA CAP CORP                                                            | OUTFRONT MEDIA CAP LLC / OUTFRONT MEDIA CAP CORP 7.375% 02/15/2031 144A                                                          | CUSIP: 69007TAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       80000 | PA      | $84780.48      | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.65% 02/01/2034                                 | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      852000 | PA      | $901628.87     | 0.00%             | 2034-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EG GLOBAL FINANCE PLC                                                                                       | EG GLOBAL FINANCE PLC 12% 11/30/2028 144A                                                                                        | CUSIP: 28228PAC5<br>LEI: 549300TL8Q5207VYET27 | Long             | DBT              | CORP              | GB        |     2500000 | PA      | $2723432.50    | 0.01%             | 2028-11-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| SMYRNA READY MIX CONCRETE LLC                                                                               | SMYRNA READY MIX CONCRETE LLC 8.875% 11/15/2031 144A                                                                             | CUSIP: 83283WAE3<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |      345000 | PA      | $366167.13     | 0.00%             | 2031-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| INEOS QUATTRO FINANCE 2                                                                                     | INEOS QUATTRO FINANCE 2 9.625% 03/15/2029 144A                                                                                   | CUSIP: 45674GAB0<br>LEI: 213800V48W4Y5MT5Q131 | Long             | DBT              | CORP              | GB        |      265000 | PA      | $225382.50     | 0.00%             | 2029-03-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                                                        | COLOMBIA REPUBLIC OF 8.75% 11/14/2053                                                                                            | CUSIP: 195325EM3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      788000 | PA      | $880984.00     | 0.00%             | 2053-11-14      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                                                        | COLOMBIA REPUBLIC OF 8% 11/14/2035                                                                                               | CUSIP: 195325EL5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     1409000 | PA      | $1518902.00    | 0.00%             | 2035-11-14      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                                                                              | VAR ENERGI ASA EUAMDB05+NA 11/15/2083 REGS                                                                                       | CUSIP: N/A<br>LEI: 549300LIVN3FFOJN2K47       | Long             | DBT              | CORP              | NO        |      100000 | PA      | $127794.93     | 0.00%             | 2083-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                                                | UBS GROUP AG 9.25%/VAR PERP 144A                                                                                                 | CUSIP: 902613BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EP               | CORP              | CH        |      200000 | PA      | $234337.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                                                | UBS GROUP AG 9.25%/VAR PERP 144A                                                                                                 | CUSIP: 902613BF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EP               | CORP              | CH        |      200000 | PA      | $219147.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LOAN TRUST SERIES 2006-AMN1                                                               | WACHOVIA MORTGAGE LOAN TRUST SERIES 2006-AMN1 A2 STEP 08/25/2036                                                                 | CUSIP: 92978EAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2632233 | PA      | $890422.07     | 0.00%             | 2036-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2023-5                                                                  | EXETER AUTOMOBILE RECEIVABLES TRUST 2023-5 7.13% 02/15/2030                                                                      | CUSIP: 30168DAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1467000 | PA      | $1516359.71    | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP/SEALED AIR CORP US                                                                          | SEALED AIR CORP/SEALED AIR CORP US 7.25% 02/15/2031 144A                                                                         | CUSIP: 812127AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      145000 | PA      | $151000.26     | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                                           | EVERSOURCE ENERGY 5.95% 02/01/2029                                                                                               | CUSIP: 30040WAW8<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2092817.20    | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EPH FINANCING INTERNATIONAL AS                                                                              | EPH FINANCING INTERNATIONAL AS 6.651% 11/13/2028 REGS                                                                            | CUSIP: N/A<br>LEI: 3157003E5A4ZV0JCSM65       | Long             | DBT              | CORP              | CZ        |      200000 | PA      | $250802.69     | 0.00%             | 2028-11-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SCF EQUIPMENT LEASING 2023-1 LLC                                                                            | SCF EQUIPMENT LEASING 2023-1A B LLC 6.37% 05/20/2032 144A                                                                        | CUSIP: 784024AD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2500000 | PA      | $2577577.25    | 0.01%             | 2032-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLE TR 2023-4                                                                    | WESTLAKE AUTOMOBILE RECEIVABLE TR 2023-4A D 7.19% 07/16/2029 144A                                                                | CUSIP: 96041AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2100000 | PA      | $2173463.46    | 0.00%             | 2029-07-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TR 2007-A9                                                                 | RESIDENTIAL ASSET SECURITIZATION TR 2007-A9 A2 TSFR1M+633.552 09/25/2037                                                         | CUSIP: 761143AB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2959140 | PA      | $336428.80     | 0.00%             | 2037-09-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TR 2007-A9                                                                 | RESIDENTIAL ASSET SECURITIZATION TR 2007-A9 A1 TSFR1M+66.448 09/25/2037                                                          | CUSIP: 761143AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2959140 | PA      | $730093.00     | 0.00%             | 2037-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMS-OSRAM AG                                                                                                | AMS-OSRAM AG 12.25% 03/30/2029 144A                                                                                              | CUSIP: 03217CAB2<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |     3900000 | PA      | $4172079.60    | 0.01%             | 2029-03-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2 LLC                                                                                          | PRPM 2023-RCF2 LLC A1 VAR 11/25/2053 144A                                                                                        | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1072696 | PA      | $1062086.81    | 0.00%             | 2053-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EG GLOBAL FINANCE PLC                                                                                       | EG GLOBAL FINANCE PLC 11% 11/30/2028 144A                                                                                        | CUSIP: N/A<br>LEI: 549300TL8Q5207VYET27       | Long             | DBT              | CORP              | GB        |     3800000 | PA      | $4778344.29    | 0.01%             | 2028-11-30      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-NQM1                                                               | GS MORTGAGE-BACKED SECURITIES TRUST 2022-NQM1 VAR 05/25/2062 144A                                                                | CUSIP: 36264EAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       64826 | PA      | $59912.76      | 0.00%             | 2062-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN TR 06 FF13                                                                            | FIRST FRANKLIN MTG LN TRO6FF13 STEP 10/25/2036                                                                                   | CUSIP: 30247DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       32885 | PA      | $20516.43      | 0.00%             | 2036-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                                               | TRANSDIGM INC 7.125% 12/01/2031 144A                                                                                             | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104839.40     | 0.00%             | 2031-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP CY873248 04/17/65 B                                                                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      150000 | NC      | $26024.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                                               | TRANSDIGM TERM J 1LN 02/28/2031                                                                                                  | CUSIP: 89364MCA0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |      179686 | PA      | $179939.07     | 0.00%             | 2031-02-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                                                            | GGAM FINANCE LTD 8% 02/15/2027 144A                                                                                              | CUSIP: 36170JAC0<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |      165000 | PA      | $168776.85     | 0.00%             | 2027-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TR 2006-A14CB                                                              | RESIDENTIAL AST TR 2006-A14CB 6.25% 12/25/2036                                                                                   | CUSIP: 76114BAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      918559 | PA      | $640671.05     | 0.00%             | 2036-12-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6                                                               | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6 6.4% 03/17/2031                                                                    | CUSIP: 80287DAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $517408.45     | 0.00%             | 2031-03-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                                              | DEUTSCHE BANK AG NEW YORK BNCH 6.819%/VAR 11/20/2029                                                                             | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |      835000 | PA      | $892301.93     | 0.00%             | 2029-11-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR RENT LLC / AVIS BUDGET FINANCE INC                                                          | AVIS BUDG CAR RENT LLC/FIN INC 8% 02/15/2031 144A                                                                                | CUSIP: 053773BH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      235000 | PA      | $239985.53     | 0.00%             | 2031-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FLUTTER FINANCING BV                                                                                        | FLUTTER ENTERTAINMENT TERM B 1LN 11/30/2030                                                                                      | CUSIP: N/A<br>LEI: 635400VFWPBIKJK6GN11       | Long             | LON              | CORP              | NL        |      282550 | PA      | $281315.66     | 0.00%             | 2030-11-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CWALT INC                                                                                                   | CWALT INC STEP 08/25/2035                                                                                                        | CUSIP: 12667GYX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1058007 | PA      | $970387.06     | 0.00%             | 2035-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                                                          | BANCO SANTANDER SA 9.625%/VAR PERP                                                                                               | CUSIP: 05971KAP4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | EP               | CORP              | ES        |     1000000 | PA      | $1112916.00    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                                                                            | BAYER US FIN LLC 6.125% 11/21/2026 144A                                                                                          | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     5400000 | PA      | $5488980.39    | 0.01%             | 2026-11-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                                                                            | BAYER US FIN LLC 6.375% 11/21/2030 144A                                                                                          | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     1740000 | PA      | $1860900.84    | 0.00%             | 2030-11-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                                                                            | BAYER US FIN LLC 6.5% 11/21/2033 144A                                                                                            | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     1106000 | PA      | $1197591.71    | 0.00%             | 2033-11-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                                                                               | LGI HOMES INC 8.75% 12/15/2028 144A                                                                                              | CUSIP: 50187TAH9<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |       95000 | PA      | $98974.14      | 0.00%             | 2028-12-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANSN and INFRASTRUCTURE INVS LLC                                                                 | FORTRESS TRANSN and INFRASTRUCTURE INVS LLC 7.875% 12/01/2030 144A                                                               | CUSIP: 34960PAE1<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |      140000 | PA      | $149051.84     | 0.00%             | 2030-12-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.75% 11/15/2043                                                                                     | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13934000 | PA      | $14220300.23   | 0.03%             | 2043-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                                                       | AMERICAN AIRLINES INC 8.5% 05/15/2029 144A                                                                                       | CUSIP: 023771T40<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |       95000 | PA      | $99241.17      | 0.00%             | 2029-05-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO 2018-2 LTD                                                                                 | BLUEMOUNTAIN CLO 2018-2 LTD B TSFR3M+196.161 08/15/2031 144A                                                                     | CUSIP: 09629VAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501429.50     | 0.00%             | 2031-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XXXVII                                                                                           | APIDOS CLO XXXVII D TSFR3M+331.161 10/22/2034 144A                                                                               | CUSIP: 03769HAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250684.75     | 0.00%             | 2034-10-22      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ADMT 2023-NQM5 A1                                                                                           | ADMT 2023-NQM5 A1 7.049% 11/25/2068 144A                                                                                         | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-CBDO         | CORP              | US        |      278974 | PA      | $282539.14     | 0.00%             | 2068-11-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUT MTG SECS CORP                                                                                | WASHINGTON MUT MTG SECS CORP VAR 12/25/2035                                                                                      | CUSIP: 93934FHC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      421302 | PA      | $366544.52     | 0.00%             | 2035-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2007-OA2 TRUST                            | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2007-OA2 2A TRUST 12MTA+70 01/25/2047                          | CUSIP: 93935QAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      504777 | PA      | $431889.53     | 0.00%             | 2047-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUT MTG PASS-THROUGH CTFS WMALT SER 2006-8                                                       | WASHINGTON MUT MTG PASS-THROUGH CTFS WMALT SER 2006-8 STEP 10/25/2036                                                            | CUSIP: 93935EAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      234534 | PA      | $83306.85      | 0.00%             | 2036-10-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| THPT 2023-THL MORTGAGE TRUST                                                                                | THPT 2023-THL MORTGAGE TRUST VAR 12/10/2034 144A                                                                                 | CUSIP: 87252LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88366 | PA      | $89518.32      | 0.00%             | 2034-12-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                                                         | INTESA SANPAOLO SPA 7.2% 11/28/2033 144A                                                                                         | CUSIP: 46115HCD7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      865000 | PA      | $992129.09     | 0.00%             | 2033-11-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SEC                                                            | GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 3% 08/20/2051                                                                  | CUSIP: 38382XWM3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       47001 | PA      | $7969.00       | 0.00%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONN AVE SECS TR 2023-01                                                                        | MULTIFAMILY CONN AVE SECS TR 2023-01 M10 SOFR30A+650 11/25/2053 144A                                                             | CUSIP: 62548NAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3525000 | PA      | $3995379.88    | 0.01%             | 2053-11-25      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| CWALT ALTERNATIVE LN TR SER 2006 OA17                                                                       | CWALT ALTRNTV LN TR SR 06 OA17 STEP 12/20/2046                                                                                   | CUSIP: 12668PAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      847878 | PA      | $774760.12     | 0.00%             | 2046-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHL MTG PASS-THROUGH TR 2007-8                                                                              | CHL MTG PASS-THROUGH TR 2007-8 6% 01/25/2038                                                                                     | CUSIP: 12545AAZ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      261187 | PA      | $107200.08     | 0.00%             | 2038-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                                                     | BX COML MTG TR 2023-XL3 A TSFR1M+189.123 12/09/2040 144A                                                                         | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3670977 | PA      | $3670976.08    | 0.01%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                                                     | BX COML MTG TR 2023-XL3 C TSFR1M+283.988 12/09/2040 144A                                                                         | CUSIP: 12434GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      386645 | PA      | $386885.64     | 0.00%             | 2040-12-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                                                     | BX COML MTG TR 2023-XL3 B TSFR1M+239.052 12/09/2040 144A                                                                         | CUSIP: 12434GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      713145 | PA      | $713144.49     | 0.00%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                                                     | BX COML MTG TR 2023-XL3 D TSFR1M+358.88 12/09/2040 144A                                                                          | CUSIP: 12434GAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      214803 | PA      | $215003.39     | 0.00%             | 2040-12-09      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CROSS 2023-H2 MORTGAGE TRUST                                                                                | CROSS 2023-H2 MORTGAGE TRUST STEP 11/25/2068 144A                                                                                | CUSIP: 22757NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       70170 | PA      | $71130.99      | 0.00%             | 2068-11-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TYSN 2023-CRNR                                                                                              | TYSN 2023-CRNR A VAR 12/10/2038 144A                                                                                             | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $105561.96     | 0.00%             | 2033-12-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ISTANBUL METROPOLITAN MUNICIPALITY                                                                          | ISTANBUL METROPOLITAN MUNICIPALITY 10.5% 12/06/2028 144A                                                                         | CUSIP: 46522TAC2<br>LEI: 213800T1VDQSNKA2MD76 | Long             | DBT              | NUSS              | TR        |      600000 | PA      | $656892.00     | 0.00%             | 2028-12-06      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TR 2015-R2                                                                  | MORGAN STANLEY RESECURITIZATION TR 2015-R2 1B 12MTA+71 12/27/2046 144A                                                           | CUSIP: 61690HAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      897644 | PA      | $818331.08     | 0.00%             | 2046-12-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                                                       | GFL ENVIRONMENTAL INC 6.75% 01/15/2031 144A                                                                                      | CUSIP: 36168QAQ7<br>LEI: 5493008HF9XC5H29ZX61 | Long             | DBT              | CORP              | CA        |     1197000 | PA      | $1256638.13    | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-NQM3 TRUST                                                                                        | CSMC 2022-NQM3 TRUST 4.265% 03/25/2067 144A                                                                                      | CUSIP: 12661NAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      146000 | PA      | $147208.35     | 0.00%             | 2067-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS TR 2023-4                                                               | GOODLEAP SUSTAINABLE HOME SOLUTIONS TR 2023-4 6.48% 03/20/2057 144A                                                              | CUSIP: 38237YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1469423 | PA      | $1464648.36    | 0.00%             | 2057-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 08/01/2050#FP0025                                                                                                   | CUSIP: 3140XTA35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5944406 | PA      | $4889052.01    | 0.01%             | 2050-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA VAR 03/25/2033                                                                                    | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      800000 | PA      | $812764.80     | 0.00%             | 2033-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARGENT SECS INC                                                                                             | ARGENT SECS INC STEP 05/25/2035                                                                                                  | CUSIP: 040104MY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      425760 | PA      | $358533.42     | 0.00%             | 2035-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 09/01/2050#SI2075                                                                                                   | CUSIP: 3133USJU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21276 | PA      | $17478.56      | 0.00%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/01/2053#FS5943                                                                                                 | CUSIP: 3140XMS98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4520513 | PA      | $3875575.38    | 0.01%             | 2053-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 05/01/2052#FS6300                                                                                                   | CUSIP: 3140XNAA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3897583 | PA      | $3500304.73    | 0.01%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/01/2048#CA2163                                                                                                 | CUSIP: 3140Q9MM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1547535 | PA      | $1548458.27    | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENNECO INC                                                                                                 | TENNECO TERM A 1LN 11/17/2028                                                                                                    | CUSIP: 88037HAN4<br>LEI: 549300U0EXXFAQFAD785 | Long             | LON              | CORP              | US        |     1861600 | PA      | $1815935.31    | 0.00%             | 2028-11-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP / BIP-V CHINOOK HOLDCO LLC                                                                    | CQP HOLDCO LP / BIP-V CHINOOK HOLDCO LLC 7.5% 12/15/2033 144A                                                                    | CUSIP: 12657NAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      365000 | PA      | $395393.60     | 0.00%             | 2033-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                                            | CROWN CASTLE INC 5.6% 06/01/2029                                                                                                 | CUSIP: 22822VBD2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      350000 | PA      | $363701.48     | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING PARTNERS LP                                                                        | NEXTERA ENERGY OPERATING PARTNERS LP 7.25% 01/15/2029 144A                                                                       | CUSIP: 65342QAM4<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      125000 | PA      | $128103.75     | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                                                                         | KINETIK HOLDINGS LP 6.625% 12/15/2028 144A                                                                                       | CUSIP: 49461MAB6<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |      800000 | PA      | $822987.24     | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                                                        | EDISON INTERNATIONAL 7.875%/VAR 06/15/2054                                                                                       | CUSIP: 281020AZ0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      166000 | PA      | $172650.46     | 0.00%             | 2054-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 11/01/2050#SD7527                                                                                                   | CUSIP: 3132DVLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2014815 | PA      | $1678517.38    | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| XPO INC                                                                                                     | XPO INC 7.125% 02/01/2032 144A                                                                                                   | CUSIP: 983793AK6<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |      850000 | PA      | $898128.70     | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CONSUMERS 2023 SECURITIZATION FUNDING LLC                                                                   | CONSUMERS 2023 SECURITIZATION FUNDING LLC 5.21% 09/01/2031                                                                       | CUSIP: 21071BAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      473000 | PA      | $489017.67     | 0.00%             | 2031-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CANTOR FITZGERALD LP                                                                                        | CANTOR FITZGERALD LP 7.2% 12/12/2028 144A                                                                                        | CUSIP: 138616AM9<br>LEI: 549300RLUEEVQEMX0450 | Long             | DBT              | CORP              | US        |     5689000 | PA      | $6052661.76    | 0.01%             | 2028-12-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL FUNDING                                                                              | PROTECTIVE LIFE GLOBAL FUNDING 5.467% 12/08/2028 144A                                                                            | CUSIP: 74368CBV5<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |      333000 | PA      | $345389.07     | 0.00%             | 2028-12-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2023-IV                                                                                     | BARINGS CLO LTD 2023-IV A TSFR3M+175 01/20/2037 144A                                                                             | CUSIP: 06763MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7479000 | PA      | $7492701.53    | 0.02%             | 2037-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                                                              | CVR ENERGY INC 8.5% 01/15/2029 144A                                                                                              | CUSIP: 12662PAF5<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |      330000 | PA      | $339395.43     | 0.00%             | 2029-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECS I LLC                                                                        | BEAR STEARNS ASSET BACKED SECS I LLC 05-2 M5 STEP 06/25/2035                                                                     | CUSIP: 073877CH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      600000 | PA      | $612055.38     | 0.00%             | 2035-06-25      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LN TR 2023-PL1                                                                               | NELNET STUDENT LN TR 2023-PL1 A1A SOFR30A+ 11/25/2053 144A                                                                       | CUSIP: 64034UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       86244 | PA      | $87410.90      | 0.00%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.375% 12/15/2026                                                                                                      | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3153800 | PA      | $3177824.67    | 0.01%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5.028% 10/25/2031                                                                                 | CUSIP: 3137HBC77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       96000 | PA      | $99331.54      | 0.00%             | 2031-10-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NJ TR 2023-GSP                                                                                              | NJ TR 2023-GSP A VAR 12/06/2028                                                                                                  | CUSIP: 65486XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      143000 | PA      | $150325.88     | 0.00%             | 2029-01-06      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| C-BASS 2006-MH1 TR                                                                                          | C-BASS 2006-MH1 B2 TR STEP 10/25/2036 144A                                                                                       | CUSIP: 1248P8AL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1068895 | PA      | $904473.24     | 0.00%             | 2036-10-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2023-RTL4                                                                              | LHOME MORTGAGE TRUST 2023-RTL4 STEP 11/25/2028 144A                                                                              | CUSIP: 50204VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2450000 | PA      | $2457413.21    | 0.01%             | 2028-11-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CHS/CMNTY HEALTH SYSTEMS INC                                                                                | CHS/CMNTY HEALTH SYSTEMS INC 10.875% 01/15/2032 144A                                                                             | CUSIP: 12543DBN9<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |      200000 | PA      | $216025.00     | 0.00%             | 2032-01-15      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| MSWF COMMERCIAL MORTGAGE TRUST 23-2                                                                         | MSWF COMMERCIAL MORTGAGE TRUST 23-2 VAR 12/15/2056                                                                               | CUSIP: 55361AAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2219565 | PA      | $125141.50     | 0.00%             | 2056-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FKH 2021-SFR1 F1                                                                                            | FKH 2021-SFR1 F1 3.452% 08/17/2038 144A                                                                                          | CUSIP: 33767WAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1500000 | PA      | $1477855.35    | 0.00%             | 2038-08-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                                                        | ONEMAIN FINANCE CORP 7.875% 03/15/2030                                                                                           | CUSIP: 682691AE0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      215000 | PA      | $227558.37     | 0.00%             | 2030-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 1.5% 09/01/2036#SB8118                                                                                                 | CUSIP: 3132D6AT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1871500 | PA      | $1694661.23    | 0.00%             | 2036-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BPR 2023-STON MTG TR                                                                                        | BPR 2023-STON MTG TR 7.497% 12/05/2039 144A                                                                                      | CUSIP: 05593GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      304000 | PA      | $315729.96     | 0.00%             | 2039-12-05      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 01/01/2054#                                                                                                         | CUSIP: 31418EZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4208348 | PA      | $4220455.44    | 0.01%             | 2054-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 11/01/2053#DA1079                                                                                                 | CUSIP: 3140A1FV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      443379 | PA      | $450114.49     | 0.00%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 11/01/2053#DA3452                                                                                                   | CUSIP: 3140A3ZS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      771813 | PA      | $791951.15     | 0.00%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 05/01/2052#BV9808                                                                                                   | CUSIP: 3140MP3S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85488 | PA      | $81579.28      | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 10/01/2051#BU1913                                                                                                   | CUSIP: 3140M3DT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      130440 | PA      | $124557.56     | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 04/01/2053#CB7396                                                                                                   | CUSIP: 3140QTGE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      487413 | PA      | $465738.79     | 0.00%             | 2053-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONE 2021-PARK MORTGAGE TRUST                                                                                | ONE 2021-PARK MORTGAGE TRUST TSFR1M+161.448 03/15/2036 144A                                                                      | CUSIP: 682413AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4133000 | PA      | $3889508.02    | 0.01%             | 2036-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DIGICEL GROUP HOLDINGS LTD                                                                                  | DIGICEL GROUP HOLDINGS LTD 0% 12/31/2030 144A                                                                                    | CUSIP: 25381HAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      151934 | PA      | $6229.31       | 0.00%             | 2030-12-31      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2023-7                                                                             | ANGEL OAK MORTGAGE TRUST 2023-7 4.8% 11/25/2067 144A                                                                             | CUSIP: 03466DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      423557 | PA      | $422621.82     | 0.00%             | 2067-11-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-NQM6 TRUST                                                                                        | CSMC 2022-NQM6 TRUST VAR 12/25/2067 144A                                                                                         | CUSIP: 12663YAM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      497405 | PA      | $495907.45     | 0.00%             | 2067-12-25      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANCE AUTO LOAN TRUST 2023-5                                                                    | CREDIT ACCEPTANCE AUTO LOAN TRUST 2023-5 7.3% 04/17/2034 144A                                                                    | CUSIP: 22535PAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2550000 | PA      | $2633287.85    | 0.01%             | 2034-04-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS                                                                                   | FEDERAL FARM CREDIT BANKS 1.48% 11/26/2032                                                                                       | CUSIP: 3133EL4Y7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |      965000 | PA      | $817984.87     | 0.00%             | 2032-11-26      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DTP COML MTG TR 2023-STE2                                                                                   | DTP COML MTG TR 2023-STE2 A CSTR 01/15/2041 144A                                                                                 | CUSIP: 23346GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1752000 | PA      | $1802954.64    | 0.00%             | 2041-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                                                     | MNGT SWAP CY400081 08/17/61 S                                                                                                    | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     1000000 | NC      | $5666.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CWALT ALTERNATIVE LN TR 2006-0C7                                                                            | CWALT ALTERNATIVE LN TR 2006-0C7 2A3 STEP 07/25/2046                                                                             | CUSIP: 23243VAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      561343 | PA      | $517699.78     | 0.00%             | 2046-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS STRUCTURED PRODS TR 2007 EMX1                                                                  | BEAR STEARNS STR PR TR 07 EMX1 M1 STEP 03/25/2037 144A                                                                           | CUSIP: 07402LAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       94093 | PA      | $93727.42      | 0.00%             | 2037-03-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FD TR 2020-2                                                                         | HOMEWARD OPPORTUNITIES FD TR 2020-2 B1 5.45% 05/25/2065 144A                                                                     | CUSIP: 43789XAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1545000 | PA      | $1537114.01    | 0.00%             | 2065-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 10/01/2053#SD8366                                                                                                   | CUSIP: 3132DWJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      311062 | PA      | $311665.02     | 0.00%             | 2053-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GCAT 2023-NQM4 TRUST                                                                                        | GCAT 2023-NQM4 TRUST 4.25% 05/25/2067 144A                                                                                       | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      228406 | PA      | $221842.73     | 0.00%             | 2067-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EPHIOS SUBCO 3 SARL                                                                                         | EPHIOS SUBCO 3 SARL 7.875% 01/31/2031 REGS                                                                                       | CUSIP: N/A<br>LEI: 213800E4EG6VFUFVEH64       | Long             | DBT              | CORP              | LU        |      235000 | PA      | $289045.96     | 0.00%             | 2031-01-31      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| HONO 2021-LULU MORTGAGE TRUST                                                                               | HONO 2021-LULU MORTGAGE TRUST TSFR1M+126.448 10/15/2036 144A                                                                     | CUSIP: 40390MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      851409 | PA      | $840830.16     | 0.00%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                                                          | ONE NEW YORK PLAZA TRUST 2020-1NYP TSFR1M+136.448 01/15/2036 144A                                                                | CUSIP: 68249DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      117000 | PA      | $110161.74     | 0.00%             | 2036-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.75% 12/31/2030                                                                                                       | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       36000 | PA      | $36206.72      | 0.00%             | 2030-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BEAR STRNS ASSET BACKED SECS I TR                                                                           | BEAR STRNS ASSET BCKD SEC I TR STEP 04/25/2036                                                                                   | CUSIP: 07387UFW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      573210 | PA      | $538861.73     | 0.00%             | 2036-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANC AMER MTG SECS INC                                                                                      | BANC AMER MTG SECS INC 5.5% 10/25/2033                                                                                           | CUSIP: 05948XTV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      134912 | PA      | $135871.32     | 0.00%             | 2033-10-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                                                                       | CANADA GOVERNMENT OF 3% 06/01/2034                                                                                               | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      220000 | PA      | $156629.58     | 0.00%             | 2034-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIFC FDG 2023-III LTD / CIFC FDG 2023-II LLC                                                                | CIFC FDG 2023-III LTD / CIFC FDG 2023-II LLC A TSFR3M+160 01/20/2037 144A                                                        | CUSIP: 12598YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250537.25     | 0.00%             | 2037-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| 245 PARK AVENUE TRUST 2017-245P                                                                             | 245 PARK AVENUE TRUST 2017-245P E VAR 06/05/2037 144A                                                                            | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1008000 | PA      | $959974.55     | 0.00%             | 2037-06-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN MTG TR 2021-7                                                                                    | J P MORGAN MTG TR 2023-HE3 A1 SOFR30A+160 05/25/2054 144A                                                                        | CUSIP: 465985AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      186204 | PA      | $186993.56     | 0.00%             | 2054-05-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GLOBAL PARTNERS LP / GLP FIN CORP                                                                           | GLOBAL PARTNERS LP / GLP FIN CORP 8.25% 01/15/2032 144A                                                                          | CUSIP: 37954FAK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       85000 | PA      | $89123.95      | 0.00%             | 2032-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                                                    | LLOYDS BANKING GROUP PLC 5.462%/VAR 01/05/2028                                                                                   | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $202789.52     | 0.00%             | 2028-01-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PPL ELEC UTILS CORP                                                                                         | PPL ELEC UTILS CORP 4.85% 02/15/2034                                                                                             | CUSIP: 69351UBC6<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |      460000 | PA      | $470030.94     | 0.00%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                                                     | BPCE SA 3.875% 01/11/2029 REGS                                                                                                   | CUSIP: N/A<br>LEI: 9695005MSX1OYEMGDF46       | Long             | DBT              | CORP              | FR        |     6500000 | PA      | $7749560.00    | 0.02%             | 2029-01-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                                                    | LLOYDS BANKING GROUP PLC 5.679%/VAR 01/05/2035                                                                                   | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $211515.04     | 0.00%             | 2035-01-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNP PARIBAS 5.176%/VAR 01/09/2030 144A                                                                                           | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     1920000 | PA      | $1971047.75    | 0.00%             | 2030-01-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERSYS                                                                                                     | ENERSYS 6.625% 01/15/2032 144A                                                                                                   | CUSIP: 29275YAF9<br>LEI: 7ZS3DE5PN30BYUJFWP05 | Long             | DBT              | CORP              | US        |      230000 | PA      | $239021.29     | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6.5% 01/01/2054#RJ0706                                                                                                 | CUSIP: 3142GQYC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3910036 | PA      | $4111530.10    | 0.01%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 11/01/2053#CB7520                                                                                                 | CUSIP: 3140QTLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1845410 | PA      | $1938202.27    | 0.00%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                                             | DANSKE BANK AS (UNGTD) 3.875%/VAR 01/09/2032 REGS                                                                                | CUSIP: N/A<br>LEI: MAES062Z21O4RZ2U7M96       | Long             | DBT              | CORP              | DK        |      405000 | PA      | $485748.53     | 0.00%             | 2032-01-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                                                                           | UNION ELECTRIC CO 5.25% 01/15/2054                                                                                               | CUSIP: 906548CX8<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |      275000 | PA      | $262943.91     | 0.00%             | 2054-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                                                       | ATHENE GLOBAL FUNDING 5.583% 01/09/2029 144A                                                                                     | CUSIP: 04685A3Q2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     4996000 | PA      | $5137580.20    | 0.01%             | 2029-01-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                                                     | BPCE SA 5.716%/VAR 01/18/2030 144A                                                                                               | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      400000 | PA      | $415132.95     | 0.00%             | 2030-01-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VELOCITY COML CAP LN TR 2020-1                                                                              | VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2020-1 AFX 2.61% 02/25/2050 144A                                                          | CUSIP: 92259LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      126007 | PA      | $117357.24     | 0.00%             | 2050-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2022-SFR3 TRUST                                                                              | FIRSTKEY HOMES 2022-SFR3 TRUST 3.5% 07/17/2038 144A                                                                              | CUSIP: 33768EAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      229000 | PA      | $225020.90     | 0.00%             | 2038-07-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 5.2% 06/01/2034                                                                                    | CUSIP: 842400HZ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      180000 | PA      | $181513.72     | 0.00%             | 2034-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                                            | T-MOBILE USA INC 4.85% 01/15/2029                                                                                                | CUSIP: 87264ADE2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      600000 | PA      | $613465.99     | 0.00%             | 2029-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                                                | ECOPETROL SA 8.375% 01/19/2036                                                                                                   | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      140000 | PA      | $143325.00     | 0.00%             | 2036-01-19      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC                                   | HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC 6.625% 01/15/2032 144A                                 | CUSIP: 43283QAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      275000 | PA      | $280086.95     | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2022-2                                                                 | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2022-2 4.3265% 03/25/2067 144A                                                              | CUSIP: 24380XAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $90431.24      | 0.00%             | 2067-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BRAZIL LETRAS DO TESOURO NACIONAL                                                                           | BRAZIL LETRAS DO TESOURO NACIONAL 0% 04/01/2026                                                                                  | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |   496800000 | PA      | $88896556.31   | 0.20%             | 2026-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 5.95% 05/15/2054                                                                                              | CUSIP: 29273VAW0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1170000 | PA      | $1128326.55    | 0.00%             | 2054-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WEC US HOLDINGS LTD                                                                                         | WESTINGHOUSE TERM B 1LN 1/27/2031                                                                                                | CUSIP: N/A<br>LEI: 5493002M6GRSU1IWMG57       | Long             | LON              | CORP              | US        |      183517 | PA      | $183678.91     | 0.00%             | 2031-01-27      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2024-1                                                               | VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2024-1 6.55% 01/25/2054 144A                                                              | CUSIP: 92261CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      224524 | PA      | $226778.25     | 0.00%             | 2054-01-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BASTION FUNDING I LLC                                                                                       | BASTION FUNDING I LLC 7.119% 04/25/2038 144A                                                                                     | CUSIP: 07030UAA0<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-CBDO         | CORP              | US        |     1072749 | PA      | $1081545.76    | 0.00%             | 2038-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                                            | SOCIETE GENERALE FRANCE 6.066%/VAR 01/19/2035 144A                                                                               | CUSIP: 83368RBX9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     1052000 | PA      | $1114455.80    | 0.00%             | 2035-01-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FINANCE CORP                                                | ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FIN CORP 6.625% 02/01/2032 144A                                                  | CUSIP: 03690AAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      615000 | PA      | $637475.18     | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHOBANI LLC/FINANCE CORP INC                                                                                | CHOBANI LLC/FINANCE CORP INC 7.625% 07/01/2029 144A                                                                              | CUSIP: 17027NAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $104337.70     | 0.00%             | 2029-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 07/01/2053#SD8341                                                                                                   | CUSIP: 3132DWHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       38671 | PA      | $38770.11      | 0.00%             | 2053-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                                                       | ATHENE GLOBAL FUNDING 5.339% 01/15/2027 144A                                                                                     | CUSIP: 04685A3R0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     7937000 | PA      | $8039708.19    | 0.02%             | 2027-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2024-CES1                                                                                    | TOWD PT MTG TR 2024-CES1 5.848% 01/25/2064 144A                                                                                  | CUSIP: 89183CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      590942 | PA      | $592789.94     | 0.00%             | 2064-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2007-OA1 TRUST                            | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2007-OA1 TRUST 12MTA+72 12/25/2046                             | CUSIP: 93935NAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       12339 | PA      | $10966.38      | 0.00%             | 2046-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                                                 | AVOLON HOLDINGS FUNDING LTD 5.75% 03/01/2029 144A                                                                                | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      848000 | PA      | $878713.42     | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 5.012%/VAR 01/23/2030                                                                                      | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1350000 | PA      | $1386099.01    | 0.00%             | 2030-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 5.198%/VAR 01/23/2030                                                                                     | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      900000 | PA      | $928562.04     | 0.00%             | 2030-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 5.499%/VAR 01/23/2035                                                                                     | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2187000 | PA      | $2299682.29    | 0.01%             | 2035-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 5.173%/VAR 01/16/2030                                                                                             | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3536000 | PA      | $3639545.01    | 0.01%             | 2030-01-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CORP ANDINA DE FOMENTO                                                                                      | CORP ANDINA DE FOMENTO 5% 01/24/2029                                                                                             | CUSIP: 219868CJ3<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | CORP              | VE        |      745000 | PA      | $768579.91     | 0.00%             | 2029-01-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WAND NEWCO 3 INC                                                                                            | WAND NEWCO 3 INC 7.625% 01/30/2032 144A                                                                                          | CUSIP: 933940AA6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | DBT              | CORP              | US        |      515000 | PA      | $542669.92     | 0.00%             | 2032-01-30      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 05/01/2053#FS4662                                                                                                 | CUSIP: 3140XLFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2762776 | PA      | $2909682.15    | 0.01%             | 2053-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                                              | PNC FINANCIAL SERVICES GRP INC 5.676%/VAR 01/22/2035                                                                             | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |      215000 | PA      | $227697.95     | 0.00%             | 2035-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                                                    | EQT CORP 5.75% 02/01/2034                                                                                                        | CUSIP: 26884LAR0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2135000 | PA      | $2249005.39    | 0.01%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 2.5% 08/20/2051#785575                                                                                                   | CUSIP: 3622ABCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1761939 | PA      | $1518532.88    | 0.00%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 2.5% 12/20/2051#785792                                                                                                   | CUSIP: 3622ABKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2071568 | PA      | $1784092.79    | 0.00%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                                                     | BX COML MTG TR 2024-XL4 D TSFR1M+353.903 02/15/2039 144A                                                                         | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      361934 | PA      | $362610.72     | 0.00%             | 2039-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 2.25% 04/16/2065                                                                                  | CUSIP: 38384CEP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       95795 | PA      | $77235.85      | 0.00%             | 2065-04-16      | Fixed         | 0.02%                 | No            |                  3 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                                                     | BX COML MTG TR 2024-XL4 A TSFR1M+144.203 02/15/2039 144A                                                                         | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6519447 | PA      | $6521484.49    | 0.01%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                                                     | BX COML MTG TR 2024-XL4 TSFR1M+194.132 02/15/2039 144A                                                                           | CUSIP: 05611VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      795326 | PA      | $796317.84     | 0.00%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                                                     | BX COML MTG TR 2024-XL4 TSFR1M+418.81 02/15/2039 144A                                                                            | CUSIP: 05611VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      194887 | PA      | $195140.28     | 0.00%             | 2039-02-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CALPINE CORPORATION                                                                                         | CALPINE TERM B10 1LN 01/31/2031                                                                                                  | CUSIP: 13134MBW2<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | LON              | CORP              | US        |      362353 | PA      | $362045.25     | 0.00%             | 2031-01-31      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CALPINE CORPORATION                                                                                         | CALPINE TERM B5 1LN 2/15/2032                                                                                                    | CUSIP: 13134MBX0<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | LON              | CORP              | US        |      330486 | PA      | $330228.12     | 0.00%             | 2032-02-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TR 2022-3                                                                              | VERUS SECURITIZATION TR 2022-3 B1 CSTR 02/25/2067 144A                                                                           | CUSIP: 92538UAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      158000 | PA      | $129842.39     | 0.00%             | 2067-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 5.468%/VAR 01/23/2035                                                                                | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1347000 | PA      | $1416696.49    | 0.00%             | 2035-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                                            | CSC HOLDINGS LLC 11.75% 01/31/2029 144A                                                                                          | CUSIP: 126307BN6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     2219000 | PA      | $1564208.83    | 0.00%             | 2029-01-31      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| KEHE DIST/FIN / NEXTWAVE                                                                                    | KEHE DIST/FIN / NEXTWAVE 9% 02/15/2029 144A                                                                                      | CUSIP: 487526AC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      370000 | PA      | $386549.36     | 0.00%             | 2029-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4% 01/31/2031                                                                                                          | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      125000 | PA      | $127148.44     | 0.00%             | 2031-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4% 01/31/2029                                                                                                          | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      845000 | PA      | $857146.88     | 0.00%             | 2029-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                                              | US BANCORP DEL 5.678%/VAR 01/23/2035                                                                                             | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      145000 | PA      | $154157.27     | 0.00%             | 2035-01-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                                              | US BANCORP DEL 5.384%/VAR 01/23/2030                                                                                             | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      905000 | PA      | $938835.16     | 0.00%             | 2030-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TR 2022-6                                                                  | SANTANDER DRIVE AUTO RECEIVABLES TR 2022-6 5.69% 02/18/2031                                                                      | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3300000 | PA      | $3323602.59    | 0.01%             | 2031-02-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME LN TR 2007-NS1                                                                               | SOUNDVIEW HOME LN TR 2007-NS1 STEP 01/25/2037                                                                                    | CUSIP: 83612QAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       31415 | PA      | $32188.89      | 0.00%             | 2037-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                                                       | TRUIST FINANCIAL CORP 5.435%/VAR 01/24/2030                                                                                      | CUSIP: 89788MAR3<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     2380000 | PA      | $2470490.96    | 0.01%             | 2030-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                                                       | TRUIST FINANCIAL CORP 5.711%/VAR 01/24/2035                                                                                      | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      585000 | PA      | $618632.72     | 0.00%             | 2035-01-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF                                                                              | BRAZIL FEDERATIVE REPUBLIC OF 7.125% 05/13/2054                                                                                  | CUSIP: 105756CJ7<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      488000 | PA      | $488976.00     | 0.00%             | 2054-05-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-1                                                                             | ANGEL OAK MORTGAGE TRUST 2024-1 5.21% 08/25/2068 144A                                                                            | CUSIP: 03465XAA7<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-CBDO         | CORP              | US        |       63351 | PA      | $63392.97      | 0.00%             | 2068-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP CY873248 04/17/65 B                                                                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      190000 | NC      | $32964.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2017-ASHF                                                                           | MORGAN STANLEY CAP I TR 2017-ASHF G TSFR1M+7.19700 11/15/2034 144A                                                               | CUSIP: 61691KAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14000 | PA      | $13350.16      | 0.00%             | 2034-11-15      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| JYSKE BANK                                                                                                  | JYSKE BANK AS 5.125%/VAR 05/01/2035 REGS                                                                                         | CUSIP: N/A<br>LEI: 3M5E1GQGKL17HI6CPN30       | Long             | DBT              | CORP              | DK        |      159000 | PA      | $195208.35     | 0.00%             | 2035-05-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                                                                           | UNITED KINGDOM G.B. and N.IRELAND 4.375% 07/31/2054 REGS                                                                         | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    12865000 | PA      | $14947049.23   | 0.03%             | 2054-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MFA 2022-NQM1 TRUST                                                                                         | MFA 2022-NQM1 TRUST 4.26/VAR 12/25/2066 144A                                                                                     | CUSIP: 55284PAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      171000 | PA      | $159252.59     | 0.00%             | 2066-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                                          | REALTY INCOME CORP 3.4% 01/15/2030                                                                                               | CUSIP: 756109CC6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     1460000 | PA      | $1421192.16    | 0.00%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                                          | REALTY INCOME CORP 2.7% 02/15/2032                                                                                               | CUSIP: 756109CE2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     7532000 | PA      | $6816582.02    | 0.02%             | 2032-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                                                                                        | ZF EUROPE FINANCE BV 4.75% 01/31/2029 REGS                                                                                       | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |      400000 | PA      | $458184.03     | 0.00%             | 2029-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NGL ENERGY OPER LLC/NGL ENERGY FIN CORP                                                                     | NGL ENERGY OPER LLC/FIN CORP 8.125% 02/15/2029 144A                                                                              | CUSIP: 62922LAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      295000 | PA      | $303472.99     | 0.00%             | 2029-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| LENDMARK FDG TR 2024-1                                                                                      | LENDMARK FDG TR 2024-1 7.21% 06/21/2032 144A                                                                                     | CUSIP: 52603DAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $101950.13     | 0.00%             | 2032-06-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LENDMARK FDG TR 2024-1                                                                                      | LENDMARK FDG TR 2024-1 5.88% 06/21/2032 144A                                                                                     | CUSIP: 52603DAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      520000 | PA      | $527599.44     | 0.00%             | 2032-06-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                                                   | CAESARS ENTERTAINMENT INC 6.5% 02/15/2032 144A                                                                                   | CUSIP: 12769GAC4<br>LEI: 5299000BKFWWVND5L441 | Long             | DBT              | CORP              | US        |     1679000 | PA      | $1707798.21    | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME LOAN TR                                                                                      | SOUNDVIEW HOME LOAN TR VAR 11/25/2035                                                                                            | CUSIP: 83611MGX0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       45000 | PA      | $38186.02      | 0.00%             | 2035-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHASE ISSUANCE TR                                                                                           | CHASE ISSUANCE TR 24-A2 A 4.63% 01/15/2031                                                                                       | CUSIP: 161571HW7<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-CBDO         | CORP              | US        |     1200000 | PA      | $1229052.36    | 0.00%             | 2031-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMERICA INC                                                                                                | COMERICA INC 5.982%/VAR 01/30/2030                                                                                               | CUSIP: 200340AW7<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | DBT              | CORP              | US        |     5095000 | PA      | $5307234.47    | 0.01%             | 2030-01-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                                                           | STATE STREET CORP 6.7%/VAR PERP                                                                                                  | CUSIP: 857477CH4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | EP               | CORP              | US        |      178000 | PA      | $184736.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARTERA SERVICES LLC                                                                                         | ARTERA SERVICES LLC 8.5% 02/15/2031 144A                                                                                         | CUSIP: 04302XAA2<br>LEI: 549300J2G34D0WX8Z443 | Long             | DBT              | CORP              | US        |      645000 | PA      | $557567.86     | 0.00%             | 2031-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                                                        | LOCKHEED MARTIN CORP 4.8% 08/15/2034                                                                                             | CUSIP: 539830CD9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |      130000 | PA      | $132556.11     | 0.00%             | 2034-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES INC/OH                                                                                | HUNTINGTON BANCSHARES INC/OH 5.709%/VAR 02/02/2035                                                                               | CUSIP: 446150BD5<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |     5049000 | PA      | $5310154.63    | 0.01%             | 2035-02-02      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INEOS FINANCE PLC                                                                                           | INEOS FINANCE PLC 7.5% 04/15/2029 144A                                                                                           | CUSIP: 44984WAJ6<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |      450000 | PA      | $403881.21     | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                                                                     | KODIAK GAS SERVICES LLC 7.25% 02/15/2029 144A                                                                                    | CUSIP: 50012LAC8<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |      450000 | PA      | $469175.85     | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SESAC FINANCE LLC 2022-1                                                                                    | SESAC FINANCE LLC 2022-1 6.421% 01/25/2054 144A                                                                                  | CUSIP: 78396YAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       52072 | PA      | $53326.10      | 0.00%             | 2054-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FS LUXEMBOURG SARL                                                                                          | FS LUXEMBOURG SARL 8.875% 02/12/2031 144A                                                                                        | CUSIP: 30315XAC8<br>LEI: 222100EKR3JUJPGGOY81 | Long             | DBT              | CORP              | LU        |      335000 | PA      | $345780.30     | 0.00%             | 2031-02-12      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED ENERGY FINANCE SA                                                                              | CONSOLIDATED ENERGY TERM B 1LN 11/15/2030                                                                                        | CUSIP: N/A<br>LEI: 549300PUNIS0USNSL750       | Long             | LON              | CORP              | LU        |      333308 | PA      | $265813.19     | 0.00%             | 2030-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FIESTA PURCHASER INC                                                                                        | FIESTA PURCHASER INC 7.875% 03/01/2031 144A                                                                                      | CUSIP: 31659AAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      105000 | PA      | $110450.66     | 0.00%             | 2031-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LN TR 2021-A                                                                                 | NELNET STUDENT LN TR 2021-A 2.85% 04/20/2062 144A                                                                                | CUSIP: 64035DAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      142000 | PA      | $127899.68     | 0.00%             | 2062-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.25% 02/15/2054                                                                                     | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    37800000 | PA      | $35199773.53   | 0.08%             | 2054-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MF1 2024-FL14 LLC                                                                                           | MF1 2024-FL14 A LLC TSFR1M+173.7 03/19/2039 144A                                                                                 | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $100249.99     | 0.00%             | 2039-03-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2021-SJ2                                                                          | TOWD POINT MORTGAGE TRUST 2021-SJ2 2.5% 12/25/2061 144A                                                                          | CUSIP: 89180LAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1500000 | PA      | $1395381.90    | 0.00%             | 2061-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO LLC                                                                                 | ALLIED UNIVERSAL HOLDCO LLC 7.875% 02/15/2031 144A                                                                               | CUSIP: 019576AD9<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105285.70     | 0.00%             | 2031-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                                                                   | IQVIA INC 5.7% 05/15/2028                                                                                                        | CUSIP: 46266TAC2<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |     3150000 | PA      | $3248910.00    | 0.01%             | 2028-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MTG TR 2024-RTL4                                                                   | SALUDA GRADE ALTERNATIVE MORTGAGE TRUST 2024-RTL4 STEP 02/25/2030 144A                                                           | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      404000 | PA      | $405406.89     | 0.00%             | 2030-02-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                                                          | ONE NEW YORK PLAZA TRUST 2020-1NYP B TSFR1M+161.448 01/15/2036 144A                                                              | CUSIP: 68249DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $92655.33      | 0.00%             | 2036-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2006-QA10 TRUST                                                                                 | RALI SERIES 2006-QA10 A2 TRUST STEP 12/25/2036                                                                                   | CUSIP: 74922NAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       91865 | PA      | $80366.14      | 0.00%             | 2036-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CANO HEALTH LLC                                                                                             | CANO HEALTH LLC                                                                                                                  | CUSIP: N/A<br>LEI: 254900OGI2T8V1NXN639       | Long             | EC               | CORP              | US        |        9092 | NS      | $108012.96     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| GOLDSTORY SASU                                                                                              | GOLDSTORY SASU 6.75% 02/01/2030 REGS                                                                                             | CUSIP: N/A<br>LEI: 969500NWR67ONUJD4A26       | Long             | DBT              | CORP              | FR        |      282000 | PA      | $339455.32     | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                                                                         | NOVA CHEMICALS CORP 9% 02/15/2030 144A                                                                                           | CUSIP: 66977WAU3<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |      300000 | PA      | $320981.60     | 0.00%             | 2030-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                                           | POST HLDGS INC 6.25% 02/15/2032 144A                                                                                             | CUSIP: 737446AU8<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      115000 | PA      | $118745.21     | 0.00%             | 2032-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PARAGUAY REPUBLIC OF                                                                                        | PARAGUAY REPUBLIC OF 6% 02/09/2036 144A                                                                                          | CUSIP: 699149AN0<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |      510000 | PA      | $540283.80     | 0.00%             | 2036-02-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                                                    | GENERAL MTRS FINL CO INC 5.4% 05/08/2027                                                                                         | CUSIP: 37045XEQ5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      795000 | PA      | $808076.09     | 0.00%             | 2027-05-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                                                 | CENCORA INC 5.125% 02/15/2034                                                                                                    | CUSIP: 03073EAU9<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |      250000 | PA      | $258327.13     | 0.00%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 02/01/2054#CB8018                                                                                                 | CUSIP: 3140QT4C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      701051 | PA      | $731427.36     | 0.00%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MFRA TRUST                                                                                                  | MFRA TRUST STEP 04/25/2027                                                                                                       | CUSIP: 59319NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      230000 | PA      | $230781.40     | 0.00%             | 2029-02-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-MF                                                                                      | BX COML MTG TR 2024-MF TSFR1M+373.83 02/15/2039 144A                                                                             | CUSIP: 05612EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      154069 | PA      | $154189.57     | 0.00%             | 2039-02-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                                                | ALIMENTATION COUCHE-TARD INC 5.267% 02/12/2034 144A                                                                              | CUSIP: 01626PAU0<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     2645000 | PA      | $2720584.50    | 0.01%             | 2034-02-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON and CO                                                                                     | BECTON DICKINSON and CO 4.874% 02/08/2029                                                                                        | CUSIP: 075887CR8<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     1250000 | PA      | $1275388.43    | 0.00%             | 2029-02-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2021-VIEW                                                                                          | BX TRUST 2021-VIEW TSFR1M+404.448 06/15/2036 144A                                                                                | CUSIP: 05606GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       61000 | PA      | $60727.01      | 0.00%             | 2036-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 5.174%/VAR 02/13/2030                                                                                              | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     6425000 | PA      | $6609500.62    | 0.01%             | 2030-02-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 5.827%/VAR 02/13/2035                                                                                              | CUSIP: 172967PG0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1045792.66    | 0.00%             | 2035-02-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF BENIN                                                                                           | REPUBLIC OF BENIN 7.96% 02/13/2038 144A                                                                                          | CUSIP: 08205QAA6<br>LEI: 635400Q11P6AE5A5Y230 | Long             | DBT              | NUSS              | BJ        |      200000 | PA      | $203222.00     | 0.00%             | 2038-02-13      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AMER SPORTS CO                                                                                              | AMER SPORTS CO 6.75% 02/16/2031 144A                                                                                             | CUSIP: 02352NAA7<br>LEI: 549300NRKH9WF70VFC95 | Long             | DBT              | CORP              | US        |      405000 | PA      | $422213.31     | 0.00%             | 2031-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROYAL KPN NV (KONINKLIJKE KPN)                                                                              | ROYAL KPN NV (KONINKLIJKE KPN) 3.875% 02/16/2036 REGS                                                                            | CUSIP: N/A<br>LEI: 549300YO0JZHAL7FVP81       | Long             | DBT              | CORP              | NL        |      200000 | PA      | $233841.99     | 0.00%             | 2036-02-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TURKIYE VARLIK FONU YONETIMI AS                                                                             | TURKIYE VARLIK FONU YONETIMI AS 8.25% 02/14/2029 REGS                                                                            | CUSIP: N/A<br>LEI: 789000MAPAG7J8DI3112       | Long             | DBT              | CORP              | TR        |      200000 | PA      | $213375.00     | 0.00%             | 2029-02-14      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ELI LILLY and CO                                                                                            | ELI LILLY and CO 4.7% 02/09/2034                                                                                                 | CUSIP: 532457CL0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     3179000 | PA      | $3240617.00    | 0.01%             | 2034-02-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CNA FINANCIAL CORP                                                                                          | CNA FINANCIAL CORP 5.125% 02/15/2034                                                                                             | CUSIP: 126117AY6<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |      115000 | PA      | $116074.42     | 0.00%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-MF                                                                                      | BX COML MTG TR 2024-MF TSFR1M+144.161 02/15/2039 144A                                                                            | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      115109 | PA      | $115109.06     | 0.00%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                                                   | ROGERS COMMUNICATIONS INC 5.3% 02/15/2034                                                                                        | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     2725000 | PA      | $2762787.47    | 0.01%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2024-A                                                                    | AFFIRM ASSET SECURITIZATION TRUST 2024-A 5.61% 02/15/2029 144A                                                                   | CUSIP: 00834BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      155000 | PA      | $155388.26     | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MCR 2024-HTL MORTGAGE TRUST                                                                                 | MCR 2024-HTL E MORTGAGE TRUST TSFR1M+465.43 02/15/2037 144A                                                                      | CUSIP: 55286PAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       98294 | PA      | $97830.42      | 0.00%             | 2037-02-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 4.445% 02/14/2030                                                                                       | CUSIP: 345397E41<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      400000 | PA      | $475899.81     | 0.00%             | 2030-02-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                                          | TURKEY REPUBLIC OF 7.625% 05/15/2034                                                                                             | CUSIP: 900123DK3<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      400000 | PA      | $429688.00     | 0.00%             | 2034-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2.5% 07/01/2032#G18651                                                                                                 | CUSIP: 3128MMWM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      537412 | PA      | $519183.52     | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 11/01/2029#AS7270                                                                                                 | CUSIP: 3138WHCG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74751 | PA      | $73259.56      | 0.00%             | 2029-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 12/01/2033#FM4036                                                                                                 | CUSIP: 3140X7PW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2348745 | PA      | $2270200.25    | 0.01%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHL MTG PASS THRU TR 2007-9                                                                                 | CHL MTG PASS THRU TR 2007-9 5.75% 07/25/2037                                                                                     | CUSIP: 12544XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       52572 | PA      | $23588.20      | 0.00%             | 2037-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARSENAL AIC PARENT LLC                                                                                      | ARSENAL AIC PARENT LLC 11.5% 10/01/2031 144A                                                                                     | CUSIP: 04288BAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      995000 | PA      | $1097696.94    | 0.00%             | 2031-10-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                                             | PHILIP MORRIS INTL INC 5.25% 02/13/2034                                                                                          | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      962000 | PA      | $998935.98     | 0.00%             | 2034-02-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                                             | PHILIP MORRIS INTL INC 5.125% 02/13/2031                                                                                         | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     1240000 | PA      | $1289015.51    | 0.00%             | 2031-02-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                                                         | CARRIER GLOBAL CORP 6.2% 03/15/2054                                                                                              | CUSIP: 14448CBD5<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |      392000 | PA      | $430824.60     | 0.00%             | 2054-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                                                         | CARRIER GLOBAL CORP 5.9% 03/15/2034                                                                                              | CUSIP: 14448CBC7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     2541000 | PA      | $2744991.68    | 0.01%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                                               | TRANSDIGM INC 6.375% 03/01/2029 144A                                                                                             | CUSIP: 893647BU0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      830000 | PA      | $854900.00     | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                                               | TRANSDIGM INC 6.625% 03/01/2032 144A                                                                                             | CUSIP: 893647BV8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      610000 | PA      | $634017.53     | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNP PARIBAS 5.497%/VAR 05/20/2030 144A                                                                                           | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      285000 | PA      | $295509.83     | 0.00%             | 2030-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNP PARIBAS 5.738%/VAR 02/20/2035 144A                                                                                           | CUSIP: 09659W2X1<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      900000 | PA      | $952479.25     | 0.00%             | 2035-02-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                                                                          | CNX RESOURCES CORP 7.25% 03/01/2032 144A                                                                                         | CUSIP: 12653CAL2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |      836000 | PA      | $871820.93     | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SALLY HOLDINGS LLC / SALLY CAP INC                                                                          | SALLY HOLDINGS LLC / CAP INC 6.75% 03/01/2032                                                                                    | CUSIP: 79546VAQ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      645000 | PA      | $674704.83     | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                                                               | DTE ENERGY CO 5.1% 03/01/2029                                                                                                    | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |      300000 | PA      | $308027.69     | 0.00%             | 2029-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 03/01/2054#MA5294                                                                                                   | CUSIP: 31418E3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29426 | PA      | $29455.42      | 0.00%             | 2054-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 06/01/2052#CB3771                                                                                                 | CUSIP: 3140QPFM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2469856 | PA      | $2294976.78    | 0.01%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-28CB                                                                            | ALTERNATIVE LOAN TRUST 2006-28CB 6.25% 10/25/2036                                                                                | CUSIP: 02147TAP1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       45713 | PA      | $21299.58      | 0.00%             | 2036-10-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BLP COML MTG 2024-INDS                                                                                      | BLP COML MTG 2024-IND2 A TSFR1M+139.208 03/15/2041 144A                                                                          | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2846482 | PA      | $2846482.12    | 0.01%             | 2041-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARDONAGH FINCO LTD                                                                                          | ARDONAGH FINCO LTD 6.875% 02/15/2031 REGS                                                                                        | CUSIP: N/A<br>LEI: 254900D2T84O1K03BA28       | Long             | DBT              | CORP              | JE        |      235000 | PA      | $280113.78     | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OCWEN LN INVT TR 2024-HB1                                                                                   | OCWEN LN INVT TR 2024-HB1 3% 02/25/2037 144A                                                                                     | CUSIP: 675952AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      195193 | PA      | $192571.71     | 0.00%             | 2037-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                                                     | BRISTOL-MYERS SQUIBB CO 5.55% 02/22/2054                                                                                         | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     1835000 | PA      | $1853929.29    | 0.00%             | 2054-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARGENT SECS TR 2006 M1                                                                                      | ARGENT SECS TR 2006 M1 STEP 07/25/2036                                                                                           | CUSIP: 04012MAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      146026 | PA      | $39318.84      | 0.00%             | 2036-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2024-CES2                                                                                    | TOWD PT MTG TR 2024-CES2 6.125% 02/25/2064 144A                                                                                  | CUSIP: 89182JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      452763 | PA      | $455471.31     | 0.00%             | 2064-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EVERGY MO WEST STORM FDG I LLC                                                                              | EVERGY MO WEST STORM FDG I LLC 5.104% 12/01/2040                                                                                 | CUSIP: 30037HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      197618 | PA      | $204663.21     | 0.00%             | 2040-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.83% 02/01/2034#BZ0104                                                                                                | CUSIP: 3140NUDJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2429000 | PA      | $2521522.31    | 0.01%             | 2034-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2007-6                                                                        | CITIGROUP MORTGAGE LOAN TRUST 2007-6 TSFR1M+61.448 05/25/2037                                                                    | CUSIP: 17312VAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       66121 | PA      | $63770.55      | 0.00%             | 2037-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                                            | BAT CAPITAL CORP 5.834% 02/20/2031                                                                                               | CUSIP: 05526DBY0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1290000 | PA      | $1370956.39    | 0.00%             | 2031-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | USTN TII 2.125% 02/15/2054                                                                                                       | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    86600000 | PA      | $84672323.49   | 0.19%             | 2054-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.5% 02/15/2044                                                                                      | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1940000 | PA      | $1916810.95    | 0.00%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 2.5% 12/20/2051#785805                                                                                                   | CUSIP: 3622ABKS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3099339 | PA      | $2670206.62    | 0.01%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 01/01/2053#RA8208                                                                                                   | CUSIP: 3133KQDM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34321 | PA      | $34484.02      | 0.00%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED UTILITIES WATER FINANCE PLC                                                                          | UNITED UTILITIES WATER FINANCE PLC 3.75% 05/23/2034 REGS                                                                         | CUSIP: N/A<br>LEI: 213800313INX42GDLR44       | Long             | DBT              | CORP              | GB        |      730000 | PA      | $850427.03     | 0.00%             | 2034-05-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES1                                                                               | RCKT MORTGAGE TRUST 2024-CES1 1A1 6.025% 02/25/2044 144A                                                                         | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1051667 | PA      | $1060206.21    | 0.00%             | 2044-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RAD CLO 7 LTD                                                                                               | RAD CLO 7 LTD B1R TSFR3M+190 04/17/2036 144A                                                                                     | CUSIP: 74936GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250206.25     | 0.00%             | 2036-04-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| RAD CLO 7 LTD                                                                                               | RAD CLO 7 LTD CR TSFR3M+260 04/17/2036 144A                                                                                      | CUSIP: 74936GAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250461.25     | 0.00%             | 2036-04-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GRACIE POINT INTERNATIONAL FUNDING 2024-1 LLC                                                               | GRACIE POINT INTERNATIONAL FUNDING 2024-1A A LLC SOFR90A+170 03/01/2028 144A                                                     | CUSIP: 38410KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      318000 | PA      | $318387.93     | 0.00%             | 2028-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 5.45% 04/01/2031                                                                                                         | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     2027000 | PA      | $2120289.90    | 0.00%             | 2031-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 5.6% 04/01/2034                                                                                                          | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      699000 | PA      | $732828.62     | 0.00%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 6% 04/01/2054                                                                                                            | CUSIP: 404119CV9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      110000 | PA      | $111667.26     | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 11/01/2053#FS7252                                                                                                   | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1780143 | PA      | $1784707.63    | 0.00%             | 2053-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                                                  | ABBVIE INC 5.05% 03/15/2034                                                                                                      | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     1760000 | PA      | $1825386.68    | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                                                  | FIRST QUANTUM MINERALS LTD 9.375% 03/01/2029 144A                                                                                | CUSIP: 335934AV7<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     1235000 | PA      | $1303826.55    | 0.00%             | 2029-03-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                                                 | ROYAL CARIBBEAN CRUISES LTD 6.25% 03/15/2032 144A                                                                                | CUSIP: 780153BU5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     9929000 | PA      | $10274023.52   | 0.02%             | 2032-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/01/2052#FS7241                                                                                                 | CUSIP: 3140XPBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3993435 | PA      | $3446158.11    | 0.01%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.25% 02/28/2029                                                                                                       | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1930000 | PA      | $1972897.26    | 0.00%             | 2029-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.25% 02/28/2031                                                                                                       | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    59100000 | PA      | $60824519.68   | 0.14%             | 2031-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CWALT INC                                                                                                   | CWALT INC STEP 06-OC1 1A1 03/25/2036                                                                                             | CUSIP: 12668BJD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       39300 | PA      | $39985.58      | 0.00%             | 2036-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL1 LLC                                                                                          | PRPM 2024-RPL1 LLC A1 4.2% 12/25/2064 144A                                                                                       | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      327394 | PA      | $323588.56     | 0.00%             | 2064-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTG LN TR 2006-AR35                                                                            | INDYMAC INDX MTG LN TR 2006-AR35 TSFR1M+45.448 01/25/2037                                                                        | CUSIP: 45667SAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       20975 | PA      | $19571.32      | 0.00%             | 2037-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5.5% 02/20/2054#MA9488                                                                                                   | CUSIP: 36179YRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8739096 | PA      | $8865614.05    | 0.02%             | 2054-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                                                      | WESCO DISTRIBUTION INC 6.625% 03/15/2032 144A                                                                                    | CUSIP: 95081QAR5<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |     1070000 | PA      | $1122312.30    | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                                                      | WESCO DISTRIBUTION INC 6.375% 03/15/2029 144A                                                                                    | CUSIP: 95081QAQ7<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |      840000 | PA      | $867868.68     | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                                                    | BUILDERS FIRSTSOURCE INC 6.375% 03/01/2034 144A                                                                                  | CUSIP: 12008RAS6<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104011.70     | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                                             | DANSKE BANK AS (UNGTD) 5.705%/VAR 03/01/2030 144A                                                                                | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      400000 | PA      | $417006.74     | 0.00%             | 2030-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                                                                                 | HONEYWELL INTL INC 5.25% 03/01/2054                                                                                              | CUSIP: 438516CT1<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |      330000 | PA      | $319603.55     | 0.00%             | 2054-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST 2024-1R                                                                      | PMT CREDIT RISK TRANSFER TRUST 2024-1R A SOFR30A+350 PERP 144A                                                                   | CUSIP: 73015AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6774531 | PA      | $6849238.02    | 0.02%             | 2033-05-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 6% 09/01/2053#RA9856                                                                                                   | CUSIP: 3133KR5R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1675287 | PA      | $1733134.14    | 0.00%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                                                 | CHENIERE ENERGY PARTNERS LP 5.95% 06/30/2033                                                                                     | CUSIP: 16411QAQ4<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      298000 | PA      | $316689.70     | 0.00%             | 2033-06-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                                                                                 | SEVERN TRENT WATER UTIL FIN 4% 03/05/2034 REGS                                                                                   | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |      750000 | PA      | $892372.54     | 0.00%             | 2034-03-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                                                                        | HEATHROW FUNDING LTD 6% 03/05/2032 REGS                                                                                          | CUSIP: N/A<br>LEI: 7TI96JO3DYEIQWZ7Z726       | Long             | DBT              | CORP              | JE        |      465000 | PA      | $634430.49     | 0.00%             | 2032-03-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                                                  | FISERV INC 5.45% 03/15/2034                                                                                                      | CUSIP: 337738BL1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     1230000 | PA      | $1251414.76    | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                                                                                     | KEYCORP 6.401%/VAR 03/06/2035                                                                                                    | CUSIP: 49326EEP4<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |     3225000 | PA      | $3518906.34    | 0.01%             | 2035-03-06      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 11/01/2053#SD4396                                                                                                 | CUSIP: 3132E03D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1634109 | PA      | $1659233.91    | 0.00%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALTICE FING SA                                                                                              | ALTICE FING SA 9.625% 07/15/2027 144A                                                                                            | CUSIP: 02154CAJ2<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |      385000 | PA      | $307295.45     | 0.00%             | 2027-07-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                                            | BERRY GLOBAL INC 5.5% 04/15/2028                                                                                                 | CUSIP: 08576PAL5<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     4810000 | PA      | $4948277.21    | 0.01%             | 2028-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FINANCE CORP                                                  | DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FINANCE CORP 8.625% 03/15/2029 144A                                                | CUSIP: 24665FAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      310000 | PA      | $324928.36     | 0.00%             | 2029-03-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| RADIAN GROUP INC                                                                                            | RADIAN GROUP INC 6.2% 05/15/2029                                                                                                 | CUSIP: 750236AY7<br>LEI: 54930005OUP720S5U385 | Long             | DBT              | CORP              | US        |      250000 | PA      | $261827.74     | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GREAT WOLF TRUST 2024-WOLF                                                                                  | GREAT WOLF TRUST 2024-WOLF TSFR1M+154.2 03/15/2039 144A                                                                          | CUSIP: 39152MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100062.50     | 0.00%             | 2039-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 11/01/2053#RJ0189                                                                                                   | CUSIP: 3142GQF72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      858925 | PA      | $888583.45     | 0.00%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 09/01/2053#CB7123                                                                                                   | CUSIP: 3140QS4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1325645 | PA      | $1371419.24    | 0.00%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| IRB INFRASTRUCTURE DEVELOPERS LTD                                                                           | IRB INFRASTRUCTURE DEVELOP LTD 7.11% 03/11/2032 REGS                                                                             | CUSIP: N/A<br>LEI: 335800XGO3AITGW6AK27       | Long             | DBT              | CORP              | IN        |      900000 | PA      | $926718.75     | 0.00%             | 2032-03-11      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 11/01/2053#FS6498                                                                                                   | CUSIP: 3140XNGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4404964 | PA      | $4544347.23    | 0.01%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 02/01/2054#RJ0836                                                                                                 | CUSIP: 3142GQ4W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      521388 | PA      | $530774.35     | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                                                          | CLEAR CHANNEL OUTDOOR HOLDINGS INC 7.875% 04/01/2030 144A                                                                        | CUSIP: 18453HAF3<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105360.30     | 0.00%             | 2030-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DK TR 2024-SPBX                                                                                             | DK TR 2024-SPBX TSFR1M+400 03/15/2034 144A                                                                                       | CUSIP: 23346LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      559000 | PA      | $559895.85     | 0.00%             | 2034-03-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-CP1                                                                                    | NYMT LOAN TRUST 2024-CP1 3.75% 02/25/2068 144A                                                                                   | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1237330 | PA      | $1179223.47    | 0.00%             | 2068-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTG LN TR 2006-16AX                                                                          | MORGAN STANLEY MTG 2006-16AX 2A3 STEP 11/25/2036                                                                                 | CUSIP: 617487AD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       40331 | PA      | $10766.03      | 0.00%             | 2036-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BEAR STRNS ASSET BACKED SECS I TR                                                                           | BEAR STRNS ASSET BCKD SEC I TR TSFR1M+46.448 03/25/2036                                                                          | CUSIP: 07387UGB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      123551 | PA      | $30711.65      | 0.00%             | 2036-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                                                                         | JAPAN GOVERNMENT OF 0.2% 03/01/2026                                                                                              | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   378350000 | PA      | $2420442.08    | 0.01%             | 2026-03-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST 2024-1                                                                          | ALLY AUTO RECEIVABLES TRUST 2024-1 5.08% 12/15/2028                                                                              | CUSIP: 02008FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2499556 | PA      | $2515374.30    | 0.01%             | 2028-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TR 2024-PAT                                                                                              | BX TR 2024-PAT A TSFR1M+209 03/15/2026 144A                                                                                      | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $150000.00     | 0.00%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 01/01/2050#FS3728                                                                                                 | CUSIP: 3140XKEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1484266 | PA      | $1414118.45    | 0.00%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 05/01/2051#RA5287                                                                                                   | CUSIP: 3133KL2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      237789 | PA      | $195720.94     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 07/01/2051#CB1110                                                                                                   | CUSIP: 3140QLGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98437 | PA      | $81022.16      | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                                                     | BX COML MTG TR 2024-XL5 C TSFR1M+194.087 03/15/2039 144A                                                                         | CUSIP: 05612GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2539100 | PA      | $2540682.36    | 0.01%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CIFC FDG 14 LTD/FDG 14 LLC                                                                                  | CIFC FDG 14 LTD/FDG 14 LLC BR2 TSFR3M+166.161 01/18/2031 144A                                                                    | CUSIP: 12549JBC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250482.50     | 0.00%             | 2031-01-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL5                                                                                     | BX COML MTG TR 2024-XL5 A TSFR1M+139.165 03/15/2041 144A                                                                         | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14067512 | PA      | $14067507.99   | 0.03%             | 2041-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 02/01/2051#FM6338                                                                                                   | CUSIP: 3140XABG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33505 | PA      | $27598.48      | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2051#FM6560                                                                                                   | CUSIP: 3140XAJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42565 | PA      | $35061.66      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TR 2024-PAT                                                                                              | BX TR 2024-PAT C TSFR1M+443.9 03/15/2026 144A                                                                                    | CUSIP: 05612FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      321000 | PA      | $320998.91     | 0.00%             | 2041-03-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                                                     | BX COML MTG TR 2024-XL5 B TSFR1M+169.12 03/15/2039 144A                                                                          | CUSIP: 05612GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1912396 | PA      | $1912991.19    | 0.00%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TR 2024-PAT                                                                                              | BX TR 2024-PAT D TSFR1M+538.9 03/15/2026 144A                                                                                    | CUSIP: 05612FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      155000 | PA      | $154999.01     | 0.00%             | 2041-03-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 03/01/2054#CB8112                                                                                                   | CUSIP: 3140QUAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1331914 | PA      | $1370100.87    | 0.00%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 03/01/2054#CB8113                                                                                                 | CUSIP: 3140QUAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1191005 | PA      | $1237028.13    | 0.00%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| XEROX HOLDINGS CORP                                                                                         | XEROX HOLDINGS CORP 8.875% 11/30/2029 144A                                                                                       | CUSIP: 98421MAC0<br>LEI: 5493000Y33XDVO2CXC18 | Long             | DBT              | CORP              | US        |      180000 | PA      | $66057.64      | 0.00%             | 2029-11-30      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTG INVS TR 2006-AF2                                                                          | MERRILL LYNCH MTG INVS TR 2006-AF2 AV1 TSFR1M+43.448 09/25/2037                                                                  | CUSIP: 59023NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       26014 | PA      | $13531.40      | 0.00%             | 2037-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                                                        | CLEVELAND-CLIFFS INC 7% 03/15/2032 144A                                                                                          | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      105000 | PA      | $107629.83     | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                                                          | CREDIT AGRICOLE SA FRN SOFR+87 03/11/2027 144A                                                                                   | CUSIP: 22534PAJ2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |      250000 | PA      | $250878.03     | 0.00%             | 2027-03-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| USA COMPRESSION PARTNERS LP / USA COMPRESSION FIN CORP                                                      | USA COMPRESSION PARTNERS LP / USA COMPRESSION FIN CORP 7.125% 03/15/2029 144A                                                    | CUSIP: 91740PAG3<br>LEI: 549300ZWL4J1LYMOWK56 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103946.40     | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROCHE HLDGS INC                                                                                             | ROCHE HLDGS INC 4.79% 03/08/2029 144A                                                                                            | CUSIP: 771196CJ9<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |      250000 | PA      | $256366.03     | 0.00%             | 2029-03-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                                         | AMERICAN TOWER CORP 5.45% 02/15/2034                                                                                             | CUSIP: 03027XCH1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      755000 | PA      | $787119.40     | 0.00%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERATE CLO 7 LTD / GENERATE CLO 7 LLC                                                                     | GENERATE CLO 7 LTD / GENERATE CLO 7 LLC A1R TSFR3M+162 04/22/2037 144A                                                           | CUSIP: 37149LAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250550.25     | 0.00%             | 2037-04-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CORECIVIC INC                                                                                               | CORECIVIC INC 8.25% 04/15/2029                                                                                                   | CUSIP: 21871NAC5<br>LEI: 529900JFA3K6PTLT8B15 | Long             | DBT              | CORP              | US        |      175000 | PA      | $184366.53     | 0.00%             | 2029-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DK TR 2024-SPBX                                                                                             | DK TR 2024-SPBX TSFR1M+150 03/15/2034 144A                                                                                       | CUSIP: 23346LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      197000 | PA      | $197061.35     | 0.00%             | 2034-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CALVERT US SELECT EQUITY ETF                                                                                | Eaton Vance Total Return Bond ETF                                                                                                | CUSIP: 61774R841<br>LEI: 549300FGTYBWACEOIO26 | Long             | EC               | RF                | US        |     3439515 | NS      | $177960506.10  | 0.40%             |  |  |  | No            |                  1 | On Loan: —       |
| ISRAEL, STATE OF                                                                                            | ISRAEL STATE OF 5.5% 03/12/2034                                                                                                  | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      200000 | PA      | $207984.80     | 0.00%             | 2034-03-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC 5.69%/VAR 03/12/2030                                                                                                | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      300000 | PA      | $312512.26     | 0.00%             | 2030-03-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                                                       | ENTERGY LOUISIANA LLC 5.7% 03/15/2054                                                                                            | CUSIP: 29364WBN7<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |      250000 | PA      | $253069.01     | 0.00%             | 2054-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SIGNAL PEAK CLO 5 LTD / SIGNAL PEAK CLO 5 LLC                                                               | SIGNAL PEAK CLO 5 LTD / SIGNAL PEAK CLO 5 LLC A1R TSFR3M+155 04/25/2037 144A                                                     | CUSIP: 82666VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250741.00     | 0.00%             | 2037-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 5.8% 03/08/2029                                                                                         | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1285000 | PA      | $1309919.72    | 0.00%             | 2029-03-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A                                                                         | BANCO BILBAO VIZ ARGENTARIA SA 6.033%/VAR 03/13/2035                                                                             | CUSIP: 05946KAR2<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |      400000 | PA      | $428679.48     | 0.00%             | 2035-03-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG LXVII LTD / MADISON PK FDG LXVII LLC                                                         | MADISON PK FDG LXVII LTD / MADISON PK FDG LXVII LLC B TSFR3M+205 04/25/2037 144A                                                 | CUSIP: 55821YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270782.46     | 0.00%             | 2037-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A                                                                         | BANCO BILBAO VIZ ARGENTARIA SA 5.381% 03/13/2029                                                                                 | CUSIP: 05946KAQ4<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |     1800000 | PA      | $1867136.56    | 0.00%             | 2029-03-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39 LTD                                                                          | OCTAGON INVESTMENT PARTNERS 39 LTD AR TSFR3M+115 10/20/2030 144A                                                                 | CUSIP: 67592CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       38601 | PA      | $38600.62      | 0.00%             | 2030-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MTG TR 2022-2                                                                                | SG RESIDENTIAL MTG TR 2022-2 B1 CSTR 08/25/2062 144A                                                                             | CUSIP: 78434KAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      104000 | PA      | $102366.69     | 0.00%             | 2062-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRET 2024-RPL1 TR                                                                                           | PRET 2024-RPL1 TR 3.9% 10/25/2063 144A                                                                                           | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1651053 | PA      | $1593627.30    | 0.00%             | 2063-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2022-3 LTD                                                                       | PALMER SQUARE LOAN FUNDING 2022-3 LTD A1BR TSFR3M+140 04/15/2031 144A                                                            | CUSIP: 69690CAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250400.00     | 0.00%             | 2031-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                                                                                         | RED ROCK RESORTS TERM B 1LN 03/14/2031                                                                                           | CUSIP: 85769EBB6<br>LEI: 5493004E7Q60TX54WL62 | Long             | LON              | CORP              | US        |       93111 | PA      | $93181.93      | 0.00%             | 2031-03-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DELIVERY HERO FINCO LLC                                                                                     | DELIVERY HERO TERM B 1LN 12/12/2029                                                                                              | CUSIP: N/A<br>LEI: 529900KR9IO53KSCSQ67       | Long             | LON              | CORP              | US        |      409708 | PA      | $410391.72     | 0.00%             | 2029-12-12      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| STUBHUB HOLDCO SUB LLC                                                                                      | STUBHUB TERM B 1LN 3/15/2030                                                                                                     | CUSIP: 74530DAH8<br>LEI: 549300NL9JUFIOARLW93 | Long             | LON              | CORP              | US        |      155366 | PA      | $151385.37     | 0.00%             | 2030-03-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                                                                                      | FEDERAL HOME LOAN BANKS 1.5% 09/30/2033                                                                                          | CUSIP: 3130AK6M3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     2000000 | PA      | $1643110.02    | 0.00%             | 2033-09-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                                          | VICI PROPERTIES LP 5.75% 04/01/2034                                                                                              | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      855000 | PA      | $887319.80     | 0.00%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| 2023-MIC TRUST/THE                                                                                          | THE 2023-MIC TRUST CSTR 12/05/2038 144A                                                                                          | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       82000 | PA      | $88782.47      | 0.00%             | 2038-12-05      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                                                          | ESSEX PORTFOLIO LP 5.5% 04/01/2034                                                                                               | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |      525000 | PA      | $547749.20     | 0.00%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                                                                | CAIXABANK SA 5.673%/VAR 03/15/2030 144A                                                                                          | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |      400000 | PA      | $416515.38     | 0.00%             | 2030-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AMER INC                                                                               | UNITED RENTALS NORTH AMER INC 6.125% 03/15/2034 144A                                                                             | CUSIP: 911365BR4<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     1180000 | PA      | $1232392.00    | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK NEW YORK MELLON CORP                                                                                   | BANK NEW YORK MELLON CORP 4.975%/VAR 03/14/2030                                                                                  | CUSIP: 06406RBV8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |      200000 | PA      | $206225.32     | 0.00%             | 2030-03-14      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2022-3 LTD                                                                       | PALMER SQUARE LOAN FUNDING 2022-3 LTD A2R TSFR3M+160 04/15/2031 144A                                                             | CUSIP: 69690CAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      660000 | PA      | $661668.48     | 0.00%             | 2031-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39 LTD                                                                          | OCTAGON INVESTMENT PARTNERS 39 LTD BR TSFR3M+180 10/20/2030 144A                                                                 | CUSIP: 67592CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      360000 | PA      | $360871.20     | 0.00%             | 2030-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TR 2024-A                                                                          | HYUNDAI AUTO RECEIVABLES TR 2024-A 4.99% 02/15/2029                                                                              | CUSIP: 448973AD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3357000 | PA      | $3383902.66    | 0.01%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                                                     | SMB PRIVATE EDUCATION LOAN TRUST 2024-A A1B SOFR30A+145 03/15/2056 144A                                                          | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10958495 | PA      | $11058722.07   | 0.03%             | 2056-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                                                     | SMB PRIVATE EDUCATION LOAN TRUST 2024-A A1A 5.24% 03/15/2056 144A                                                                | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9571051 | PA      | $9783593.26    | 0.02%             | 2056-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2022-INV1                                                                        | BINOM SECURITIZATION TRUST 2022-INV1 A1 4.441% 08/25/2057 144A                                                                   | CUSIP: 090975AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      714390 | PA      | $706124.46     | 0.00%             | 2057-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTG LN TR 2006-12XS                                                                          | MORGAN STANLEY MTG 2006-12XS A4 STEP 10/25/2036                                                                                  | CUSIP: 61749EAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       74674 | PA      | $16656.87      | 0.00%             | 2036-10-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 22 LTD / AIMCO CLO 22 LLC                                                                         | AIMCO CLO 22 LTD / AIMCO CLO 22 LLC A TSFR3M+150 04/19/2037 144A                                                                 | CUSIP: 00901UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     1080000 | PA      | $1082555.28    | 0.00%             | 2037-04-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CSMC SER 2015-6R                                                                                            | CSMC SER 2015-6R TSFR1M+29.448 03/27/2036 144A                                                                                   | CUSIP: 12650EBQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       56192 | PA      | $48401.64      | 0.00%             | 2036-03-27      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO 2018-3 LTD / BLUEMOUNTAIN CLO 2018-3 LLC                                                   | BLUEMOUNTAIN CLO 2018-3 LTD / BLUEMOUNTAIN CLO 2018-3 LLC BR TSFR3M+185 10/25/2030 144A                                          | CUSIP: 09630AAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      410000 | PA      | $412043.85     | 0.00%             | 2030-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                                                     | SMB PRIVATE EDUCATION LOAN TRUST 2024-A 5.88% 03/15/2056 144A                                                                    | CUSIP: 831943AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      156000 | PA      | $161067.63     | 0.00%             | 2056-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-C35                                                                            | WELLS FARGO COML MTG TR 2016-C35 TSFR1M+116.448 07/15/2048 144A                                                                  | CUSIP: 95000FBA3<br>LEI: 549300MZIB10PDVAE312 | Long             | ABS-MBS          | CORP              | US        |     1900000 | PA      | $1900671.46    | 0.00%             | 2048-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORP                                                                               | NEW SOUTH WALES TREASURY CORP 4.75% 02/20/2037 REGS                                                                              | CUSIP: N/A<br>LEI: TC7LRO17HPNPLTAV0H77       | Long             | DBT              | NUSS              | AU        |     7055000 | PA      | $4406971.49    | 0.01%             | 2037-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECS CORP MTG LN TR 2007- GEL2                                                             | STRUCTURED AS SECS CORP 7-GEL2 STEP 05/25/2037 144A                                                                              | CUSIP: 86363MAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       84502 | PA      | $71081.90      | 0.00%             | 2037-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SOFI PERS LN TR 2024-1                                                                                      | SOFI PERS LN TR 2024-1A A 6.06% 02/12/2031 144A                                                                                  | CUSIP: 83407RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      132984 | PA      | $133829.12     | 0.00%             | 2031-02-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                                                  | HUMANA INC 5.375% 04/15/2031                                                                                                     | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      200000 | PA      | $206921.40     | 0.00%             | 2031-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                                                                                          | POLAND REPUBLIC OF 5.5% 03/18/2054                                                                                               | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      370000 | PA      | $360472.50     | 0.00%             | 2054-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                                                                                          | POLAND REPUBLIC OF 5.125% 09/18/2034                                                                                             | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      200000 | PA      | $205650.00     | 0.00%             | 2034-09-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                                                | ING GROEP NV 5.335%/VAR 03/19/2030                                                                                               | CUSIP: 456837BL6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $207129.31     | 0.00%             | 2030-03-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                                                          | BANCO SANTANDER SA 5.538%/VAR 03/14/2030                                                                                         | CUSIP: 05964HBB0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     2000000 | PA      | $2072817.62    | 0.00%             | 2030-03-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                                                          | BANCO SANTANDER SA 5.552%/VAR 03/14/2028                                                                                         | CUSIP: 05964HBA2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     8400000 | PA      | $8547085.34    | 0.02%             | 2028-03-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SOFI PERS LN TR 2024-1                                                                                      | SOFI PERS LN TR 2024-1A R1 0% 02/12/2031 144A                                                                                    | CUSIP: 83407R105<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       10000 | PA      | $296603.31     | 0.00%             | 2031-02-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 11/01/2053#SD4977                                                                                                   | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6079416 | PA      | $6095005.80    | 0.01%             | 2053-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INVESCO US CLO 2024-1 LTD                                                                                   | INVESCO US CLO 2024-1 LTD AR TSFR3M+155 04/15/2037 144A                                                                          | CUSIP: 46148JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4340000 | PA      | $4347846.72    | 0.01%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DRYDEN 54 SR LN FD / DRYDEN 54 SR LN FD LLC                                                                 | DRYDEN 54 SR LN FD / DRYDEN 54 SR LN FD LLC AR TSFR3M+115 10/19/2029 144A                                                        | CUSIP: 26244RAF8<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |       43111 | PA      | $43116.77      | 0.00%             | 2029-10-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                                                      | MOTOROLA SOLUTIONS INC 5.4% 04/15/2034                                                                                           | CUSIP: 620076BZ1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     1875000 | PA      | $1939777.78    | 0.00%             | 2034-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SG COML MTG SECS TR 2019-PRES                                                                               | SG COML MTG SECS TR 2019-PREZ E CSTR 09/15/2039 144A                                                                             | CUSIP: 78430EAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       72000 | PA      | $61490.01      | 0.00%             | 2039-09-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                                                     | AEP TRANSMISSION CO LLC 5.15% 04/01/2034                                                                                         | CUSIP: 00115AAR0<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2054299.40    | 0.00%             | 2034-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                                                                   | L3HARRIS TECHNOLOGIES INC 5.35% 06/01/2034                                                                                       | CUSIP: 502431AU3<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |      137000 | PA      | $142588.59     | 0.00%             | 2034-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 06/01/2052#FS6943                                                                                                   | CUSIP: 3140XNWD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      636013 | PA      | $565222.19     | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| M and T BANK CORP                                                                                           | M and T BANK CORP 6.082%/VAR 03/13/2032                                                                                          | CUSIP: 55261FAT1<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |      712000 | PA      | $757588.70     | 0.00%             | 2032-03-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2007-OC2 TRUST                            | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2007-OC2 TRUST STEP 06/25/2037                                 | CUSIP: 93936LAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       32558 | PA      | $31123.19      | 0.00%             | 2037-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 06/01/2052#RA7575                                                                                                   | CUSIP: 3133KPMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1345352 | PA      | $1364777.85    | 0.00%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BREX COMMERCIAL CHARGE CARD MASTER TRUST                                                                    | BREX COMMERCIAL CHARGE CARD MASTER TRUST 6.05% 07/15/2027 144A                                                                   | CUSIP: 05601DAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      134000 | PA      | $134544.72     | 0.00%             | 2027-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FD TR 2022-1                                                                         | HOMEWARD OPPORTUNITIES FD TR 2022-1 CSTR 07/25/2067 144A                                                                         | CUSIP: 43789KAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $195412.98     | 0.00%             | 2067-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                                                                        | DUKE ENERGY OHIO INC 5.55% 03/15/2054                                                                                            | CUSIP: 26442EAL4<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      172000 | PA      | $171981.54     | 0.00%             | 2054-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST INC                                                                                 | STARWOOD PPTY TR INC 7.25% 04/01/2029 144A                                                                                       | CUSIP: 85571BBB0<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |      435000 | PA      | $461008.65     | 0.00%             | 2029-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                                                                   | BANK IRELAND GROUP PLC 5.601%/VAR 03/20/2030 144A                                                                                | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |      665000 | PA      | $692544.45     | 0.00%             | 2030-03-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM1                                                                                              | PRPM 2024-NQM1 6.265% 12/25/2068 144A                                                                                            | CUSIP: 693977AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      330885 | PA      | $334712.31     | 0.00%             | 2068-12-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MTG TR 2022-3                                                                         | DEEPHAVEN RESIDENTIAL MTG TR 2022-3 CSTR 07/25/2067 144A                                                                         | CUSIP: 24381YAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $199305.22     | 0.00%             | 2067-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-2                                                                           | VERUS SECURITIZATION TRUST 2023-2 VAR 03/25/2068 144A                                                                            | CUSIP: 92539DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      253443 | PA      | $253398.97     | 0.00%             | 2068-03-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                                                             | NORDEA BANK ABP FRN SOFR+74 03/19/2027 144A                                                                                      | CUSIP: 65558RAF6<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |      200000 | PA      | $200943.28     | 0.00%             | 2027-03-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                                                | BX 2024-CNYN TSFR1M+144.188 04/15/2029 144A                                                                                      | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7488333 | PA      | $7488333.32    | 0.02%             | 2041-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                                                | BX 2024-CNYN TSFR1M+194.116 04/15/2041 144A                                                                                      | CUSIP: 05612HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      973635 | PA      | $974241.66     | 0.00%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                                                | BX 2024-CNYN B TSFR1M+169.152 04/15/2029 144A                                                                                    | CUSIP: 05612HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1172689 | PA      | $1173054.21    | 0.00%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                                                | BX 2024-CNYN E TSFR1M+368.86 04/05/2029 144A                                                                                     | CUSIP: 05612HAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      106018 | PA      | $105495.83     | 0.00%             | 2041-04-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                                               | TRANSDIGM TERM I 1LN 08/24/2028                                                                                                  | CUSIP: 89364MCC6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |       73153 | PA      | $73225.00      | 0.00%             | 2028-08-24      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HEATHROW FINANCE PLC                                                                                        | HEATHROW FINANCE PLC 6.625% 03/01/2031 REGS                                                                                      | CUSIP: N/A<br>LEI: 549300F740QSGMPHQJ60       | Long             | DBT              | CORP              | GB        |      282000 | PA      | $374460.86     | 0.00%             | 2031-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB2 TRUST                                                                                         | OBX 2024-HYB2 TRUST VAR 04/25/2053 144A                                                                                          | CUSIP: 67118RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      359104 | PA      | $356606.22     | 0.00%             | 2053-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SMITH and NEPHEW PLC                                                                                        | SMITH and NEPHEW PLC 5.15% 03/20/2027                                                                                            | CUSIP: 83192PAC2<br>LEI: 213800ZTMDN8S67S1H61 | Long             | DBT              | CORP              | GB        |      250000 | PA      | $252794.02     | 0.00%             | 2027-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                                                         | COMMONSPIRIT HEALTH 5.205% 12/01/2031                                                                                            | CUSIP: 20268JAR4<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     9840000 | PA      | $10216758.15   | 0.02%             | 2031-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VITAL ENERGY INC                                                                                            | VITAL ENERGY INC 7.875% 04/15/2032 144A                                                                                          | CUSIP: 516806AK2<br>LEI: 549300X0PTWU2QSLSL14 | Long             | DBT              | CORP              | US        |      435000 | PA      | $421564.11     | 0.00%             | 2032-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 43 LTD                                                                                         | SYMPHONY CLO 43 LTD A1 TSFR3M+152 04/15/2037 144A                                                                                | CUSIP: 87170BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4315000 | PA      | $4326102.50    | 0.01%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-1                                                                               | CHASE AUTO OWNER TRUST 2024-1 5.13% 05/25/2029 144A                                                                              | CUSIP: 16144BAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2635829 | PA      | $2659485.14    | 0.01%             | 2029-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2016-1                                                                                       | TOWD PT MTG TR 2016-1 VAR 02/25/2055 144A                                                                                        | CUSIP: 89172EAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $488709.15     | 0.00%             | 2055-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                                                     | HYUNDAI CAP AMER FRN SOFR+104 03/19/2027 144A                                                                                    | CUSIP: 44891ACZ8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      250000 | PA      | $250891.71     | 0.00%             | 2027-03-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 3.79%/VAR 03/21/2030                                                                                              | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |      100000 | PA      | $119272.85     | 0.00%             | 2030-03-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 3.955%/VAR 03/21/2035                                                                                             | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |      300000 | PA      | $357259.68     | 0.00%             | 2035-03-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                                                | BX 2024-CNYN TSFR1M+269.009 04/15/2029 144A                                                                                      | CUSIP: 05612HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1083980 | PA      | $1085331.79    | 0.00%             | 2041-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST 2024-RTL5                                                           | SALUDA GRADE ALTERNATIVE MORTGAGE TRUST 2024-RTL5 STEP 04/25/2030 144A                                                           | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      233000 | PA      | $235144.86     | 0.00%             | 2030-04-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GAM RE-REMIC TRUST 2021-FRR1                                                                                | GAM RE-REMIC TRUST 2021-FRR1 2B 0% 11/29/2050 144A                                                                               | CUSIP: 364614AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3400000 | PA      | $3015532.76    | 0.01%             | 2050-11-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO 2016-3 LTD                                                                                 | BLUEMOUNTAIN CLO 2016-3 LTD A1R2 TSFR3M+120 11/15/2030 144A                                                                      | CUSIP: 09628VAW4<br>LEI: 549300EYIDIF4X8MHI21 | Long             | ABS-CBDO         | CORP              | KY        |      248348 | PA      | $248413.77     | 0.00%             | 2030-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                                                                        | APPALACHIAN POWER CO 5.65% 04/01/2034                                                                                            | CUSIP: 037735DB0<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1053349.43    | 0.00%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE LL                                                                                  | CRESCENT ENERGY FINANCE LLC 7.625% 04/01/2032 144A                                                                               | CUSIP: 45344LAD5<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |      715000 | PA      | $696167.77     | 0.00%             | 2032-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| THE CAMPBELL'S COMPANY                                                                                      | THE CAMPBELL'S COMPANY 5.3% 03/20/2026                                                                                           | CUSIP: 134429BL2<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |      200000 | PA      | $200645.73     | 0.00%             | 2026-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP/MEDLINE CO-ISSUER INC                                                                   | MEDLINE BORROWER LP/MEDLINE CO-ISSUER INC 6.25% 04/01/2029 144A                                                                  | CUSIP: 58506DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      350000 | PA      | $362012.00     | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HINNT 2024-A LLC                                                                                            | HINNT 2024-A LLC 8% 03/15/2043 144A                                                                                              | CUSIP: 40472QAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      806151 | PA      | $792644.17     | 0.00%             | 2043-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MITER BRANDS ACQUISITION HOLDCO INC / MIWD BORROWER LLC                                                     | MITER BRANDS ACQUISITION HOLDCO INC / MIWD BORROWER LLC 6.75% 04/01/2032 144A                                                    | CUSIP: 60672JAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      515000 | PA      | $526099.80     | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2 LLC                                                                                         | VOYA CLO 2019-2 LLC AR TSFR3M+120 07/20/2032 144A                                                                                | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      345854 | PA      | $346136.50     | 0.00%             | 2032-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR1 TR                                                                           | PROGRESS RESIDENTIAL 2022-SFR1 TR 4.88% 02/17/2041 144A                                                                          | CUSIP: 74333YAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4000000 | PA      | $3924015.60    | 0.01%             | 2041-02-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTYS LP and RHP FIN CORP                                                                         | RHP HOTEL PPTYS LP and RHP FIN CORP 6.5% 04/01/2032 144A                                                                         | CUSIP: 749571AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1995000 | PA      | $2067631.97    | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                                              | NRG TERM B 1LN 04/16/2031                                                                                                        | CUSIP: 62937NBC0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | LON              | CORP              | US        |       19949 | PA      | $19974.31      | 0.00%             | 2031-04-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.125% 03/31/2029                                                                                                      | CUSIP: 91282CKG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10900000 | PA      | $11103949.25   | 0.03%             | 2029-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.125% 03/31/2031                                                                                                      | CUSIP: 91282CKF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       46000 | PA      | $47063.75      | 0.00%             | 2031-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AURIUM CLO II DAC                                                                                           | AURIUM CLO II DAC A1RR 3MEUR+93 06/22/2034 144A                                                                                  | CUSIP: N/A<br>LEI: 213800HRTED9UC792482       | Long             | ABS-CBDO         | CORP              | IE        |     1000000 | PA      | $1158051.34    | 0.00%             | 2034-06-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PROGROUP AG                                                                                                 | PROGROUP AG 5.375% 04/15/2031 REGS                                                                                               | CUSIP: N/A<br>LEI: 529900YI5W5TQ8F2FP82       | Long             | DBT              | CORP              | DE        |      311000 | PA      | $365471.57     | 0.00%             | 2031-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                                            | HILTON DOMESTIC OPERATING CO INC 5.875% 04/01/2029 144A                                                                          | CUSIP: 432833AP6<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      345000 | PA      | $353335.89     | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES                                                                                          | LUMEN TECHNOLOGIES 4.125% 04/15/2030 144A                                                                                        | CUSIP: 550241AC7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |      284408 | PA      | $281976.31     | 0.00%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES                                                                                          | LUMEN TECHNOLOGIES 4.125% 04/15/2030 144A                                                                                        | CUSIP: 550241AH6<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |      177467 | PA      | $175949.66     | 0.00%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PANTHER ESCROW ISSUER LLC                                                                                   | PANTHER ESCROW ISSUER LLC 7.125% 06/01/2031 144A                                                                                 | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      290000 | PA      | $299864.82     | 0.00%             | 2031-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DC TRUST 2024-HLTN                                                                                          | DC TRUST 2024-HLTN VAR 04/13/2028 144A                                                                                           | CUSIP: 24022FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88000 | PA      | $87850.67      | 0.00%             | 2040-04-13      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| DC TRUST 2024-HLTN                                                                                          | DC TRUST 2024-HLTN VAR 04/13/2028 144A                                                                                           | CUSIP: 24022FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30000 | PA      | $30395.25      | 0.00%             | 2040-04-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-PLND                                                                    | MORGAN STANLEY CAPITAL I TRUST 2019-PLND A TSFR1M+111.448 05/15/2036 144A                                                        | CUSIP: 61691XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      400000 | PA      | $172000.00     | 0.00%             | 2036-05-15      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                                                       | LEVEL 3 FINANCING INC 4.5% 04/01/2030 144A                                                                                       | CUSIP: 527298CD3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     1725000 | PA      | $1589156.25    | 0.00%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ESAB CORP                                                                                                   | ESAB CORP 6.25% 04/15/2029 144A                                                                                                  | CUSIP: 29605JAA4<br>LEI: 549300ZNV0SWBXEIWT04 | Long             | DBT              | CORP              | US        |      443000 | PA      | $456376.39     | 0.00%             | 2029-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LSEG US FIN CORP                                                                                            | LSEG US FIN CORP 4.875% 03/28/2027 144A                                                                                          | CUSIP: 50222CAA8<br>LEI: 2138007FV67QQ13CGJ43 | Long             | DBT              | CORP              | US        |      300000 | PA      | $303118.50     | 0.00%             | 2027-03-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTERNATIONAL                                                                                   | MGM RESORTS INTERNATIONAL 6.5% 04/15/2032                                                                                        | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |     1860000 | PA      | $1909154.22    | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                                                                            | AMC NETWORKS INC 10.25% 01/15/2029 144A                                                                                          | CUSIP: 00164VAG8<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104909.30     | 0.00%             | 2029-01-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                                                                                                  | PHINIA INC 6.75% 04/15/2029 144A                                                                                                 | CUSIP: 71880KAA9<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |      540000 | PA      | $557278.38     | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 20YR 2% 04/01/2042#SC0481                                                                                                   | CUSIP: 3132D9RA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1049812 | PA      | $926406.10     | 0.00%             | 2042-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 08/01/2053#SD8348                                                                                                   | CUSIP: 3132DWHZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9056054 | PA      | $9079277.04    | 0.02%             | 2053-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H2 MORTGAGE TRUST                                                                                | CROSS 2024-H2 MORTGAGE TRUST 6.093% 04/25/2069 144A                                                                              | CUSIP: 22757BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      640270 | PA      | $647088.28     | 0.00%             | 2069-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP INC                                                                                 | SAMMONS FINANCIAL GROUP INC 6.875% 04/15/2034 144A                                                                               | CUSIP: 79588TAF7<br>LEI: 254900SHCOQLVJ21CT59 | Long             | DBT              | CORP              | US        |     5700000 | PA      | $6313620.96    | 0.01%             | 2034-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO L P / PTL FIN CORP                                                                  | PENSKE TRUCK LEASING CO LP /CORP 5.35% 03/30/2029 144A                                                                           | CUSIP: 709599BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      300000 | PA      | $309669.06     | 0.00%             | 2029-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KOREA NATL OIL CORP                                                                                         | KOREA NATL OIL CORP 4.875% 04/03/2029 144A                                                                                       | CUSIP: 50065LAH3<br>LEI: 988400ZTQ08W926ONT36 | Long             | DBT              | CORP              | KR        |      300000 | PA      | $307471.25     | 0.00%             | 2029-04-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRISE GROUP INC                                                                         | PUBLIC SVC ENTERPRISE GRP INC 5.2% 04/01/2029                                                                                    | CUSIP: 744573AY2<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |      300000 | PA      | $309222.70     | 0.00%             | 2029-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES COMPANY                                                                                   | MATADOR RES CO 6.5% 04/15/2032 144A                                                                                              | CUSIP: 576485AG1<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |      900000 | PA      | $914014.80     | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                                                            | GGAM FINANCE LTD 6.875% 04/15/2029 144A                                                                                          | CUSIP: 36170JAD8<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |      145000 | PA      | $150456.35     | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I PLC                                                                                  | VMED O2 UK FINANCING I PLC 7.75% 04/15/2032 144A                                                                                 | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $208604.20     | 0.00%             | 2032-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 03/01/2054#MA5296                                                                                                 | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15554089 | PA      | $15785510.11   | 0.04%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 04/01/2054#CB8330                                                                                                 | CUSIP: 3140QUHG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5655594 | PA      | $5752112.42    | 0.01%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALGONQUIN PWR and UTILS CORP                                                                                | ALGONQUIN PWR and UTILS CORP STEP 06/15/2026                                                                                     | CUSIP: 015857AF2<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |     3670000 | PA      | $3688446.08    | 0.01%             | 2026-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GLENCORE FDG LLC                                                                                            | GLENCORE FDG LLC 5.634% 04/04/2034 144A                                                                                          | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     2325000 | PA      | $2439398.11    | 0.01%             | 2034-04-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2024-VIS1                                                                   | JP MORGAN MORTGAGE TRUST SERIES 2024-VIS1 5.99% 09/01/2054 144A                                                                  | CUSIP: 465970AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      768256 | PA      | $776158.90     | 0.00%             | 2064-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENESEE and WYOMING INC                                                                                     | GENESEE and WYOMING TERM B 1LN 04/10/2031                                                                                        | CUSIP: 37156QAZ9<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |      242550 | PA      | $242120.69     | 0.00%             | 2031-04-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS TRUST 2024-A                                                                      | COLLEGE AVE STUDENT LOANS TRUST 2024-A SOFR30A+175 06/25/2054 144A                                                               | CUSIP: 19424RAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      320381 | PA      | $324998.95     | 0.00%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES                                                                                          | LUMEN TECHNOLOGIES TERM B1 1LN 4/16/2029                                                                                         | CUSIP: 55024EAF2<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |     1591865 | PA      | $1581327.05    | 0.00%             | 2029-04-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2024-2                                                                      | CITIZENS AUTO RECEIVABLES TRUST 2024-2 5.33% 08/15/2028 144A                                                                     | CUSIP: 17331XAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2330034 | PA      | $2345966.61    | 0.01%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 12/01/2050#FM5179                                                                                                   | CUSIP: 3140X8XH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1834637 | PA      | $1516373.74    | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                                                                             | CSL FINANCE PLC 5.106% 04/03/2034 144A                                                                                           | CUSIP: 12661PAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |      640000 | PA      | $660304.99     | 0.00%             | 2034-04-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I PLC                                                                                  | VMED O2 UK FINANCING I PLC 5.625% 04/15/2032 REGS                                                                                | CUSIP: N/A<br>LEI: 213800MRR46ECNGZ7L69       | Long             | DBT              | CORP              | GB        |      257000 | PA      | $301880.10     | 0.00%             | 2032-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 08/01/2050#SI2064                                                                                                   | CUSIP: 3133USJH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1836656 | PA      | $1658056.31    | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHL MTG PASS-THROUGH TR 2006-17                                                                             | CHL MTG PASS-THROUGH TR 2006-17 A6 6% 12/25/2036                                                                                 | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       14022 | PA      | $5933.55       | 0.00%             | 2036-12-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                                                                                 | VISTRA CORP 8.875%/VAR PERP 144A                                                                                                 | CUSIP: 92840MAD4<br>LEI: 549300KP43CPCUJOOG15 | Long             | EP               | CORP              | US        |     1775000 | PA      | $1972804.23    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2024-SFR2 TRUST                                                                        | PROGRESS RESIDENTIAL 2024-SFR2 E1 TRUST CSTR VAR 04/17/2041 144A                                                                 | CUSIP: 74290XAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $93960.68      | 0.00%             | 2041-04-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO 2018-3 LTD / BLUEMOUNTAIN CLO 2018-3 LLC                                                   | BLUEMOUNTAIN CLO 2018-3 LTD / BLUEMOUNTAIN CLO 2018-3 LLC A1R TSFR3M+119 10/25/2030 144A                                         | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       85837 | PA      | $85992.61      | 0.00%             | 2030-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN FUJI EUR CLO V DAC                                                                             | BLUEMOUNTAIN FUJI EUR CLO V DAC A 3MEUR+91 01/15/2033 144A                                                                       | CUSIP: N/A<br>LEI: 635400IYPG2G6NM3OV52       | Long             | ABS-CBDO         | CORP              | IE        |      804069 | PA      | $933016.08     | 0.00%             | 2033-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO II LTD / CAP FOUR US CLO II LLC                                                         | CAPITAL FOUR US CLO II LTD / CAP FOUR US CLO II LLC AR TSFR3M+190 01/20/2037 144A                                                | CUSIP: 14016CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250175.00     | 0.00%             | 2037-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                                                    | GENERAL MTRS FINL CO INC 5.95% 04/04/2034                                                                                        | CUSIP: 37045XEV4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      275000 | PA      | $289459.12     | 0.00%             | 2034-04-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                                                          | CANADIAN IMPERIAL BK OF COMM 5.26% 04/08/2029                                                                                    | CUSIP: 13608JAA5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |      110000 | PA      | $114097.66     | 0.00%             | 2029-04-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2024-1 LTD                                                                                         | VOYA CLO 2024-1 LTD A1 TSFR3M+152 04/15/2037 144A                                                                                | CUSIP: 92920DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4109000 | PA      | $4121639.28    | 0.01%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RAKUTEN GROUP INC                                                                                           | RAKUTEN GROUP INC 9.75% 04/15/2029 REGS                                                                                          | CUSIP: N/A<br>LEI: 529900IMXUCQKUL1H943       | Long             | DBT              | CORP              | JP        |      900000 | PA      | $1000072.34    | 0.00%             | 2029-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF COLORADO                                                                               | PUBLIC SERVICE CO OF COLORADO 5.35% 05/15/2034                                                                                   | CUSIP: 744448CZ2<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |     3825000 | PA      | $3967431.49    | 0.01%             | 2034-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                                                                                    | TOTALENERGIES CAPITAL SA 5.638% 04/05/2064                                                                                       | CUSIP: 89157XAC5<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |     1020000 | PA      | $1015465.10    | 0.00%             | 2064-04-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                                                                                    | TOTALENERGIES CAPITAL SA 5.488% 04/05/2054                                                                                       | CUSIP: 89157XAB7<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |      450000 | PA      | $444150.90     | 0.00%             | 2054-04-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANSN and INFRASTRUCTURE INVS LLC                                                                 | FORTRESS TRANSN and INFRASTRUCTURE INVS LLC 7% 05/01/2031 144A                                                                   | CUSIP: 34960PAF8<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104755.00     | 0.00%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                                                | ENBRIDGE INC 5.3% 04/05/2029                                                                                                     | CUSIP: 29250NCB9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |      800000 | PA      | $825793.02     | 0.00%             | 2029-04-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV                                                                                               | CSMC 2021-ADV A TSFR1M+151.448 07/15/2038 144A                                                                                   | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $456856.70     | 0.00%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COM MTG TR 2021                                                                               | CREDIT SUISSE COM MTG TR 2021-SOP2 A STEP 06/15/2034 144A                                                                        | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       97725 | PA      | $95477.81      | 0.00%             | 2034-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MADISON PARK EURO FUNDING XIV DAC                                                                           | MADISON PARK EURO FUNDING XIV DAC A1R 3MEUR+80 07/15/2032 144A                                                                   | CUSIP: N/A<br>LEI: 635400XLHN7OVUSEV112       | Long             | ABS-CBDO         | CORP              | IE        |     6931128 | PA      | $8015591.43    | 0.02%             | 2032-07-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NATIONAL MORTGAGE 24-H04 FA SOFR30A+ 02/20/2074                                                                       | CUSIP: 38383KQT2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      274771 | PA      | $275027.38     | 0.00%             | 2074-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GENESEE and WYOMING INC                                                                                     | GENESEE and WYOMING INC 6.25% 04/15/2032 144A                                                                                    | CUSIP: 371559AB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | DBT              | CORP              | US        |      560000 | PA      | $575832.88     | 0.00%             | 2032-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                                              | BRANDYWINE OPER PARTNERSHIP LP 8.875% 04/12/2029                                                                                 | CUSIP: 105340AS2<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |     4381000 | PA      | $4744973.48    | 0.01%             | 2029-04-12      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MODENA BUYER LLC                                                                                            | EUC TERM 1LN 07/01/2031                                                                                                          | CUSIP: 60753DAC8<br>LEI: 254900B0G2IU0VBDOY26 | Long             | LON              | CORP              | US        |       74134 | PA      | $72570.23      | 0.00%             | 2031-07-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA COS GLOBAL FUNDING                                                                          | MUTUAL OF OMAHA COS GLOBAL FUNDING 5.35% 04/09/2027 144A                                                                         | CUSIP: 62829D2D1<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |     3250000 | PA      | $3300232.75    | 0.01%             | 2027-04-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 04/01/2054#CB8339                                                                                                   | CUSIP: 3140QUHR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      294857 | PA      | $304738.92     | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                                                                   | CHESAPEAKE FUNDING II LLC 5.52% 05/15/2036 144A                                                                                  | CUSIP: 165183DE1<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |     1719506 | PA      | $1737859.86    | 0.00%             | 2036-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                                            | WHEELS FLEET LEASE FUNDING 1 LLC 24-1A A1 5.49% 02/18/2039 144A                                                                  | CUSIP: 96328GBM8<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     2190566 | PA      | $2215196.58    | 0.01%             | 2039-02-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HTL COMMERCIAL MORTGAGE TRUST 2024-T53                                                                      | HTL COMMERCIAL MORTGAGE TRUST 2024-T53 VAR 05/10/2039 144A                                                                       | CUSIP: 404300AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2073000 | PA      | $2142347.86    | 0.00%             | 2039-05-10      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST 2024-2R                                                                      | PMT CREDIT RISK TRANSFER TRUST 2024-2R SOFR30A+335 03/29/2027 144A                                                               | CUSIP: 69391NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4689971 | PA      | $4735835.42    | 0.01%             | 2027-03-29      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| HTL COMMERCIAL MORTGAGE TRUST 2024-T53                                                                      | HTL COMMERCIAL MORTGAGE TRUST 2024-T53 A VAR 05/10/2039 144A                                                                     | CUSIP: 404300AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $101187.14     | 0.00%             | 2039-05-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CLOVER CLO 2018-1 LLC                                                                                       | CLOVER CLO 2018-1 LLC A1RR TSFR3M+153 04/20/2037 144A                                                                            | CUSIP: 18914GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      350000 | PA      | $351025.85     | 0.00%             | 2037-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                                                                                          | REGAL REXNORD CORP 6.4% 04/15/2033                                                                                               | CUSIP: 758750AP8<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |       49000 | PA      | $52839.44      | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                                                                              | COMMERZBANK AG 4.875%/VAR 10/16/2034 REGS                                                                                        | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $121523.52     | 0.00%             | 2034-10-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| 280 PK AVE 2017-280P MTG TR                                                                                 | 280 PK AVE 2017-280P E MTG TR STEP 09/15/2034 144A                                                                               | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      154796 | PA      | $151804.69     | 0.00%             | 2034-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NUVEEN LLC                                                                                                  | NUVEEN LLC 5.55% 01/15/2030 144A                                                                                                 | CUSIP: 67080LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $209053.08     | 0.00%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 21 LTD / AIMCO CLO 21 LLC                                                                         | AIMCO CLO 21 LTD / AIMCO CLO 21 LLC A1 TSFR3M+150 04/18/2037 144A                                                                | CUSIP: 00901WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     4144000 | PA      | $4153763.26    | 0.01%             | 2037-04-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENDO FINANCE HOLDINGS INC                                                                                   | ENDO FINANCE HOLDINGS INC 8.5% 04/15/2031 144A                                                                                   | CUSIP: 29281RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $104027.60     | 0.00%             | 2031-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CD and R FIREFLY BIDCO LTD                                                                                  | CD and R FIREFLY BIDCO LTD 8.625% 04/30/2029 REGS                                                                                | CUSIP: N/A<br>LEI: 213800OAU5VX61DYZ558       | Long             | DBT              | CORP              | GB        |      282000 | PA      | $390621.22     | 0.00%             | 2029-04-30      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                                               | BAT INTL FINANCE PLC 4.125% 04/12/2032 REGS                                                                                      | CUSIP: N/A<br>LEI: 21380041YBGOQDFAC823       | Long             | DBT              | CORP              | GB        |      825000 | PA      | $987811.23     | 0.00%             | 2032-04-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                                                      | DIAMONDBACK ENERGY INC 5.15% 01/30/2030                                                                                          | CUSIP: 25278XAY5<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      334000 | PA      | $343722.51     | 0.00%             | 2030-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                                                      | DIAMONDBACK ENERGY INC 5.4% 04/18/2034                                                                                           | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     1825000 | PA      | $1875851.93    | 0.00%             | 2034-04-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                                                      | DIAMONDBACK ENERGY INC 5.9% 04/18/2064                                                                                           | CUSIP: 25278XBB4<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      410000 | PA      | $395737.52     | 0.00%             | 2064-04-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ADVANTAGE SALES and MARKETING INC DEL                                                                       | ADVANTAGE SALES and MARKETING TERM B 1LN 10/28/2027                                                                              | CUSIP: 00769EBA7<br>LEI: 549300T4O24KQDED1182 | Long             | LON              | CORP              | US        |      213574 | PA      | $183472.89     | 0.00%             | 2027-10-28      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 10/01/2052#BW7443                                                                                                 | CUSIP: 3140N0HV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2942785 | PA      | $2897640.22    | 0.01%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 09/01/2053#DA1025                                                                                                   | CUSIP: 3140A1D79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98523 | PA      | $101174.02     | 0.00%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 02/01/2054#SD8402                                                                                                   | CUSIP: 3132DWKP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      343533 | PA      | $351894.94     | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                                                    | VISTRA OPERATIONS CO LLC 6% 04/15/2034 144A                                                                                      | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     3939000 | PA      | $4157673.59    | 0.01%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-4                                                                             | ANGEL OAK MORTGAGE TRUST 2024-4 6.197% 01/25/2069 144A                                                                           | CUSIP: 034943AA8<br>LEI: 25490046TFINGL6XED11 | Long             | ABS-CBDO         | CORP              | US        |      330575 | PA      | $335065.82     | 0.00%             | 2069-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX CORP                                                                                              | TD SYNNEX CORP 6.1% 04/12/2034                                                                                                   | CUSIP: 87162WAL4<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |      300000 | PA      | $318670.46     | 0.00%             | 2034-04-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                                                        | DUKE ENERGY CORP NEW 3.75% 04/01/2031                                                                                            | CUSIP: 26441CCD5<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      300000 | PA      | $354550.72     | 0.00%             | 2031-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BUSINESS JET SECS 2024-1 LLC                                                                                | BUSINESS JET SECS 2024-1 LLC 9.132% 05/15/2039 144A                                                                              | CUSIP: 12327CAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1292970 | PA      | $1330437.51    | 0.00%             | 2039-05-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 10/01/2052#CB5580                                                                                                 | CUSIP: 3140QRFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4403256 | PA      | $4335705.24    | 0.01%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REGATTA IX FUNDING LTD                                                                                      | REGATTA IX FUNDING LTD B1R TSFR3M+200 04/17/2037 144A                                                                            | CUSIP: 75887VAN1<br>LEI: 254900JVS76S6N8G1I74 | Long             | ABS-CBDO         | CORP              | KY        |     1250000 | PA      | $1253338.75    | 0.00%             | 2037-04-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/01/2052#FS7496                                                                                                 | CUSIP: 3140XPKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      547484 | PA      | $474336.04     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 04/01/2052#SD5251                                                                                                 | CUSIP: 3132DSZQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      448416 | PA      | $388504.19     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| QUEBEC PROVINCE CDA                                                                                         | QUEBEC PROVINCE CDA 4.45% 09/01/2034                                                                                             | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    14000000 | PA      | $10701870.69   | 0.02%             | 2034-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                                                                          | RWE FINANCE US LLC 5.875% 04/16/2034 144A                                                                                        | CUSIP: 749983AA0<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |      881000 | PA      | $929581.49     | 0.00%             | 2034-04-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INTERNATIONAL LTD                                                                                | TRANSOCEAN INTERNATIONAL LTD 8.25% 05/15/2029 144A                                                                               | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |      705000 | PA      | $717137.99     | 0.00%             | 2029-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| NEW IMMO HOLDING SA                                                                                         | NEW IMMO HLD SA 5.875% 04/17/2028 REGS                                                                                           | CUSIP: N/A<br>LEI: 5493007LOTJ0I8E94R81       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $119908.27     | 0.00%             | 2028-04-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2024-RP2                                                                                | CITIGROUP MORTGAGE LOAN TRUST 2024-RP2 VAR 02/25/2063 144A                                                                       | CUSIP: 173106AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      398943 | PA      | $342209.75     | 0.00%             | 2063-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2024-RP2                                                                                | CITIGROUP MORTGAGE LOAN TRUST 2024-RP2 SA VAR 02/25/2063 144A                                                                    | CUSIP: 173106AK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        8501 | PA      | $8245.53       | 0.00%             | 2063-02-25      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| CITIGROUP MTG LN TR 2024-RP2                                                                                | CITIGROUP MTG LN TR 2024-RP2 M2 CSTR 02/25/2063 144A                                                                             | CUSIP: 173106AD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      304204 | PA      | $248990.03     | 0.00%             | 2063-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2024-RP2                                                                                | CITIGROUP MTG LN TR 2024-RP2 VAR 02/25/2063 144A                                                                                 | CUSIP: 173106AG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      164547 | PA      | $22046.96      | 0.00%             | 2063-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2024-RP2                                                                                | CITIGROUP MTG LN TR 2024-RP2 VAR 02/25/2063 144A                                                                                 | CUSIP: 173106AF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       64822 | PA      | $48273.03      | 0.00%             | 2063-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2024-RP2                                                                                | CITIGROUP MTG LN TR 2024-RP2 4.1% 02/25/2063 144A                                                                                | CUSIP: 173106AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6733162 | PA      | $6499908.23    | 0.01%             | 2063-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2024-RP2                                                                                | CITIGROUP MTG LN TR 2024-RP2 VAR 02/25/2063 144A                                                                                 | CUSIP: 173106AH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      298036 | PA      | $26671.82      | 0.00%             | 2063-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2024-RP2                                                                                | CITIGROUP MORTGAGE LOAN TRUST 2024-RP2 VAR 02/25/2063 144A                                                                       | CUSIP: 173106AE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      179547 | PA      | $140937.68     | 0.00%             | 2063-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2024-RP2                                                                                | CITIGROUP MTG LN TR 2024-RP2 X VAR 02/25/2063 144A                                                                               | CUSIP: 173106AJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8736709 | PA      | $5242.03       | 0.00%             | 2063-02-25      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| CITIGROUP MTG LN TR 2024-RP2                                                                                | CITIGROUP MTG LN TR 2024-RP2 4.17631% 02/25/2063 144A                                                                            | CUSIP: 173106AB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      593449 | PA      | $533064.14     | 0.00%             | 2063-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2024-2                                                                                 | CARMAX AUTO OWNER TR 2024-2 5.65% 05/17/2027                                                                                     | CUSIP: 14319EAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       91273 | PA      | $91346.20      | 0.00%             | 2027-05-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2024-2                                                                                 | CARMAX AUTO OWNER TR 2024-2 5.5% 01/16/2029                                                                                      | CUSIP: 14319EAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2253000 | PA      | $2280045.01    | 0.01%             | 2029-01-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XXXVII LLC                                                                                   | MADISON PK FDG XXXVII LLC AR2 TSFR3M+153 04/15/2037 144A                                                                         | CUSIP: 55817EAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5600000 | PA      | $5613008.80    | 0.01%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC                                                            | TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 2024-GR6A A1 STEP 07/20/2053 144A                                               | CUSIP: N/A<br>LEI: 635400ZB5U3EBVBSFK52       | Long             | ABS-CBDO         | CORP              | GB        |      336062 | PA      | $445099.81     | 0.00%             | 2053-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 5.571%/VAR 04/22/2028                                                                                      | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2310000 | PA      | $2356075.49    | 0.01%             | 2028-04-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO FRN SOFR+92 04/22/2028                                                                                     | CUSIP: 46647PEF9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      500000 | PA      | $503256.88     | 0.00%             | 2028-04-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 5.581%/VAR 04/22/2030                                                                                      | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      300000 | PA      | $313963.97     | 0.00%             | 2030-04-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 5.766%/VAR 04/22/2035                                                                                      | CUSIP: 46647PEH5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     4735000 | PA      | $5097598.30    | 0.01%             | 2035-04-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 5.707%/VAR 04/22/2028                                                                                     | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     6482000 | PA      | $6619988.69    | 0.01%             | 2028-04-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW FRN SOFR+107 04/22/2028                                                                                   | CUSIP: 95000U3M3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      800000 | PA      | $804680.00     | 0.00%             | 2028-04-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                                                       | ELECTRICITE DE FRANCE 6% 04/22/2064 144A                                                                                         | CUSIP: 268317BB9<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     8200000 | PA      | $8141697.51    | 0.02%             | 2064-04-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VALLOUREC SA                                                                                                | VALLOUREC SA 7.5% 04/15/2032 144A                                                                                                | CUSIP: 92023RAA8<br>LEI: 969500P2Q1B47H4MCJ34 | Long             | DBT              | CORP              | FR        |      265000 | PA      | $282136.23     | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                                                   | SUNOCO LP 7.25% 05/01/2032 144A                                                                                                  | CUSIP: 86765KAC3<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      425000 | PA      | $448525.72     | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ZF NORTH AMER CAP INC                                                                                       | ZF NORTH AMER CAP INC 6.75% 04/23/2030 144A                                                                                      | CUSIP: 98877DAF2<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |      170000 | PA      | $165146.36     | 0.00%             | 2030-04-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ZF NORTH AMER CAP INC                                                                                       | ZF NORTH AMER CAP INC 6.875% 04/23/2032 144A                                                                                     | CUSIP: 98877DAG0<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |      135000 | PA      | $128258.01     | 0.00%             | 2032-04-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 7.5%/VAR PERP                                                                                      | CUSIP: 38141GA79<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EP               | CORP              | US        |      490000 | PA      | $517194.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SIX FLAGS ENTERTAINMENT CORP /SIX FLAGS THEME PARKS INC/ CANADA'S WONDERLAND CO                             | SIX FLAGS ENTERTAINMENT CORP /SIX FLAGS THEME PARKS INC/ CANADA'S WONDERLAND CO 6.625% 05/01/2032 144A                           | CUSIP: 83002YAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      165000 | PA      | $164597.00     | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 5.652%/VAR 04/13/2028                                                                                             | CUSIP: 61747YFP5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      400000 | PA      | $408172.39     | 0.00%             | 2028-04-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 5.656%/VAR 04/18/2030                                                                                             | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      444000 | PA      | $464058.29     | 0.00%             | 2030-04-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 5.831%/VAR 04/19/2035                                                                                             | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1383000 | PA      | $1483384.61    | 0.00%             | 2035-04-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                                                     | JANE STREET GRP/JSG FIN 7.125% 04/30/2031 144A                                                                                   | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $105342.80     | 0.00%             | 2031-04-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TR 2024-2                                                                  | SANTANDER DRIVE AUTO RECEIVABLES TR 2024-2 6.28% 08/15/2031                                                                      | CUSIP: 80286YAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1000000 | PA      | $1028990.80    | 0.00%             | 2031-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED NATURAL FOODS INC                                                                                    | UNITED NATURAL FOODS TERM B 1LN 05/01/2031                                                                                       | CUSIP: 91116KAD7<br>LEI: 549300GKGW6WPZ282D40 | Long             | LON              | CORP              | US        |      178522 | PA      | $179503.98     | 0.00%             | 2031-05-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 04/01/2054#SD7569                                                                                                   | CUSIP: 3132DVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4832054 | PA      | $5029481.22    | 0.01%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 12/01/2050#RA4142                                                                                                 | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1205608 | PA      | $1049051.38    | 0.00%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PUMA INTL FINANCING SA                                                                                      | PUMA INTL FINANCING SA 7.75% 04/25/2029 REGS                                                                                     | CUSIP: N/A<br>LEI: 222100YFBPO7IDRUBR17       | Long             | DBT              | CORP              | LU        |      900000 | PA      | $928128.49     | 0.00%             | 2029-04-25      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DRYDEN 83 CLO LTD                                                                                           | DRYDEN 83 CLO LTD AR TSFR3M+153 04/18/2037 144A                                                                                  | CUSIP: 26246EAL2<br>LEI: 2549001LFFVBUD1OX384 | Long             | ABS-CBDO         | CORP              | KY        |     5321000 | PA      | $5335552.94    | 0.01%             | 2037-04-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 02/01/2052#FS7746                                                                                                 | CUSIP: 3140XPTC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1225500 | PA      | $1064829.02    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TR 2023-1                                                                             | SCCU AUTO RECEIVABLES TR 2023-1 5.7% 08/15/2029 144A                                                                             | CUSIP: 805922AG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $511597.95     | 0.00%             | 2029-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 5.727%/VAR 04/25/2030                                                                              | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1645000 | PA      | $1722819.52    | 0.00%             | 2030-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES3                                                                               | RCKT MORTGAGE TRUST 2024-CES3 VAR 05/25/2044 144A                                                                                | CUSIP: 74942AAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      635150 | PA      | $645575.31     | 0.00%             | 2044-05-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AREIT 2024-CRE9 LTD / AREIT 2024-CRE9 LLC                                                                   | AREIT 2024-CRE9 LTD / AREIT 2024-CRE9 LLC A TSFR1M+168.645 05/17/2041 144A                                                       | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      511725 | PA      | $511993.77     | 0.00%             | 2041-05-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BOELS TOPHOLDING B.V.                                                                                       | BOELS TOPHOLDING BV 5.75% 05/15/2030 REGS                                                                                        | CUSIP: N/A<br>LEI: 724500V913SEHSEW2O75       | Long             | DBT              | CORP              | NL        |      102000 | PA      | $122159.71     | 0.00%             | 2030-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FLORIDA ST BRD ADMIN FIN CORP REV                                                                           | FLORIDA ST BD 5.526% 7/1/2034                                                                                                    | CUSIP: 341271AH7<br>LEI: 5493004G5XFOOUT0LQ57 | Long             | DBT              | MUN               | US        |     1500000 | PA      | $1585661.55    | 0.00%             | 2034-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.625% 04/30/2029                                                                                                      | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2800000 | PA      | $2898218.74    | 0.01%             | 2029-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                                                                           | ENTERPRISE FLEET FINANCING 2024-2 5.61% 04/20/2028 144A                                                                          | CUSIP: 29375RAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1900000 | PA      | $1932356.81    | 0.00%             | 2028-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                                                                           | ENTERPRISE FLEET FINANCING 2024-2 5.74% 12/20/2026 144A                                                                          | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      750575 | PA      | $753694.69     | 0.00%             | 2026-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 03/01/2052#SD7553                                                                                                   | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12755189 | PA      | $11514851.35   | 0.03%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COLT 2024-INV2 MTG LN TR                                                                                    | COLT 2024-INV2 MORTGAGE LOAN TRUST 6.421% 05/25/2069 144A                                                                        | CUSIP: 12622SAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      750366 | PA      | $761480.21     | 0.00%             | 2069-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES LN FDG V LTD / ARES LN FDG V LLC                                                                       | ARES LN FDG V LTD / ARES LN FDG V LLC A1 TSFR3M+150 07/27/2037 144A                                                              | CUSIP: 04020QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     4720000 | PA      | $4737586.72    | 0.01%             | 2037-07-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SPA                                                                               | CASSA DEPOSITI E PRESTITI SPA 5.875% 04/30/2029 144A                                                                             | CUSIP: 147918AC0<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | NUSS              | IT        |     2200000 | PA      | $2323768.81    | 0.01%             | 2029-04-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BIRCH GROVE CLO LTD / BIRCH GROVE CLO LLC                                                                   | BIRCH GROVE CLO LTD / BIRCH GROVE CLO LLC A1RR TSFR3M+159 07/17/2037 144A                                                        | CUSIP: 09075JAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      700000 | PA      | $701794.10     | 0.00%             | 2037-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | CITIBANK NA FRN SOFRINDX+59 04/30/2026                                                                                           | CUSIP: 17325FBE7<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |      300000 | PA      | $300283.38     | 0.00%             | 2026-04-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VAIL RESORTS INC                                                                                            | VAIL RESORTS INC 6.5% 05/15/2032 144A                                                                                            | CUSIP: 91879QAP4<br>LEI: 529900PSZHRNU9HKH870 | Long             | DBT              | CORP              | US        |      500000 | PA      | $519752.00     | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                                                      | OCP SA 6.75% 05/02/2034 144A                                                                                                     | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     2395000 | PA      | $2579702.40    | 0.01%             | 2034-05-02      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                                                      | OCP SA 7.5% 05/02/2054 144A                                                                                                      | CUSIP: 67091TAG0<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      290000 | PA      | $320777.70     | 0.00%             | 2054-05-02      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/01/2052#SD3952                                                                                                 | CUSIP: 3132E0L91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2636679 | PA      | $2274513.27    | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2024-1                                                                     | ONEMAIN FINANCIAL ISSUANCE TRUST 2024-1 5.79% 05/14/2041 144A                                                                    | CUSIP: 68269NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      777000 | PA      | $822441.06     | 0.00%             | 2041-05-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC                                                                                           | GXO LOGISTICS INC 6.25% 05/06/2029                                                                                               | CUSIP: 36262GAF8<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |      800000 | PA      | $840179.18     | 0.00%             | 2029-05-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MAHLE GMBH                                                                                                  | MAHLE GMBH 6.5% 05/02/2031 REGS                                                                                                  | CUSIP: N/A<br>LEI: 52990098TR1QJBWIYG58       | Long             | DBT              | CORP              | DE        |      200000 | PA      | $238792.48     | 0.00%             | 2031-05-02      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 07/01/2051#FM8179                                                                                                 | CUSIP: 3140XCCR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4686361 | PA      | $4017761.45    | 0.01%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GWT 2024-WLF2                                                                                               | GWT 2024-WLF2 TSFR1M+169.124 05/15/2041 144A                                                                                     | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      741000 | PA      | $741924.69     | 0.00%             | 2041-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XXXVI                                                                                            | APIDOS CLO XXXVI B TSFR3M+186.161 07/20/2034 144A                                                                                | CUSIP: 03769LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1160000 | PA      | $1160537.08    | 0.00%             | 2034-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2018-1 LTD                                                                               | ROCKFORD TOWER CLO 2018-1 LTD B TSFR3M+198.161 05/20/2031 144A                                                                   | CUSIP: 77342JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1750000 | PA      | $1753697.75    | 0.00%             | 2031-05-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES LVII CLO LTD / ARES LVII CLO LLC                                                                       | ARES LVII CLO LTD / ARES LVII CLO LLC AR TSFR3M+141.161 01/25/2035 144A                                                          | CUSIP: 04017NAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      330000 | PA      | $330000.00     | 0.00%             | 2035-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PACHELBEL BIDCO SPA                                                                                         | PACHELBEL BIDCO SPA 7.125% 05/17/2031 REGS                                                                                       | CUSIP: N/A<br>LEI: 8156005DA07CDD50CC46       | Long             | DBT              | CORP              | IT        |      282000 | PA      | $348860.20     | 0.00%             | 2031-05-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                                                                           | ILIAD HOLDING SAS 6.875% 04/15/2031 REGS                                                                                         | CUSIP: N/A<br>LEI: 9695009BGMXB527HV965       | Long             | DBT              | CORP              | FR        |      101000 | PA      | $125131.51     | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HARVEST MIDSTREAM I LP                                                                                      | HARVEST MIDSTREAM I LP 7.5% 05/15/2032 144A                                                                                      | CUSIP: 417558AB9<br>LEI: 549300DW5M17KJOXCY66 | Long             | DBT              | CORP              | US        |      630000 | PA      | $654651.27     | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2052#FS5385                                                                                                 | CUSIP: 3140XL6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      199456 | PA      | $172682.84     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| US ACUTE CARE SOLUTIONS                                                                                     | US ACUTE CARE SOLUTIONS 9.75% 05/15/2029 144A                                                                                    | CUSIP: 90367UAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      140000 | PA      | $142222.92     | 0.00%             | 2029-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2016-1 LTD                                                                                         | VOYA CLO 2016-1 LTD A1R TSFR3M+133.161 01/20/2031 144A                                                                           | CUSIP: 92915CAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       19690 | PA      | $19694.01      | 0.00%             | 2031-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XXXIV                                                                                            | APIDOS CLO XXXIV A1R TSFR3M+141.161 01/20/2035 144A                                                                              | CUSIP: 03768WAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250294.50     | 0.00%             | 2035-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OZLM XVIII LTD                                                                                              | OZLM XVIII LTD A TSFR3M+128.161 04/15/2031 144A                                                                                  | CUSIP: 67112GAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       30260 | PA      | $30272.72      | 0.00%             | 2031-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CANYON CAPITAL CLO 2016-1 LTD                                                                               | CANYON CAPITAL CLO 2016-1 LTD AR TSFR3M+133.161 07/15/2031 144A                                                                  | CUSIP: 13887PAK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      100126 | PA      | $100191.18     | 0.00%             | 2031-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2018-1 LTD                                                                               | ROCKFORD TOWER CLO 2018-1 LTD A TSFR3M+136.161 05/20/2031 144A                                                                   | CUSIP: 77342JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      127382 | PA      | $127385.94     | 0.00%             | 2031-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXVIII LTD                                                                                     | SYMPHONY CLO XXVIII LTD A TSFR3M+140.161 10/23/2034 144A                                                                         | CUSIP: 87168BAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250027.50     | 0.00%             | 2034-10-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                                                               | DTE ENERGY CO 5.85% 06/01/2034                                                                                                   | CUSIP: 233331BL0<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |      800000 | PA      | $856477.49     | 0.00%             | 2034-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DRYDEN 55 CLO LTD                                                                                           | DRYDEN 55 CLO LTD A1 TSFR3M+128.161 04/15/2031 144A                                                                              | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       62370 | PA      | $62437.28      | 0.00%             | 2031-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DESIGNATED ACTIVITY CO                                                                 | ICON INVESTMENTS SIX DESIGNATED ACTIVITY CO 5.809% 05/08/2027                                                                    | CUSIP: 45115AAA2<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |      800000 | PA      | $815850.05     | 0.00%             | 2027-05-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CR AUTO TR 2024-1                                                                                  | FLAGSHIP CREDIT AUTO TRUST 2024-1 5.64% 03/15/2028 144A                                                                          | CUSIP: 33843VAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      223112 | PA      | $223552.23     | 0.00%             | 2028-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 05/01/2054#                                                                                                         | CUSIP: 3140QUNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4452060 | PA      | $4576571.89    | 0.01%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DRYDEN 41 SENIOR LOAN FUND                                                                                  | DRYDEN 41 SENIOR LOAN FUND AR TSFR3M+123.161 04/15/2031 144A                                                                     | CUSIP: 26244KAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       20260 | PA      | $20260.77      | 0.00%             | 2031-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.625% 05/15/2054                                                                                    | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    74541000 | PA      | $73894589.39   | 0.17%             | 2054-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.5% 05/15/2027                                                                                                        | CUSIP: 91282CKR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4760000 | PA      | $4823032.82    | 0.01%             | 2027-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-MDHS                                                                                    | BX COML MTG TR 2024-MDHS 6.8415% 05/15/2041 144A                                                                                 | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6789265 | PA      | $6793499.00    | 0.02%             | 2041-05-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| NAVESINK CLO 2 LTD                                                                                          | NAVESINK CLO 2 LTD A1 TSFR3M+127 04/15/2036 144A                                                                                 | CUSIP: 63942YAA2<br>LEI: 254900HNRWNLGN0X1N35 | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $997429.00     | 0.00%             | 2036-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                                                                                          | REGAL REXNORD CORP 6.05% 04/15/2028                                                                                              | CUSIP: 758750AM5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |      500000 | PA      | $517496.62     | 0.00%             | 2028-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER                            | PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER 7% 02/01/2030 144A                              | CUSIP: 70052LAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      210000 | PA      | $214397.19     | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                                                       | FOUNDRY JV HOLDCO LLC 6.15% 01/25/2032 144A                                                                                      | CUSIP: 350930AC7<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1709809.02    | 0.00%             | 2032-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                                                       | FOUNDRY JV HOLDCO LLC 6.25% 01/25/2035 144A                                                                                      | CUSIP: 350930AD5<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      595000 | PA      | $637076.39     | 0.00%             | 2035-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM2 TR                                                                                            | OBX 2024-NQM2 A1 TR 5.878% 12/25/2063 144A                                                                                       | CUSIP: 67118HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      810856 | PA      | $816655.88     | 0.00%             | 2063-12-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INVESCO US CLO 2024-3 LTD                                                                                   | INVESCO US CLO 2024-3 LTD A TSFR3M+151 07/20/2037 144A                                                                           | CUSIP: 46148HAB4<br>LEI: 254900GU4U8LUX3GA959 | Long             | ABS-CBDO         | CORP              | JE        |     4204000 | PA      | $4219323.58    | 0.01%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KINROSS GOLD CORP                                                                                           | KINROSS GOLD CORP 6.25% 07/15/2033                                                                                               | CUSIP: 496902AT4<br>LEI: 254900O9KHF2A1ZXPT47 | Long             | DBT              | CORP              | CA        |     5585000 | PA      | $6121396.92    | 0.01%             | 2033-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DLLAD 2024-1 LLC                                                                                            | DLLAD 2024-1 LLC 5.3% 07/20/2029 144A                                                                                            | CUSIP: 23346MAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      979000 | PA      | $999702.82     | 0.00%             | 2029-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DRYDEN 40 SENIOR LOAN FUND                                                                                  | DRYDEN 40 SENIOR LOAN FUND AR2 TSFR3M+115 08/15/2031 144A                                                                        | CUSIP: 26244GAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      134511 | PA      | $134588.29     | 0.00%             | 2031-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN FINANCE SARL                                                                                     | AROUNDTOWN FINANCE SARL 7.875%/VAR PERP                                                                                          | CUSIP: N/A<br>LEI: 8945006LEXV2KWSWVP51       | Long             | EP               | CORP              | LU        |      750000 | PA      | $753159.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                                                   | BLOCK INC 6.5% 05/15/2032                                                                                                        | CUSIP: 852234AS2<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     1345000 | PA      | $1405623.19    | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H3 MTG TR                                                                                        | CROSS 2024-H3 MORTGAGE TRUST 6.272% 06/25/2069 144A                                                                              | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      835700 | PA      | $846848.48     | 0.00%             | 2069-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                                                         | DOMINION ENERGY INC 7%/VAR 06/01/2054                                                                                            | CUSIP: 25746UDU0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      736000 | PA      | $801037.38     | 0.00%             | 2054-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                                                         | DOMINION ENERGY INC 6.875%/VAR 02/01/2055                                                                                        | CUSIP: 25746UDT3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      280000 | PA      | $291984.50     | 0.00%             | 2055-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ITC HLDGS CORP                                                                                              | ITC HLDGS CORP 5.65% 05/09/2034 144A                                                                                             | CUSIP: 465685AT2<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |     1235000 | PA      | $1294365.38    | 0.00%             | 2034-05-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2.55% 09/25/2046                                                                                  | CUSIP: 3136AWGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2000331 | PA      | $1849459.91    | 0.00%             | 2046-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2.7% 05/25/2047                                                                                   | CUSIP: 3136AWLF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    10265048 | PA      | $9466231.33    | 0.02%             | 2047-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTL INC                                                                                  | GRAPHIC PACKAGING INTL INC 6.375% 07/15/2032 144A                                                                                | CUSIP: 38869AAE7<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |      455000 | PA      | $462691.49     | 0.00%             | 2032-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE CO                                                                                   | ARIZONA PUBLIC SERVICE CO 5.7% 08/15/2034                                                                                        | CUSIP: 040555DH4<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |     1275000 | PA      | $1346546.94    | 0.00%             | 2034-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 5.45% 06/01/2031                                                                                   | CUSIP: 842400JE4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      240000 | PA      | $248191.76     | 0.00%             | 2031-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                                           | NATWEST GROUP PLC 8.125%/VAR PERP                                                                                                | CUSIP: 639057AQ1<br>LEI: 2138005O9XJIJN4JPN90 | Long             | EP               | CORP              | GB        |      290000 | PA      | $324582.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK LOGISTICS 2024-1 DAC                                                                                     | UK LOGISTICS 2024-1X A DAC SONIO+ 05/15/2034 REGS                                                                                | CUSIP: N/A<br>LEI: 635400H22JMICKOJRJ36       | Long             | ABS-MBS          | CORP              | IE        |       64336 | PA      | $85192.51      | 0.00%             | 2034-05-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                                              | DEUTSCHE BANK AG NEW YORK BNCH 5.414% 05/10/2029                                                                                 | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |      375000 | PA      | $390574.03     | 0.00%             | 2029-05-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS and RESORTS LP                                                                                  | HOST HOTELS and RESORTS LP 5.7% 07/01/2034                                                                                       | CUSIP: 44107TBB1<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |      750000 | PA      | $775994.99     | 0.00%             | 2034-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                                                | UBS GROUP AG 5.617%/VAR 09/13/2030 144A                                                                                          | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      530000 | PA      | $554944.06     | 0.00%             | 2030-09-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Phillips Edison Grocery Center Operating Partnership I LP                                                   | Phillips Edison Grocery Center Operating Partnership I LP 5.75% 07/15/2034                                                       | CUSIP: 71845JAB4<br>LEI: 549300WUPIVS6ZE0ZI51 | Long             | DBT              | CORP              | US        |     1063000 | PA      | $1118269.27    | 0.00%             | 2034-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                                                        | ONEMAIN FINANCE CORP 7.5% 05/15/2031                                                                                             | CUSIP: 682691AF7<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      465000 | PA      | $488496.92     | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                                                  | HESS MIDSTREAM PARTNERS LP 6.5% 06/01/2029 144A                                                                                  | CUSIP: 428102AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      235000 | PA      | $243173.07     | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 5.597%/VAR 05/17/2028                                                                                          | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     5600000 | PA      | $5710933.76    | 0.01%             | 2028-05-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 5.733%/VAR 05/17/2032                                                                                          | CUSIP: 404280EG0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      645000 | PA      | $682502.34     | 0.00%             | 2032-05-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                                                      | STANDARD CHARTERED PLC 5.688%/VAR 05/14/2028 144A                                                                                | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      340000 | PA      | $346849.57     | 0.00%             | 2028-05-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                                                     | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL D TSFR1M+ 05/15/2037 144A                                                                | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      255000 | PA      | $255795.24     | 0.00%             | 2037-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                                                        | LAS VEGAS SANDS CORP 5.9% 06/01/2027                                                                                             | CUSIP: 517834AJ6<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1018418.24    | 0.00%             | 2027-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                                                      | STANDARD CHARTERED PLC 5.905%/VAR 05/14/2035 144A                                                                                | CUSIP: 853254DC1<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      665000 | PA      | $708378.26     | 0.00%             | 2035-05-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                                                     | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL A TSFR1M+154.123 05/15/2037 144A                                                         | CUSIP: 403956AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      492000 | PA      | $492153.21     | 0.00%             | 2037-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                                                        | LAS VEGAS SANDS CORP 6% 08/15/2029                                                                                               | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     2860000 | PA      | $2991340.95    | 0.01%             | 2029-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORP                                                           | NATIONAL RURAL UTL COOP FIN 5.15% 06/15/2029                                                                                     | CUSIP: 63743HFS6<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4147854.64    | 0.01%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE ED LN TR 2024-C                                                                                 | SMB PRIVATE ED LN TR 2024-C SOFR30A+110 06/17/2052 144A                                                                          | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      139386 | PA      | $139036.89     | 0.00%             | 2052-06-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                                                 | AVOLON HOLDINGS FUNDING LTD 5.75% 11/15/2029 144A                                                                                | CUSIP: 05401AAV3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     2325000 | PA      | $2417371.27    | 0.01%             | 2029-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                                                                        | ENTERGY ARKANSAS LLC 5.75% 06/01/2054                                                                                            | CUSIP: 29366MAG3<br>LEI: KYX6QEFGFXUFFAWLGG05 | Long             | DBT              | CORP              | US        |       70000 | PA      | $72235.58      | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                                                                                     | ENI SPA 5.95% 05/15/2054 144A                                                                                                    | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |     1560000 | PA      | $1567899.14    | 0.00%             | 2054-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.1% 06/01/2029                                  | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4171000 | PA      | $4349216.61    | 0.01%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.55% 06/01/2034                                 | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5679000 | PA      | $5989281.76    | 0.01%             | 2034-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-KING                                                                                    | BX COML MTG TR 2024-KING TSFR1M+ 05/15/2039 144A                                                                                 | CUSIP: 05612RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      167791 | PA      | $167791.01     | 0.00%             | 2034-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 06/01/2052#                                                                                                         | CUSIP: 3140XPX95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9465352 | PA      | $8515344.95    | 0.02%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF3 LLC                                                                                          | PRPM 2024-RCF3 LLC 4% 05/25/2054 144A                                                                                            | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1001506 | PA      | $990133.52     | 0.00%             | 2054-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 02/01/2054#FS7274                                                                                                   | CUSIP: 3140XPCL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3795462 | PA      | $3809939.88    | 0.01%             | 2054-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 09/01/2053#CB7100                                                                                                   | CUSIP: 3140QS3J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4118387 | PA      | $4134096.36    | 0.01%             | 2053-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2019-1 LTD                                                                                  | EATON VANCE CLO 2019-1 LTD AR2 TSFR3M+151 07/15/2037 144A                                                                        | CUSIP: 27830XAW6<br>LEI: 5493007R7GEORNX00105 | Long             | ABS-CBDO         | CORP              | KY        |     4210000 | PA      | $4218533.67    | 0.01%             | 2037-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 03/01/2052#SD2494                                                                                                 | CUSIP: 3132DPXX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       92003 | PA      | $85144.08      | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 09/01/2051#CB1642                                                                                                 | CUSIP: 3140QLZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      502006 | PA      | $468187.01     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 01/01/2052#FS7820                                                                                                   | CUSIP: 3140XPVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12796931 | PA      | $10572987.03   | 0.02%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 06/01/2054#                                                                                                       | CUSIP: 3132DWLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7497674 | PA      | $7596048.59    | 0.02%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 05/01/2052#QE4719                                                                                                   | CUSIP: 3133BEG49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41149 | PA      | $39435.24      | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 06/01/2054#MA5388                                                                                                 | CUSIP: 31418E7A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3438331 | PA      | $3486264.45    | 0.01%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-B                                                              | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-B 5.41% 05/17/2027 144A                                                             | CUSIP: 44934FAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5373000 | PA      | $5400824.62    | 0.01%             | 2027-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                                                 | VENTAS RLTY LTD PARTNERSHIP 5.625% 07/01/2034                                                                                    | CUSIP: 92277GAX5<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |      233000 | PA      | $244290.61     | 0.00%             | 2034-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                                                                | AMPRION GMBH 3.625% 05/21/2031 REGS                                                                                              | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |      200000 | PA      | $237336.10     | 0.00%             | 2031-05-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VANTAGE DATA CENTERS JERSEY BORROWER SPV LTD                                                                | VANTAGE DATA CENTERS JERSEY BORROWER SPV LTD 6.172% 05/28/2039 REGS                                                              | CUSIP: N/A<br>LEI: 213800S5S638C9IBQ379       | Long             | ABS-CBDO         | CORP              | JE        |      330000 | PA      | $446882.16     | 0.00%             | 2039-05-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2                                                               | SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2 5.33% 11/20/2029 144A                                                              | CUSIP: 78397XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1716541 | PA      | $1733695.81    | 0.00%             | 2029-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-B                                                                                | SBNA AUTO LEASE TRUST 2024-B 5.56% 11/22/2027 144A                                                                               | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2718460 | PA      | $2733375.98    | 0.01%             | 2027-11-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-4                                                                           | VERUS SECURITIZATION TRUST 2024-4 STEP 06/25/2069 144A                                                                           | CUSIP: 92540GAA6<br>LEI: 213800WNY873LW1L3M73 | Long             | ABS-CBDO         | CORP              | US        |      984245 | PA      | $997674.97     | 0.00%             | 2069-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BLUE RACER MIDSTREAM LLC / BLUE RACER FIN CORP                                                              | BLUE RACER MS LLC / BR FIN CORP 7% 07/15/2029 144A                                                                               | CUSIP: 095796AJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      240000 | PA      | $250307.76     | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 5.85% 05/17/2027                                                                                        | CUSIP: 345397E74<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1723562.03    | 0.00%             | 2027-05-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CRH SMW FINANCE DAC                                                                                         | CRH SMW FINANCE DAC 5.2% 05/21/2029                                                                                              | CUSIP: 12704PAA6<br>LEI: 54930044475SH442C864 | Long             | DBT              | CORP              | IE        |     1165000 | PA      | $1203297.07    | 0.00%             | 2029-05-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                                                         | NATWEST MARKETS PLC 5.41% 05/17/2029 144A                                                                                        | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |     1750000 | PA      | $1822483.62    | 0.00%             | 2029-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TR 2024-1                                                                                         | BOFA AUTO TR 2024-1A A3 5.35% 11/15/2028 144A                                                                                    | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1055475 | PA      | $1063290.99    | 0.00%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INSIGHT ENTERPRISES INC                                                                                     | INSIGHT ENTERPRISES INC 6.625% 05/15/2032 144A                                                                                   | CUSIP: 45765UAC7<br>LEI: 529900S8991TYW6YP792 | Long             | DBT              | CORP              | US        |      440000 | PA      | $450454.40     | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS TR 2024-1                                                               | GOODLEAP SUSTAINABLE HOME SOLUTIONS TR 2024-1 6.25% 06/20/2057 144A                                                              | CUSIP: 38237BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2531648 | PA      | $2497607.85    | 0.01%             | 2057-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2024-A                                                                       | MERCEDES-BENZ AUTO LEASE TRUST 2024-A 5.32% 01/18/2028                                                                           | CUSIP: 58770JAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1500000 | PA      | $1514892.90    | 0.00%             | 2028-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2024-A                                                            | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2024-A 5.66% 10/15/2072 144A                                                           | CUSIP: 63943CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      510645 | PA      | $524189.03     | 0.00%             | 2072-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 04/01/2052#SD5278                                                                                                   | CUSIP: 3132DS2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2620581 | PA      | $2356742.81    | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA INC                                                                                  | BP CAP MARKETS AMERICA INC 5.227% 11/17/2034                                                                                     | CUSIP: 10373QCA6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      445000 | PA      | $463389.01     | 0.00%             | 2034-11-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                                                     | MPLX LP 5.5% 06/01/2034                                                                                                          | CUSIP: 55336VBX7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     6600000 | PA      | $6774254.59    | 0.02%             | 2034-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM2 TR                                                                                           | GCAT 2024-NQM2 A1 TR 6.085% 06/25/2059 144A                                                                                      | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      859888 | PA      | $871291.72     | 0.00%             | 2059-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.625% 05/15/2044                                                                                    | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10900000 | PA      | $10930656.25   | 0.02%             | 2044-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAP CLO 7 LTD / ANCHORAGE CAP CLO 7 LLC                                                           | ANCHORAGE CAP CLO 7 LTD / ANCHORAGE CAP CLO 7 LLC BR3 TSFR3M+205 04/28/2037 144A                                                 | CUSIP: 03328TBU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      700000 | PA      | $701574.30     | 0.00%             | 2037-04-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO DAC                                                                                              | ARBOUR CLO DAC AR 3MEUR+133 05/15/2038 144A                                                                                      | CUSIP: N/A<br>LEI: 549300YXBWG4ECHKDX72       | Long             | ABS-CBDO         | CORP              | IE        |     1000000 | PA      | $1161127.43    | 0.00%             | 2038-05-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PROOFPOINT INC                                                                                              | PROOFPOINT TERM B 1LN 08/31/2028                                                                                                 | CUSIP: 74345HAG6<br>LEI: 529900C5FODDK0WSR085 | Long             | LON              | CORP              | US        |      193562 | PA      | $194305.04     | 0.00%             | 2028-08-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN CLO LTD                                                                                    | NEUBERGER BERMAN CLO LTD B TSFR3M+175 07/24/2037 144A                                                                            | CUSIP: 64135TAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501357.00     | 0.00%             | 2037-07-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERATE CLO 16 LTD                                                                                         | GENERATE CLO 16 LTD B TSFR3M+185 07/20/2037 144A                                                                                 | CUSIP: 37149YAG4<br>LEI: 213800SVSEDOQON7JV18 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501002.00     | 0.00%             | 2037-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HTA GROUP LTD/MAURITIUS                                                                                     | HTA GROUP LTD/MAURITIUS 7.5% 06/04/2029 144A                                                                                     | CUSIP: 40435WAC4<br>LEI: 213800WEFU8O8X6EPU13 | Long             | DBT              | CORP              | MU        |      150000 | PA      | $155532.00     | 0.00%             | 2029-06-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 11/01/2051#CB2276                                                                                                 | CUSIP: 3140QMQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1728266 | PA      | $1486556.42    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CORPORATION                                                                            | CALIFORNIA RES CORP 8.25% 06/15/2029 144A                                                                                        | CUSIP: 13057QAK3<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |      185000 | PA      | $193560.88     | 0.00%             | 2029-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                                                | COMCAST CORP 5.3% 06/01/2034                                                                                                     | CUSIP: 20030NEJ6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      240000 | PA      | $247873.76     | 0.00%             | 2034-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP NEW                                                                                            | ENTERGY CORP NEW 7.125%/VAR 12/01/2054                                                                                           | CUSIP: 29364GAQ6<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |     1246000 | PA      | $1310424.43    | 0.00%             | 2054-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ALTA EQUIPMENT GROUP INC                                                                                    | ALTA EQUIPMENT GROUP INC 9% 06/01/2029 144A                                                                                      | CUSIP: 02128LAC0<br>LEI: 549300DGOB28CLGS1X27 | Long             | DBT              | CORP              | US        |     1020000 | PA      | $904348.32     | 0.00%             | 2029-06-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| DBSG 2024-ALTA MTG TR                                                                                       | DBSG 2024-ALTA A MTG TR VAR 06/10/2037 144A                                                                                      | CUSIP: 239918AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      121211 | PA      | $123111.49     | 0.00%             | 2037-06-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GRAY TELEVISION INC                                                                                         | GRAY TELEVISION INC 10.5% 07/15/2029 144A                                                                                        | CUSIP: 389375AM8<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |      285000 | PA      | $307146.78     | 0.00%             | 2029-07-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BX 2024 VLT4                                                                                                | BX 2024 VLT4 E TSFR1M+288.94 07/15/2029 144A                                                                                     | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      220000 | PA      | $218764.44     | 0.00%             | 2041-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| LBA TR 2024-BOLT                                                                                            | LBA TR 2024-BOLT TSFR1M+448.48 06/15/2026 144A                                                                                   | CUSIP: 50177BAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       99000 | PA      | $98977.74      | 0.00%             | 2039-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2009-12                                                                                 | CITIGROUP MTG LN TR 2009-12 11.151088% 07/25/2037 144A                                                                           | CUSIP: 173097AK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      355468 | PA      | $158871.55     | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CROWN POINT CLO 7 LTD                                                                                       | CROWN POINT CLO 7 LTD AR TSFR3M+123 10/20/2031 144A                                                                              | CUSIP: 22846MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      192867 | PA      | $192929.75     | 0.00%             | 2031-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MUTUAL GLOBAL FUNDING                                                                          | NORTHWESTERN MUTUAL GLOBAL FUNDING 5.16% 05/28/2031 144A                                                                         | CUSIP: 66815L2S7<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |      280000 | PA      | $291616.35     | 0.00%             | 2031-05-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                                               | AEP TEXAS INC 5.45% 05/15/2029                                                                                                   | CUSIP: 00108WAS9<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2599296.50    | 0.01%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                                               | AEP TEXAS INC 5.7% 05/15/2034                                                                                                    | CUSIP: 00108WAT7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     1935000 | PA      | $2028641.62    | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                                                        | ROMANIA REPUBLIC OF 5.625% 05/30/2037 144A                                                                                       | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     1800000 | PA      | $2034638.91    | 0.00%             | 2037-05-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 7.125%/VAR PERP                                                                                                    | CUSIP: 172967PK1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EP               | CORP              | US        |     1540000 | PA      | $1578452.26    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                                               | BMP 2024-MF23 C TSFR1M+194.113 06/15/2041 144A                                                                                   | CUSIP: 05593JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1060000 | PA      | $1060330.08    | 0.00%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                                               | BROOKFIELD 2024-MF23 A TSFR1M+149.177 06/15/2041 144A                                                                            | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4040000 | PA      | $4039997.98    | 0.01%             | 2041-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                                               | BMP 2024-MF23 TSFR1M+174.142 06/15/2041 144A                                                                                     | CUSIP: 05593JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1590000 | PA      | $1589999.21    | 0.00%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AIMCO 2019                                                                                                  | AIMCO 2019 ARR TSFR3M+141 07/22/2037 144A                                                                                        | CUSIP: 00901AAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2821000 | PA      | $2824847.84    | 0.01%             | 2037-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                                                                                         | US LBM TERM B 1LN 06/06/2031                                                                                                     | CUSIP: 50179JAH1<br>LEI: 549300FAEB3VWZL4NI86 | Long             | LON              | CORP              | US        |      139295 | PA      | $131052.64     | 0.00%             | 2031-06-06      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CWALT TR 2006-J4                                                                                            | CWALT TR 2006-J4 6% 07/25/2036                                                                                                   | CUSIP: 23242WAH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      223464 | PA      | $123144.86     | 0.00%             | 2036-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                                                           | HEALTHPEAK PROPERTIES TERM DD 1LN 8/20/2027                                                                                      | CUSIP: 42250UAD4<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | LON              | CORP              | US        |      225641 | PA      | $222820.58     | 0.00%             | 2027-08-20      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| HEALTHPEAK OP LLC                                                                                           | HEALTHPEAK PROPERTIES TERM DD 1LN 2/22/2027                                                                                      | CUSIP: 42250UAE2<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | LON              | CORP              | US        |      225641 | PA      | $222820.58     | 0.00%             | 2027-02-22      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| BX 2024 VLT4                                                                                                | BX 2024 VLT4 F TSFR1M+393.788 07/15/2029 144A                                                                                    | CUSIP: 05612TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      390000 | PA      | $390463.32     | 0.00%             | 2041-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                                                          | RGA GLOBAL FUNDING 5.448% 05/24/2029 144A                                                                                        | CUSIP: 76209PAE3<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2073915.08    | 0.00%             | 2029-05-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC                                                                                    | SENSATA TECHNOLOGIES INC 6.625% 07/15/2032 144A                                                                                  | CUSIP: 81728UAC8<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |      600000 | PA      | $627226.80     | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM8 TRUST                                                                                         | OBX 2024-NQM8 A1 TRUST 6.233% 05/25/2064 144A                                                                                    | CUSIP: 67119CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1511155 | PA      | $1531577.44    | 0.00%             | 2064-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELM TRUST 2024-ELM                                                                                          | ELM TRUST 2024-ELM E10 VAR 06/10/2027 144A                                                                                       | CUSIP: 26860XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      514000 | PA      | $515806.09     | 0.00%             | 2039-06-10      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+51.448 09/25/2049                                                                         | CUSIP: 3136B5P58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      624316 | PA      | $619987.18     | 0.00%             | 2049-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ELM TRUST 2024-ELM                                                                                          | ELM TRUST 2024-ELM VAR 06/10/2027 144A                                                                                           | CUSIP: 26860XAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      460000 | PA      | $462736.03     | 0.00%             | 2039-06-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                                                     | BPCE SA 5.281% 05/30/2029 144A                                                                                                   | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     2000000 | PA      | $2068171.42    | 0.00%             | 2029-05-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELM TRUST 2024-ELM                                                                                          | ELM TRUST 2024-ELM VAR 06/10/2027 144A                                                                                           | CUSIP: 26860XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      460000 | PA      | $462736.03     | 0.00%             | 2039-06-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                                                     | BPCE SA 5.936%/VAR 05/30/2035 144A                                                                                               | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     1305000 | PA      | $1376980.52    | 0.00%             | 2035-05-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                                            | BRIXMOR OPERATING PARTNERSHIP LP 5.75% 02/15/2035                                                                                | CUSIP: 11120BAA5<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |      145000 | PA      | $152790.75     | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                                                | UNIVISION COMMUNICATIONS INC 8.5% 07/31/2031 144A                                                                                | CUSIP: 914906AZ5<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |      390000 | PA      | $403453.05     | 0.00%             | 2031-07-31      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| EQUINIX EUROPE 2 FINANCING CORP LLC                                                                         | EQUINIX EUROPE 2 FINANCING CORP LLC 5.5% 06/15/2034                                                                              | CUSIP: 29390XAA2<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |      566000 | PA      | $589017.26     | 0.00%             | 2034-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE MTG SECS INC MTG LN TR SER 2006-PR1                                                                | DEUTSCHE MTG SECS INC MTG6-PR1 CWA1 VAR 06/25/2035 144A                                                                          | CUSIP: 25157GCT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       60910 | PA      | $30764.75      | 0.00%             | 2035-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LBA TR 2024-BOLT                                                                                            | LBA TR 2024-BOLT TSFR1M+159.11 06/15/2026 144A                                                                                   | CUSIP: 50177BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      610000 | PA      | $610380.46     | 0.00%             | 2039-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 02/01/2052#QD7596                                                                                                 | CUSIP: 3133B5NM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2393938 | PA      | $2067359.04    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                                                           | CI FINL CORP 7.5% 05/30/2029 144A                                                                                                | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |     2000000 | PA      | $2123485.50    | 0.00%             | 2029-05-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SERVICE EXPERTS ISSUER 2024-1 LLC                                                                           | SERVICE EXPERTS ISSUER 2024-1 LLC 6.39% 11/20/2035 144A                                                                          | CUSIP: 81758FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      146566 | PA      | $150094.17     | 0.00%             | 2035-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.625% 05/31/2031                                                                                                      | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3320000 | PA      | $3478607.82    | 0.01%             | 2031-05-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELM TRUST 2024-ELM                                                                                          | ELM TRUST 2024-ELM VAR 06/10/2027 144A                                                                                           | CUSIP: 26860XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2185000 | PA      | $16963.03      | 0.00%             | 2039-06-10      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ELM TRUST 2024-ELM                                                                                          | ELM TRUST 2024-ELM VAR 06/10/2027 144A                                                                                           | CUSIP: 26860XAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2414000 | PA      | $2814.97       | 0.00%             | 2039-06-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MTG TR 2024-RPL2                                                                         | CHASE HOME LENDING MTG TR 2024-RPL2 A1A VAR 08/25/2064 144A                                                                      | CUSIP: 161930AB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3491542 | PA      | $3155779.29    | 0.01%             | 2064-08-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                                               | BROOKFIELD 24-MF23 E TSFR1M+338.905 06/15/2041 144A                                                                              | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      124000 | PA      | $123845.16     | 0.00%             | 2041-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PRKCM 2024-HOME1 TR                                                                                         | PRKCM 2024-HOME1 TR VAR 05/25/2059 144A                                                                                          | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1954433 | PA      | $1983988.24    | 0.00%             | 2059-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COLT 2024-3 MTG LN TR                                                                                       | COLT 2024-3 MORTGAGE LOAN TRUST 6.393% 06/25/2069 144A                                                                           | CUSIP: 19688VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1536675 | PA      | $1559054.67    | 0.00%             | 2069-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB13 LLC                                                                                          | CFMT 2024-HB13 LLC VAR 05/25/2034 144A                                                                                           | CUSIP: 12530VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1433038 | PA      | $1415054.09    | 0.00%             | 2034-05-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CMALT CITIMORTGAGE ALTERNATIVE LN TR SER 2007 A6                                                            | CMALT CITIMORTGAGE SER 2007 A6 1A21 5.5% 06/25/2037                                                                              | CUSIP: 18976GAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      129381 | PA      | $108037.21     | 0.00%             | 2037-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PGA TR 2024-RSR2                                                                                            | PGA NATIONAL RESORT COMMERCIAL MORTGAGE TRUST 24-RSR2 A TSFR1M+189.09 06/15/2026 144A                                            | CUSIP: 69381CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      120000 | PA      | $120037.50     | 0.00%             | 2039-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MILTONIA MORTGAGE FINANCE SRL                                                                               | MILTONIA MORTGAGE FINANCE SRL STEP 04/28/2062 REGS                                                                               | CUSIP: N/A<br>LEI: 815600BC278905BA4594       | Long             | ABS-CBDO         | CORP              | IT        |      100000 | PA      | $115896.71     | 0.00%             | 2062-04-28      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL2 LLC                                                                                          | PRPM 2024-RPL2 A1 LLC VAR 05/25/2054 144A                                                                                        | CUSIP: 69381DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2942057 | PA      | $2878066.96    | 0.01%             | 2054-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                                                       | FLORIDA PWR and LT CO 5.15% 06/15/2029                                                                                           | CUSIP: 341081GT8<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      925000 | PA      | $961693.09     | 0.00%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                                                       | SUBWAY FDG LLC ISSUER 6.028% 07/30/2054 144A                                                                                     | CUSIP: 864300AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8364510 | PA      | $8459675.54    | 0.02%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                                                       | SUBWAY FDG LLC ISSUER 6.268% 07/30/2054 144A                                                                                     | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5241060 | PA      | $5357710.80    | 0.01%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                                                       | SUBWAY FDG LLC ISSUER 6.505% 07/30/2054 144A                                                                                     | CUSIP: 864300AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4360950 | PA      | $4517838.67    | 0.01%             | 2054-07-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 10/01/2051#FS3201                                                                                                   | CUSIP: 3140XJRX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3090561 | PA      | $2549597.49    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| J P MORGAN MTG TR 2024-HE2                                                                                  | J P MORGAN MTG TR 2024-HE2 SOFR30A+120 10/25/2054 144A                                                                           | CUSIP: 46593HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      470970 | PA      | $471351.39     | 0.00%             | 2054-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NATL MTG AS GTD RE PTT SOFR30A+78 12/25/2047                                                                             | CUSIP: 3136BR5A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1751350 | PA      | $1754689.26    | 0.00%             | 2047-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2007-1                                                                                | BEAR STEARNS ALT-A TR 2007-1 21A1 CSTR 01/25/2047                                                                                | CUSIP: 07386XAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      179148 | PA      | $86558.03      | 0.00%             | 2047-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL QUE                                                                                        | BANK OF MONTREAL QUE 5.511% 06/04/2031                                                                                           | CUSIP: 06368L3L8<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      250000 | PA      | $264475.06     | 0.00%             | 2031-06-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2024-B                                                                                | ARI FLEET LEASE TRUST 2024-B 5.54% 04/15/2033 144A                                                                               | CUSIP: 04033HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      316581 | PA      | $318832.74     | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENPACT LUXEMBOURG SARL / GENPACT USA INC                                                                   | GENPACT LUXEMBOURG SARL / GENPACT USA INC 6% 06/04/2029                                                                          | CUSIP: 37190AAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     2875000 | PA      | $2999353.87    | 0.01%             | 2029-06-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                                                                          | CNO GLOBAL FUNDING 5.875% 06/04/2027 144A                                                                                        | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |      450000 | PA      | $460885.86     | 0.00%             | 2027-06-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXI LTD                                                                               | MADISON PARK FUNDING XXXI LTD B1R TSFR3M+180 07/23/2037 144A                                                                     | CUSIP: 55819DBA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $601356.00     | 0.00%             | 2037-07-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE 2024-2 LLC                                                                                    | PALMER SQUARE 2024-2 LLC B TSFR3M+165 07/20/2037 144A                                                                            | CUSIP: 69703LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250472.50     | 0.00%             | 2037-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SOLVAY FINANCE AMERICA LLC                                                                                  | SOLVAY FINANCE AMERICA LLC 5.65% 06/04/2029 144A                                                                                 | CUSIP: 834423AE5<br>LEI: 54930073OEL5K0Y7NK81 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2077531.98    | 0.00%             | 2029-06-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NATL MTG AS GTD RE PTT SOFR30A+80 01/25/2051                                                                             | CUSIP: 3136BR4S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      697814 | PA      | $699696.25     | 0.00%             | 2051-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+ 03/15/2050                                                                               | CUSIP: 3137HCXU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1950052 | PA      | $1944135.36    | 0.00%             | 2050-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HLTN COML MTG TR 2024-DPLO                                                                                  | HLTN COML MTG TR 2024-DPLO TSFR1M+164.15 06/15/2041 144A                                                                         | CUSIP: 40424UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1601000 | PA      | $1603752.12    | 0.00%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PORT BEAUMONT TX NAV DIST DOCK and WHARF FAC REV                                                            | PORT BEAUMONT T 10% 7/1/2026                                                                                                     | CUSIP: 73360CAS3<br>LEI: 549300G8PKBXALUKJY33 | Long             | DBT              | MUN               | US        |      325000 | PA      | $326199.51     | 0.00%             | 2026-07-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+90 12/15/2050                                                                             | CUSIP: 3137HCY22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1711739 | PA      | $1710145.44    | 0.00%             | 2050-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2021-1 LTD                                                                                     | CIFC FUNDING 2021-1 LTD BR TSFR3M+175 07/25/2037 144A                                                                            | CUSIP: 12563EAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250710.50     | 0.00%             | 2037-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                                                                             | BX TR 2021-ACNT TSFR1M+149.14 07/15/2029 144A                                                                                    | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      899000 | PA      | $896073.67     | 0.00%             | 2041-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX 2024-PALM                                                                                                | BX 2024-PALM TSFR1M+154.1 06/15/2037 144A                                                                                        | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      605769 | PA      | $606147.11     | 0.00%             | 2037-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 10/01/2049#SI2041                                                                                                   | CUSIP: 3133USHS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5643618 | PA      | $5082477.29    | 0.01%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                                              | BURLINGTON NORTHN SANTA FE LLC 5.5% 03/15/2055                                                                                   | CUSIP: 12189LBL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      885000 | PA      | $888797.69     | 0.00%             | 2055-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XXIII LTD                                                                            | ATLAS SENIOR LOAN FUND XXIII LTD B TSFR3M+200 07/20/2037 144A                                                                    | CUSIP: 04942HAE5<br>LEI: 213800M7WM9TKCR3TF76 | Long             | ABS-CBDO         | CORP              | JE        |    14000000 | PA      | $14091826.00   | 0.03%             | 2037-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANSN and INFRASTRUCTURE INVS LLC                                                                 | FORTRESS TRANSN and INFRASTRUCTURE INVS LLC 7% 06/15/2032 144A                                                                   | CUSIP: 34960PAG6<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |      230000 | PA      | $241223.77     | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX 2024-PALM                                                                                                | BX 2024-PALM D TSFR1M+264 06/15/2037 144A                                                                                        | CUSIP: 05612UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2116437 | PA      | $2117614.55    | 0.00%             | 2037-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                                             | PHILIP MORRIS INTL INC 3.75% 01/15/2031                                                                                          | CUSIP: 718172DL0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     2400000 | PA      | $2866461.23    | 0.01%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT PARTNERS XI LTD                                                                                  | OHA CREDIT PARTNERS XI LTD A1R2 TSFR3M+146 04/20/2037 144A                                                                       | CUSIP: 67109FAU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      750000 | PA      | $751641.75     | 0.00%             | 2037-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE LLC                                                                                  | ALLIANT ENERGY FINANCE LLC 5.4% 06/06/2027 144A                                                                                  | CUSIP: 01882YAF3<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |     2150000 | PA      | $2177719.31    | 0.00%             | 2027-06-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                                                           | HYATT HOTELS CORP 5.25% 06/30/2029                                                                                               | CUSIP: 448579AR3<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1955325.17    | 0.00%             | 2029-06-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                                                                    | NEW YORK LIFE GLOBAL FDG 5% 06/06/2029 144A                                                                                      | CUSIP: 64952WFG3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |     3500000 | PA      | $3603920.01    | 0.01%             | 2029-06-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2024-CES3                                                                                    | TOWD POINT MORTGAGE TRUST 2024-CES3 6.29% 05/25/2064 144A                                                                        | CUSIP: 89183EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1335409 | PA      | $1347520.77    | 0.00%             | 2064-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                                                           | HERC HOLDINGS INC 6.625% 06/15/2029 144A                                                                                         | CUSIP: 42704LAE4<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |      150000 | PA      | $155564.40     | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| 1988 CLO 5 LTD / 1988 CLO 5 LLC                                                                             | 1988 CLO 5 LTD / 1988 CLO 5 LLC A1 TSFR3M+154 07/15/2037 144A                                                                    | CUSIP: 68252PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250599.50     | 0.00%             | 2037-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON and CO                                                                                     | BECTON DICKINSON and CO 5.081% 06/07/2029                                                                                        | CUSIP: 075887CU1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |      307000 | PA      | $315905.68     | 0.00%             | 2029-06-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 1.5% 11/01/2035#QN4142                                                                                                 | CUSIP: 3133GAS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       61792 | PA      | $56185.06      | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 1.5% 05/01/2036#BR1069                                                                                                 | CUSIP: 3140KYFK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       51876 | PA      | $46973.91      | 0.00%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 06/01/2036#BR2059                                                                                                 | CUSIP: 3140L0JD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53642 | PA      | $48573.27      | 0.00%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 03/01/2036#BR4700                                                                                                 | CUSIP: 3140L3GJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48144 | PA      | $43640.30      | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 11/01/2035#FM4368                                                                                                 | CUSIP: 3140X72A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30008 | PA      | $27285.02      | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 04/01/2036#FM6100                                                                                                 | CUSIP: 3140X9X67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49894 | PA      | $45226.60      | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 1.5% 03/01/2036#FM6804                                                                                                 | CUSIP: 3140XAR20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13919 | PA      | $12616.75      | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MTG TR 2022-2                                                                                | SG RESIDENTIAL MTG TR 2022-2 VAR 08/25/2062 144A                                                                                 | CUSIP: 78434KAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      485000 | PA      | $481886.25     | 0.00%             | 2062-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM1                                                                   | BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM1 B1 3.172% 02/25/2049 144A                                                              | CUSIP: 10569TAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      491388 | PA      | $433064.22     | 0.00%             | 2049-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PUGET SOUND ENERGY INC                                                                                      | PUGET SOUND ENERGY INC 5.685% 06/15/2054                                                                                         | CUSIP: 745332CN4<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |      931000 | PA      | $944432.97     | 0.00%             | 2054-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUNRUN ARTEMIS ISSUER 2024-2 LLC                                                                            | SUNRUN ARTEMIS ISSUER 2024-2 LLC 6.25% 07/30/2059 144A                                                                           | CUSIP: 86771BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4879142 | PA      | $4930401.23    | 0.01%             | 2059-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MASTEC INC                                                                                                  | MASTEC INC 5.9% 06/15/2029                                                                                                       | CUSIP: 576323AT6<br>LEI: 549300TMDIT8WREDOF45 | Long             | DBT              | CORP              | US        |      610000 | PA      | $637860.43     | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                                                        | DUKE ENERGY CORP NEW 5.8% 06/15/2054                                                                                             | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     2312000 | PA      | $2340445.97    | 0.01%             | 2054-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GROUP INC / COGENT COMMUNICATIONS FINANCE INC                                         | COGENT COMMUNICATIONS GROUP INC / COGENT COMMUNICATIONS FINANCE INC 7% 06/15/2027 144A                                           | CUSIP: 19240WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       75000 | PA      | $74283.08      | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2024-1 US LTD / AASET 2024-1 INTL LTD                                                                 | AASET 2024-1 US LTD / AASET 2024-1 INTL LTD 6.261% 05/16/2049 144A                                                               | CUSIP: 00255JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3462814 | PA      | $3563412.43    | 0.01%             | 2049-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| 1011778 BC UNLIMITED LIABILITY CO                                                                           | RESTAURANT BRANDS TERM B6 1LN 9/20/2030                                                                                          | CUSIP: N/A<br>LEI: 549300RHSHNRWI5LLA86       | Long             | LON              | CORP              | CA        |      220193 | PA      | $219863.08     | 0.00%             | 2030-09-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COMM 2024-WCL1 MTG TR                                                                                       | COMM 2024-WCL1 E MTG TR TSFR1M+448.7 07/15/2034 144A                                                                             | CUSIP: 20047DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      159000 | PA      | $158188.64     | 0.00%             | 2041-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2024-A                                                                    | AFFIRM ASSET SECURITIZATION TRUST 2024-A 5.61% 02/15/2029 144A                                                                   | CUSIP: 00834BAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2300000 | PA      | $2305669.73    | 0.01%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                                                | NEXTERA ENERGY CAP HLDGS INC 6.75%/VAR 06/15/2054                                                                                | CUSIP: 65339KDB3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      260000 | PA      | $279008.34     | 0.00%             | 2054-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| F and G GLOBAL FUNDING                                                                                      | F and G GLOBAL FUNDING 5.875% 06/10/2027 144A                                                                                    | CUSIP: 30321L2G6<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3063426.96    | 0.01%             | 2027-06-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL CORP                                                                                  | PINNACLE WEST CAPITAL CORP FRN SOFR+82 06/10/2026                                                                                | CUSIP: 723484AL5<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |     4100000 | PA      | $4108968.79    | 0.01%             | 2026-06-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL FUNDING                                                                              | PROTECTIVE LIFE GLOBAL FUNDING 5.215% 06/12/2029 144A                                                                            | CUSIP: 74368CBY9<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3103560.54    | 0.01%             | 2029-06-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HOWARD MIDSTREAM ENERGY PARTNERS LLC                                                                        | HOWARD MIDSTREAM ENERGY PARTNERS LLC 7.375% 07/15/2032 144A                                                                      | CUSIP: 442722AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      405000 | PA      | $427472.38     | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MCR 2024-TWA MTG TR                                                                                         | MCR 2024-TWA MTG TR 8.725% 06/12/2039 144A                                                                                       | CUSIP: 582923AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       78000 | PA      | $79096.41      | 0.00%             | 2039-06-12      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| WRANGLER HOLDCO CORP                                                                                        | WRANGLER HOLDCO CORP 6.625% 04/01/2032 144A                                                                                      | CUSIP: 37441QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      880000 | PA      | $923596.08     | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 5.25% 07/01/2029                                                                                              | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     4850000 | PA      | $5005455.60    | 0.01%             | 2029-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMM 2024-WCL1 MTG TR                                                                                       | COMM 2024-WCL1 MTG TR TSFR1M+259 07/15/2034 144A                                                                                 | CUSIP: 20047DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      237000 | PA      | $236111.25     | 0.00%             | 2041-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| COMM 2024-WCL1 MTG TR                                                                                       | COMM 2024-WCL1 MTG TR TSFR1M+184.1 07/15/2034 144A                                                                               | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      400000 | PA      | $400865.08     | 0.00%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MCR 2024-TWA MTG TR                                                                                         | MCR 2024-TWA MTG TR 0.92% 06/12/2039 144A                                                                                        | CUSIP: 582923AV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      783000 | PA      | $6996.89       | 0.00%             | 2039-06-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC                                                        | 1011778 BC ULC/NEW RED FIN INC 6.125% 06/15/2029 144A                                                                            | CUSIP: 68245XAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      280000 | PA      | $288683.64     | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.625% 06/15/2027                                                                                                      | CUSIP: 91282CKV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3477000 | PA      | $3532278.88    | 0.01%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MCR 2024-TWA MTG TR                                                                                         | MCR 2024-TWA MTG TR 5.924% 06/12/2039 144A                                                                                       | CUSIP: 582923AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      170000 | PA      | $172291.80     | 0.00%             | 2039-06-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO III LTD                                                                                         | ELMWOOD CLO III LTD ERR TSFR3M+595 07/18/2037 144A                                                                               | CUSIP: 29002JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      400000 | PA      | $385344.80     | 0.00%             | 2037-07-18      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO III LTD                                                                                         | ELMWOOD CLO III LTD A1RR TSFR3M+138 07/18/2037 144A                                                                              | CUSIP: 29002HAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12000000 | PA      | $12028296.00   | 0.03%             | 2037-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 08/01/2052#SD1939                                                                                                 | CUSIP: 3132DPEL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11592929 | PA      | $11418704.77   | 0.03%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 11/01/2053#RJ0190                                                                                                   | CUSIP: 3142GQF80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1235298 | PA      | $1269942.15    | 0.00%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISS FT BS MTG ACC CRP                                                                              | CREDIT SUISS FT BS MTG ACC CRP 6.5% 12/25/2035                                                                                   | CUSIP: 2254W0NE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      197629 | PA      | $90470.89      | 0.00%             | 2035-12-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 06/01/2054#CB8715                                                                                                   | CUSIP: 3140QUVH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      702190 | PA      | $719238.90     | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                                                                 | MERCHANTS FLEET FUNDING LLC 5.82% 04/20/2037 144A                                                                                | CUSIP: 588926AF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2324442 | PA      | $2339739.24    | 0.01%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 10/01/2053#QH3307                                                                                                 | CUSIP: 3133CFU80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      645237 | PA      | $654756.11     | 0.00%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MCR 2024-TWA MTG TR                                                                                         | MCR 2024-TWA MTG TR 7.402% 06/12/2039 144A                                                                                       | CUSIP: 582923AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240000 | PA      | $242956.30     | 0.00%             | 2039-06-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS MLP                                                                                        | BUCKEYE PARTNERS MLP 6.875% 07/01/2029 144A                                                                                      | CUSIP: 118230AV3<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |      220000 | PA      | $229164.76     | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WHITEBOX CLO I LTD                                                                                          | WHITEBOX CLO I LTD A1RR TSFR3M+132 07/24/2036 144A                                                                               | CUSIP: 96467FAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      411100 | PA      | $411100.00     | 0.00%             | 2036-07-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VFH PARENT LLC / VALOR CO-ISSUER INC                                                                        | VFH PARENT LLC / VALOR CO-ISSUER INC 7.5% 06/15/2031 144A                                                                        | CUSIP: 91824YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      275000 | PA      | $288617.45     | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 06/01/2054#CB8711                                                                                                   | CUSIP: 3140QUVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5259131 | PA      | $5406214.59    | 0.01%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 06/01/2054#CB8729                                                                                                 | CUSIP: 3140QUVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1574309 | PA      | $1633667.25    | 0.00%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITYCON OYJ                                                                                                 | CITYCON OYJ 7.875%/VAR PERP REGS                                                                                                 | CUSIP: N/A<br>LEI: 549300P8N0P6KDGTJ206       | Long             | EP               | CORP              | FI        |      320000 | PA      | $306215.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                                                       | ELECTRICITE DE FRANCE 4.75% 06/17/2044 REGS                                                                                      | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | CORP              | FR        |     1200000 | PA      | $1393817.56    | 0.00%             | 2044-06-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTV SOFTWR INC                                                                               | TAKE-TWO INTERACTV SOFTWR INC 5.6% 06/12/2034                                                                                    | CUSIP: 874054AN9<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |      836000 | PA      | $877639.94     | 0.00%             | 2034-06-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE CORP 2018-1 LTD                                                                             | TOORAK MORTGAGE CORP 2018-1 LTD 3.287% 07/25/2056 144A                                                                           | CUSIP: 89688WAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $81996.99      | 0.00%             | 2056-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TR 2024-5                                                                              | VERUS SECURITIZATION TRUST 2024-5 6.192% 06/25/2069 144A                                                                         | CUSIP: 92540HAA4<br>LEI: 213800YE6HC7EZSFHW30 | Long             | ABS-CBDO         | CORP              | US        |     2570384 | PA      | $2607879.63    | 0.01%             | 2069-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTV SOFTWR INC                                                                               | TAKE-TWO INTERACTV SOFTWR INC 5.4% 06/12/2029                                                                                    | CUSIP: 874054AM1<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |      209000 | PA      | $216599.00     | 0.00%             | 2029-06-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOLIANT LOWER INTERMEDIATE LLC                                                                              | SOLIANT TERM 1LN 07/18/2031                                                                                                      | CUSIP: 83421EAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      409894 | PA      | $343286.60     | 0.00%             | 2031-07-18      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                                                                               | MODIVCARE TERM B 1LN 07/01/2031                                                                                                  | CUSIP: 60783LAC4<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | LON              | CORP              | US        |      603176 | PA      | $247302.20     | 0.00%             | 2031-07-01      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| PROJECT INFINITY                                                                                            | PROJECT INFINITY 12.85% 09/13/2027                                                                                               | CUSIP: 211926AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |      478810 | PA      | $478810.00     | 0.00%             | 2027-09-13      | Fixed         | 0.13%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 07/01/2054#MA5419                                                                                                   | CUSIP: 31418FAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1857174 | PA      | $1857293.59    | 0.00%             | 2054-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JW COMMERCIAL MORTGAGE TRUST 2024-MRCO                                                                      | JW COMMERCIAL MORTGAGE TRUST 2024-MRCO TSFR1M+318.889 06/15/2039 144A                                                            | CUSIP: 46657XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      307000 | PA      | $308717.91     | 0.00%             | 2039-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| JW COMMERCIAL MORTGAGE TRUST 2024-MRCO                                                                      | JW COMMERCIAL MORTGAGE TRUST 2024-MRCO TSFR1M+162.115 06/15/2039 144A                                                            | CUSIP: 46657XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1338000 | PA      | $1338416.65    | 0.00%             | 2039-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO VII DAC                                                                                    | INVESCO EURO CLO VII DAC A 3MEUR+99 01/15/2035 144A                                                                              | CUSIP: N/A<br>LEI: 549300XOAYC161SHT264       | Long             | ABS-CBDO         | CORP              | IE        |     1934000 | PA      | $2237438.40    | 0.01%             | 2035-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-1CHI                                                             | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-1CHI A CSTR 07/15/2035 144A                                                           | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      137000 | PA      | $138189.05     | 0.00%             | 2035-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB14 LLC                                                                                          | CFMT LLC 2024-HB14 M3 3% 06/25/2034 144A                                                                                         | CUSIP: 12530XAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      104000 | PA      | $99459.88      | 0.00%             | 2034-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                                         | GSCOFI SWAP 12/15/56 S                                                                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      300000 | NC      | $-4065.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 04/01/2054#SD5459                                                                                                 | CUSIP: 3132DTB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1538099 | PA      | $1564347.88    | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INC                                                                                       | WILLIAMS SCOTSMAN INC 6.625% 06/15/2029 144A                                                                                     | CUSIP: 96949VAM5<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |      800000 | PA      | $825412.80     | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF 2% 05/25/2045                                                                                         | CUSIP: 3136BBQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1032344 | PA      | $979568.57     | 0.00%             | 2045-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM3 TRUST                                                                                        | GCAT 2021-NQM3 B1 TRUST 3.471% 05/25/2066 144A                                                                                   | CUSIP: 36167HAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $76282.84      | 0.00%             | 2066-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                                                      | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.78% 09/15/2027                                                                          | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      219290 | PA      | $219784.49     | 0.00%             | 2027-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                                                      | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.4% 11/15/2028                                                                           | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      700000 | PA      | $706314.70     | 0.00%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIP TR 2024-2                                                                                       | HPEFS EQUIP TR 2024-2 5.36% 10/20/2031 144A                                                                                      | CUSIP: 40444MAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1500000 | PA      | $1508071.05    | 0.00%             | 2031-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO L P / PTL FIN CORP                                                                  | PENSKE TRUCK LEASING CO LP /CORP 5.25% 07/01/2029 144A                                                                           | CUSIP: 709599CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      350000 | PA      | $360828.76     | 0.00%             | 2029-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VISIO 2022-1 TRUST                                                                                          | VISIO 2022-1 TRUST 6.17204% 08/25/2057 144A                                                                                      | CUSIP: 92838CAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $198249.64     | 0.00%             | 2057-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD                                                                   | NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD AR2 TSFR3M+140 07/18/2038 144A                                                         | CUSIP: 64131JAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4828000 | PA      | $4841301.14    | 0.01%             | 2038-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                                         | GSCOFI SWAP CY885799 12/15/56 S                                                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     2400000 | NC      | $-32521.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROLOGIS INTERNATIONAL FUNDING II SA                                                                        | PROLOGIS INTL FDG II SA 4.375% 07/01/2036 REGS                                                                                   | CUSIP: N/A<br>LEI: 213800JNRWW2C9DWI388       | Long             | DBT              | CORP              | LU        |      200000 | PA      | $240490.94     | 0.00%             | 2036-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                                              | HOME DEPOT INC 4.95% 06/25/2034                                                                                                  | CUSIP: 437076DE9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      750000 | PA      | $771869.69     | 0.00%             | 2034-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM9 TR                                                                                            | OBX 2024-NQM9 A1 TRUST VAR 01/25/2064 144A                                                                                       | CUSIP: 67119DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2972325 | PA      | $3008586.01    | 0.01%             | 2064-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-1                                                      | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-1 B2 SOFR30A+ 05/20/2032 144A                                               | CUSIP: 44644NAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      160180 | PA      | $160597.29     | 0.00%             | 2032-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                                                | NISOURCE INC 5.2% 07/01/2029                                                                                                     | CUSIP: 65473PAS4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     3060000 | PA      | $3160162.09    | 0.01%             | 2029-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                                                                             | SEALED AIR CORP 6.5% 07/15/2032 144A                                                                                             | CUSIP: 812127AC2<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |      260000 | PA      | $269121.81     | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                                              | AIR LEASE CORP 5.3% 06/25/2026                                                                                                   | CUSIP: 00914AAW2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3017886.87    | 0.01%             | 2026-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MGM CHINA HOLDINGS LIMITED                                                                                  | MGM CHINA HOLDINGS LIMITED 7.125% 06/26/2031 REGS                                                                                | CUSIP: N/A<br>LEI: 529900VZFN87OS7WJM66       | Long             | DBT              | CORP              | KY        |      450000 | PA      | $471997.80     | 0.00%             | 2031-06-26      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MASTERBRAND INC                                                                                             | MASTERBRAND INC 7% 07/15/2032 144A                                                                                               | CUSIP: 57638PAA2<br>LEI: 549300E0Y4BR5Z9RDZ64 | Long             | DBT              | CORP              | US        |      505000 | PA      | $520985.78     | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINANCE NORTH AMERICA LLC                                                                    | DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 5.125% 09/25/2027 144A                                                                  | CUSIP: 233853AY6<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |     7852000 | PA      | $7976219.50    | 0.02%             | 2027-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINANCE NORTH AMERICA LLC                                                                    | DAIMLER TRUCKS FINANCE NORTH AMERICA LLC FRN SOFR+96 09/25/2027 144A                                                             | CUSIP: 233853AX8<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3008503.95    | 0.01%             | 2027-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JAZZ FINANCING LUX SARL                                                                                     | JAZZ PHARMACEUTICALS TERM B2 1LN 05/05/2028                                                                                      | CUSIP: N/A<br>LEI: 635400WUEO2NSG5OIU34       | Long             | LON              | CORP              | LU        |      223999 | PA      | $224808.08     | 0.00%             | 2028-05-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY885799 12/15/56 S                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      600000 | NC      | $-8130.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONTINUUM GREEN ENERGY INDIA PVT / CO-ISSUERS                                                               | CONTINUUM GREEN ENERGY INDIA PVT / CO-ISSUERS 7.5% 06/26/2033 REGS                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | IN        |      868050 | PA      | $905728.60     | 0.00%             | 2033-06-26      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                                                     | HYUNDAI CAP AMER FRN SOFR+104 06/24/2027 144A                                                                                    | CUSIP: 44891ADE4<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     3300000 | PA      | $3312222.44    | 0.01%             | 2027-06-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                                                 | NUTRIEN LTD 5.2% 06/21/2027                                                                                                      | CUSIP: 67077MBC1<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     5775000 | PA      | $5870868.52    | 0.01%             | 2027-06-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2019-VI LTD                                                                                    | CIFC FUNDING 2019-VI LTD A1R TSFR3M+145 07/16/2037 144A                                                                          | CUSIP: 12555XAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      310000 | PA      | $310903.96     | 0.00%             | 2037-07-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO VI LTD                                                                                          | ELMWOOD CLO VI LTD ARR TSFR3M+138 07/18/2037 144A                                                                                | CUSIP: 29001VAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250592.00     | 0.00%             | 2037-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AGL CORE CLO 2 LTD / AGL CORE 2 LLC                                                                         | AGL CORE CLO 2 LTD / AGL CORE 2 LLC A1R TSFR3M+146 07/20/2037 144A                                                               | CUSIP: 001200AJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250776.50     | 0.00%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2021-11 LTD                                                                                  | CARLYLE US CLO 2021-11 LTD A1R TSFR3M+141 07/25/2037 144A                                                                        | CUSIP: 143122AJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5360000 | PA      | $5375351.04    | 0.01%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                                                        | ENEL FINANCE INTL NV 5.5% 06/26/2034 144A                                                                                        | CUSIP: 29278GBE7<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      660000 | PA      | $689675.99     | 0.00%             | 2034-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                                                        | ENEL FINANCE INTL NV 5.125% 06/26/2029 144A                                                                                      | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     7130000 | PA      | $7330002.28    | 0.02%             | 2029-06-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                                           | PERU REPUBLIC OF 7.6% 08/12/2039 REGS                                                                                            | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |     2858000 | PA      | $932547.34     | 0.00%             | 2039-08-12      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H4 MORTGAGE TRUST                                                                                | CROSS 2024-H4 A1 MORTGAGE TRUST VAR 07/25/2069 144A                                                                              | CUSIP: 22758HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1703494 | PA      | $1726603.81    | 0.00%             | 2069-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO, LIMIT                                                                              | BAIN CAPITAL CREDIT CLO, LIMIT A1 TSFR3M+152 07/15/2037 144A                                                                     | CUSIP: 056921AA7<br>LEI: 254900KJZFJF5PZOFD13 | Long             | ABS-CBDO         | CORP              | KY        |      380000 | PA      | $381327.34     | 0.00%             | 2037-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 30 LTD / ELMWOOD CLO 30 LLC                                                                     | ELMWOOD CLO 30 LTD / ELMWOOD CLO 30 LLC A TSFR3M+143 07/17/2037 144A                                                             | CUSIP: 29001JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250882.25     | 0.00%             | 2037-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BMD2 RE-REMIC TR 2019-FRR1                                                                                  | BMD2 RE-REMIC TR 2019-FRR1 0% 05/25/2052 144A                                                                                    | CUSIP: 055631BY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3009496.80    | 0.01%             | 2052-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 3 LP                                                                                  | PK ALIFT LOAN FUNDING 3 LP 5.842% 09/15/2039 144A                                                                                | CUSIP: 69291VAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      858704 | PA      | $879799.30     | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                                                  | AVIATION CAPITAL GROUP LLC 5.375% 07/15/2029 144A                                                                                | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     3800000 | PA      | $3901123.13    | 0.01%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP CLO LTD                                                                                                 | OCP CLO LTD AR2 TSFR3M+140 07/20/2037 144A                                                                                       | CUSIP: 67113LAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250849.75     | 0.00%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CLO XVIII LLC                                                                                      | OWL ROCK CLO XVIII LLC A TSFR3M+170 07/24/2036 144A                                                                              | CUSIP: 69122HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $250656.50     | 0.00%             | 2036-07-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.25% 06/30/2031                                                                                                       | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7542400 | PA      | $7763663.39    | 0.02%             | 2031-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY885799 12/15/56 S                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      300000 | NC      | $-4065.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC AMER FDG 2007-1 TR                                                                                     | BANC AMER FDG 2007-1 1A6 TR 5.75% 01/25/2037                                                                                     | CUSIP: 05951FBG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         910 | PA      | $788.13        | 0.00%             | 2037-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REGATTA XXVII FUNDING LTD                                                                                   | REGATTA XXVII FUNDING LTD A1 TSFR3M+153 04/26/2037 144A                                                                          | CUSIP: 758970AA5<br>LEI: 213800A3LAH3GG226R43 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250645.00     | 0.00%             | 2037-04-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTG PASSTHRU TR                                                                               | FIRST HORIZON MTG PASSTHRU TR 2005-AA12 2A1 CSTR 02/25/2036                                                                      | CUSIP: 32051GQ81<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         853 | PA      | $527.68        | 0.00%             | 2036-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OHA CR FDG 17 LLC                                                                                           | OHA CR FDG 17 LLC A TSFR3M+148 04/20/2037 144A                                                                                   | CUSIP: 67109SAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |      250000 | PA      | $250409.50     | 0.00%             | 2037-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEWDAY FDG MASTER ISSUER PLC                                                                                | NEWDAY FDG MASTER ISSUER PLC SONIO+265 07/15/2032 REGS                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |      100000 | PA      | $133313.80     | 0.00%             | 2032-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                                         | GSCOFI SWAP CY885799 12/15/56 S                                                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      900000 | NC      | $-12195.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERDELITE STATIC CLO 2024-1 LTD                                                                             | VERDELITE STATIC CLO 2024-1 LTD A TSFR3M+113 07/20/2032 144A                                                                     | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     3302212 | PA      | $3298952.72    | 0.01%             | 2032-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.81% 06/01/2031#BZ1178                                                                                                | CUSIP: 3140NVJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      261000 | PA      | $273638.82     | 0.00%             | 2031-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NORTHRIVER MIDSTREAM FIN                                                                                    | NORTHRIVER MIDSTREAM FIN 6.75% 07/15/2032 144A                                                                                   | CUSIP: 66679NAB6<br>LEI: 549300SOLNLY3BL6GF18 | Long             | DBT              | CORP              | CA        |      270000 | PA      | $275030.64     | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                                                 | IMPERIAL BRANDS FINANCE PLC 5.875% 07/01/2034 144A                                                                               | CUSIP: 45262BAH6<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     2400000 | PA      | $2513299.13    | 0.01%             | 2034-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC                                                                       | DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC A1R2 TSFR3M+138 07/15/2037 144A                                                            | CUSIP: 26246BAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5727000 | PA      | $5741678.30    | 0.01%             | 2037-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 06/01/2051#FS4922                                                                                                   | CUSIP: 3140XLPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5799620 | PA      | $5242904.24    | 0.01%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PICARD GROUPE SAS                                                                                           | PICARD GROUPE SAS 6.375% 07/01/2029 REGS                                                                                         | CUSIP: N/A<br>LEI: 969500C0PA29TV19CT55       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $120811.65     | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RCI BANQUE S A                                                                                              | RCI BANQUE S A 5.5%/VAR 10/09/2034 REGS                                                                                          | CUSIP: N/A<br>LEI: 96950001WI712W7PQG45       | Long             | DBT              | CORP              | FR        |      400000 | PA      | $485821.35     | 0.00%             | 2034-10-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PRMI SECURITIZATION TR 2024-CMG1                                                                            | PRMI SECURITIZATION TR 2024-CMG1 SOFR30A+130 07/25/2054 144A                                                                     | CUSIP: 74275VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1438005 | PA      | $1439270.52    | 0.00%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                                                        | EDISON INTERNATIONAL 5.45% 06/15/2029                                                                                            | CUSIP: 281020BA4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1524534.77    | 0.00%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                                                                            | VODAFONE GROUP PLC 5.75% 06/28/2054                                                                                              | CUSIP: 92857WCA6<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |      350000 | PA      | $345180.49     | 0.00%             | 2054-06-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 09/01/2047#CA0257                                                                                                 | CUSIP: 3140Q7JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      117223 | PA      | $111010.81     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 10/01/2047#CA0526                                                                                                 | CUSIP: 3140Q7SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      182268 | PA      | $172608.81     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 01/01/2048#CA0990                                                                                                 | CUSIP: 3140Q8C45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      194502 | PA      | $184134.06     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XXV DAC                                                                                         | HARVEST CLO XXV DAC AR 3MEUR+95 10/21/2034 144A                                                                                  | CUSIP: N/A<br>LEI: 6354001WPDJHCROVSI55       | Long             | ABS-CBDO         | CORP              | IE        |     3500000 | PA      | $4048017.88    | 0.01%             | 2034-10-21      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 11/01/2047#ZM4961                                                                                                 | CUSIP: 3131XYQN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       40757 | PA      | $38597.19      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 12/01/2047#ZM5206                                                                                                 | CUSIP: 3131XYYB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9595 | PA      | $9083.37       | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 10/01/2047#ZM4388                                                                                                 | CUSIP: 3131XX2V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7119 | PA      | $6741.72       | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 08/01/2047#ZM3810                                                                                                 | CUSIP: 3131XXGT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12451 | PA      | $11791.14      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 08/01/2047#ZA4942                                                                                                 | CUSIP: 31329NP36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      153983 | PA      | $145822.93     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 08/01/2047#ZM4038                                                                                                 | CUSIP: 3131XXPX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17960 | PA      | $17008.19      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 07/01/2047#ZA4926                                                                                                 | CUSIP: 31329NPK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       98761 | PA      | $93558.42      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 09/01/2047#ZM4140                                                                                                 | CUSIP: 3131XXS51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5526 | PA      | $5233.18       | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                                            | NTT FINANCE CORP 5.136% 07/02/2031 144A                                                                                          | CUSIP: 62954WAN5<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      250000 | PA      | $258086.98     | 0.00%             | 2031-07-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRK 2021-INV2 TRUST                                                                                         | TRK 2021-INV2 B1 TRUST 4.104% 11/25/2056 144A                                                                                    | CUSIP: 87267TAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      148000 | PA      | $127796.00     | 0.00%             | 2056-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3                                                          | CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3 A1A 3.25% 09/25/2064 144A                                                     | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1884456 | PA      | $1705342.64    | 0.00%             | 2064-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OHA LOAN FUNDING 2016-1 LTD                                                                                 | OHA LOAN FUNDING 2016-1 LTD A1R2 TSFR3M+146 07/20/2037 144A                                                                      | CUSIP: 67110UAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250898.75     | 0.00%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ESSENT GROUP LTD                                                                                            | ESSENT GROUP LTD 6.25% 07/01/2029                                                                                                | CUSIP: 29669JAA7<br>LEI: 254900QUO860OUT6ZF83 | Long             | DBT              | CORP              | BM        |     3000000 | PA      | $3135773.28    | 0.01%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES COMMERCIAL MORTGAGE TRUST 2024-IND                                                                     | ARES COMMERCIAL MORTGAGE TRUST 2024-IND A TSFR1M+169.163 07/15/2041 144A                                                         | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      430000 | PA      | $430402.22     | 0.00%             | 2041-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6% 06/20/2054#MA9726                                                                                                     | CUSIP: 36179YYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      416773 | PA      | $426215.31     | 0.00%             | 2054-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 06/01/2054#MA5389                                                                                                   | CUSIP: 31418E7B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      372147 | PA      | $381624.69     | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL CO LTD                                                                                | TAKEDA PHARMACEUTICAL CO LTD 5.65% 07/05/2044                                                                                    | CUSIP: 874060BL9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |      292000 | PA      | $299204.24     | 0.00%             | 2044-07-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                                                  | MIZUHO FINL GROUP INC 5.382%/VAR 07/10/2030                                                                                      | CUSIP: 60687YDF3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     3000000 | PA      | $3113201.01    | 0.01%             | 2030-07-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                                                         | NOMURA HOLDINGS INC FRN SOFR+125 07/02/2027                                                                                      | CUSIP: 65535HBQ1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     3000000 | PA      | $3027303.12    | 0.01%             | 2027-07-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 06/01/2063#BF0733                                                                                                   | CUSIP: 3140FXY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2534949 | PA      | $2208436.96    | 0.00%             | 2063-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL INC                                                                                  | MONDELEZ INTL INC 4.625% 07/03/2031                                                                                              | CUSIP: 609207BD6<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |     4100000 | PA      | $3067692.20    | 0.01%             | 2031-07-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AASET 2024-1 US LTD / AASET 2024-1 INTL LTD                                                                 | AASET 2024-1 US LTD / AASET 2024-1 INTL LTD 6.261% 05/16/2049 144A                                                               | CUSIP: 00255JAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3112569 | PA      | $3202992.45    | 0.01%             | 2049-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 07/01/2052#CB4121                                                                                                   | CUSIP: 3140QPSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      731208 | PA      | $697778.32     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM2 TR                                                                                           | PRPM 2024-NQM2 A1 TR VAR 06/25/2069 144A                                                                                         | CUSIP: 74448PAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2163463 | PA      | $2198396.08    | 0.00%             | 2069-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 10/01/2052#SD5202                                                                                                   | CUSIP: 3132DSX72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6091580 | PA      | $5813082.41    | 0.01%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BFLD 2024-WRHS                                                                                              | BFLD 2024-WRHS A TSFR1M+149.21 08/15/2026 144A                                                                                   | CUSIP: 05555HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      834297 | PA      | $834297.08     | 0.00%             | 2039-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CANO HEALTH LLC                                                                                             | CANO HEALTH LLC WT                                                                                                               | CUSIP: N/A<br>LEI: 254900OGI2T8V1NXN639       | Long             | EC               | CORP              | US        |         279 | NS      | $862.11        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2022-4                                                                   | ELLINGTON FINANCIAL MORTGAGE TRUST 2022-4 B2 CSTR 09/25/2067 144A                                                                | CUSIP: 268432AF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      111000 | PA      | $108160.84     | 0.00%             | 2067-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TIAA CLO IV LTD                                                                                             | TIAA CLO IV LTD A1AR TSFR3M+114 01/20/2032 144A                                                                                  | CUSIP: 88631YAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1456642 | PA      | $1457230.07    | 0.00%             | 2032-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST                                                                                                  | BFLD TRUST 2024-VICT A TSFR1M+189 07/15/2041 144A                                                                                | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2906000 | PA      | $2915064.10    | 0.01%             | 2041-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-BPRC                                                             | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-BPRC 6.2153% 07/15/2043 144A                                                          | CUSIP: 95004AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      415000 | PA      | $425997.04     | 0.00%             | 2043-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-BPRC                                                             | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-BPRC VAR 07/15/2043 144A                                                              | CUSIP: 95004AAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3278000 | PA      | $27579.13      | 0.00%             | 2043-07-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-BPRC                                                             | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-BPRC 6.4319% 07/15/2043 144A                                                          | CUSIP: 95004AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      264000 | PA      | $269953.73     | 0.00%             | 2043-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-BPRC                                                             | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-BPRC 7.0816% 07/15/2043 144A                                                          | CUSIP: 95004AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      110000 | PA      | $113006.29     | 0.00%             | 2043-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 07/01/2054#CB8850                                                                                                   | CUSIP: 3140QUZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3898157 | PA      | $4056209.60    | 0.01%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 07/01/2054#CB8867                                                                                                 | CUSIP: 3140QUZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6826863 | PA      | $7198403.07    | 0.02%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FIBERCOP SPA                                                                                                | FIBERCOP SPA 6.375% 11/15/2033 144A                                                                                              | CUSIP: 683879AB6<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |      275000 | PA      | $269305.61     | 0.00%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ONNI COMMERICAL MORTGAGE TRUST 2024-APT                                                                     | ONNI COMMERICAL MORTGAGE TRUST 2024-APT VAR 07/15/2039 144A                                                                      | CUSIP: 682939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $101840.19     | 0.00%             | 2039-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                                                         | SUMITOMO MITSUI FINL GRP INC 5.316% 07/09/2029                                                                                   | CUSIP: 86562MDM9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     6100000 | PA      | $6339887.44    | 0.01%             | 2029-07-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                                                         | SUMITOMO MITSUI FINL GRP INC 5.424% 07/09/2031                                                                                   | CUSIP: 86562MDN7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     1500000 | PA      | $1577299.73    | 0.00%             | 2031-07-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK III LTD                                                                                      | SANDSTONE PEAK III LTD A1 TSFR3M+163 04/25/2037 144A                                                                             | CUSIP: 799928AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2005922.00    | 0.00%             | 2037-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LCM 31 LTD                                                                                                  | LCM 31 LTD AR TSFR3M+128 07/20/2034 144A                                                                                         | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4500000 | PA      | $4501638.00    | 0.01%             | 2034-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 07/01/2054#CB8821                                                                                                   | CUSIP: 3140QUYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4458169 | PA      | $4612108.32    | 0.01%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMBER FINCO PLC                                                                                             | AMBER FINCO PLC 6.625% 07/15/2029 REGS                                                                                           | CUSIP: N/A<br>LEI: 9845004C0870D380O790       | Long             | DBT              | CORP              | GB        |      135000 | PA      | $164421.37     | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENERATE CLO 4 LTD / GENERATE CLO 4 LLC                                                                     | GENERATE CLO 4 LTD / GENERATE CLO 4 LLC ARR TSFR3M+143 07/20/2037 144A                                                           | CUSIP: 37148BAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501920.50     | 0.00%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 07/01/2054#CB8875                                                                                                 | CUSIP: 3140QU2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1803442 | PA      | $1871440.00    | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SIXTH STR CLO IX LTD/LLC                                                                                    | SIXTH STR CLO IX LTD/LLC AR TSFR3M+138 07/21/2037 144A                                                                           | CUSIP: 83012CAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250695.00     | 0.00%             | 2037-07-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 06/01/2054#CB8689                                                                                                 | CUSIP: 3140QUUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3396302 | PA      | $3454263.78    | 0.01%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 07/01/2054#CB8857                                                                                                   | CUSIP: 3140QUZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2725315 | PA      | $2801534.44    | 0.01%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.375% 07/15/2027                                                                                                      | CUSIP: 91282CKZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    45460000 | PA      | $46053975.81   | 0.10%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                                                                         | JAPAN GOVERNMENT OF 2.2% 06/20/2054                                                                                              | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   410000000 | PA      | $2086156.01    | 0.00%             | 2054-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CALI 2024-SUN                                                                                               | CALI 2024-SUN TSFR1M+189.107 07/15/2041 144A                                                                                     | CUSIP: 12988DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      320000 | PA      | $320199.49     | 0.00%             | 2041-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EDENBROOK MORTGAGE FUNDING PLC                                                                              | EDENBROOK MORTGAGE FUNDING PLC STEP 03/22/2057 REGS                                                                              | CUSIP: N/A<br>LEI: 635400URO7UOS6PWLH17       | Long             | ABS-CBDO         | CORP              | GB        |       99231 | PA      | $133065.70     | 0.00%             | 2057-03-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                                                          | BANCO SANTANDER SA 5.365%/VAR 07/15/2028                                                                                         | CUSIP: 05964HBF1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     4000000 | PA      | $4077442.64    | 0.01%             | 2028-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                                                          | BANCO SANTANDER SA 5.439% 07/15/2031                                                                                             | CUSIP: 05964HBG9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     4400000 | PA      | $4639191.26    | 0.01%             | 2031-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 5.05% 07/12/2029                                                                                                    | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     6747000 | PA      | $6971813.82    | 0.02%             | 2029-07-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                                                   | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.95%/VAR 03/10/2055                                                          | CUSIP: 00774MBK0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      150000 | PA      | $157307.49     | 0.00%             | 2055-03-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 5.15% 11/15/2031                                                                                                    | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      470000 | PA      | $490429.17     | 0.00%             | 2031-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 02/01/2043#ZS3684                                                                                                 | CUSIP: 3132A4CV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1435952 | PA      | $1369579.11    | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 09/01/2042#ZS3589                                                                                                 | CUSIP: 3132A37A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2014680 | PA      | $1921226.74    | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 5.05% 07/12/2027                                                                                                    | CUSIP: 11135FBZ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      600000 | PA      | $610209.07     | 0.00%             | 2027-07-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KRATON CORP                                                                                                 | KRATON CORP 5% 07/15/2027 144A                                                                                                   | CUSIP: 50077CAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3045861.15    | 0.01%             | 2027-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY                                                                                   | SAUDI ARABIAN OIL COMPANY 5.25% 07/17/2034 144A                                                                                  | CUSIP: 80414L2N4<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     3000000 | PA      | $3093240.00    | 0.01%             | 2034-07-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF4 LLC                                                                                          | PRPM 2024-RCF4 A1 LLC VAR 07/25/2054 144A                                                                                        | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3781994 | PA      | $3740095.25    | 0.01%             | 2054-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 17 LTD / AIMCO CLO 17 LLC                                                                         | AIMCO CLO 17 LTD / AIMCO CLO 17 LLC A1R TSFR3M+135 07/20/2037 144A                                                               | CUSIP: 00889JAK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     4828000 | PA      | $4842788.16    | 0.01%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RESIDEO FUNDING INC                                                                                         | RESIDEO FUNDING INC 6.5% 07/15/2032 144A                                                                                         | CUSIP: 76119LAD3<br>LEI: 5493000IFJ6XJKH66598 | Long             | DBT              | CORP              | US        |      355000 | PA      | $363433.38     | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                                                      | LOGICOR FINANCING SARL 4.25% 07/18/2029 REGS                                                                                     | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |      280000 | PA      | $336599.97     | 0.00%             | 2029-07-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | RFR USD SOFR-3.75000 12/18/24 10Y LCH                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    16390000 | NC      | $127503.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1                                                    | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1 VAR 09/25/2068 144A                                                     | CUSIP: 61775VAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $100441.39     | 0.00%             | 2068-09-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL PARIS                                                                                | BANQUE FED CRED MUTUEL PARIS FRN SOFRINDX+107 02/16/2028 144A                                                                    | CUSIP: 06675DCL4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |     2000000 | PA      | $2011502.24    | 0.00%             | 2028-02-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                                              | EUROPEAN UNION 2.875% 10/05/2029 REGS                                                                                            | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | LU        |    19500000 | PA      | $23036483.59   | 0.05%             | 2029-10-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021                                                                             | VERUS SECURITIZATION TRUST 2021 3.203% 06/25/2066 144A                                                                           | CUSIP: 92539LAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $76048.61      | 0.00%             | 2066-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2022-4                                                               | VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2022-4 VAR 08/25/2052 144A                                                                | CUSIP: 92259KAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66427 | PA      | $64641.40      | 0.00%             | 2052-08-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST 2019-2                                                                      | RESIDENTIAL MORTGAGE LOAN TRUST 2019-2 6.037% 05/25/2059 144A                                                                    | CUSIP: 76119DAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      540000 | PA      | $535607.75     | 0.00%             | 2059-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CONE TR 2024-DFW1                                                                                           | CONE TR 2024-DFW1 E TSFR1M+388.79 08/15/2026 144A                                                                                | CUSIP: 20682AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      315000 | PA      | $314410.60     | 0.00%             | 2041-08-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 06/01/2053#FS6793                                                                                                   | CUSIP: 3140XNRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      349920 | PA      | $334796.83     | 0.00%             | 2053-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 11/01/2053#RJ0135                                                                                                   | CUSIP: 3142GQEH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      898910 | PA      | $857532.52     | 0.00%             | 2053-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 01/01/2054#CB7923                                                                                                   | CUSIP: 3140QTYV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5946968 | PA      | $5673223.05    | 0.01%             | 2054-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 08/01/2052#QE7991                                                                                                   | CUSIP: 3133BH2Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2350423 | PA      | $2251779.29    | 0.01%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 08/01/2052#BW6180                                                                                                   | CUSIP: 3140MX2N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      296712 | PA      | $283888.22     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 10/01/2053#RJ0049                                                                                                   | CUSIP: 3142GQBT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9039820 | PA      | $9057351.72    | 0.02%             | 2053-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 09/01/2053#SD4998                                                                                                   | CUSIP: 3132DSRT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5576819 | PA      | $5587634.34    | 0.01%             | 2053-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 12/01/2053#SD4987                                                                                                   | CUSIP: 3132DSRG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1133919 | PA      | $1138244.64    | 0.00%             | 2053-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 07/01/2054#SD8446                                                                                                 | CUSIP: 3132DWL35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9949836 | PA      | $10081550.74   | 0.02%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 06/01/2052#QE4613                                                                                                   | CUSIP: 3133BEDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      151374 | PA      | $145115.28     | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 06/01/2052#RA7485                                                                                                   | CUSIP: 3133KPJ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       86473 | PA      | $82978.69      | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 09/01/2052#RA7920                                                                                                   | CUSIP: 3133KPYR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      246257 | PA      | $235922.42     | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 03/01/2053#SD3107                                                                                                   | CUSIP: 3132DQNY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      228729 | PA      | $219844.49     | 0.00%             | 2053-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 01/01/2053#QF5422                                                                                                   | CUSIP: 3133BTAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      723064 | PA      | $692039.88     | 0.00%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 10/01/2048#FS1044                                                                                                   | CUSIP: 3140XGES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       88986 | PA      | $86252.20      | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 08/01/2052#SD1488                                                                                                   | CUSIP: 3132DNUM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       89608 | PA      | $85986.96      | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 11/01/2051#BU3612                                                                                                   | CUSIP: 3140M5AN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      648695 | PA      | $619443.45     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 10/01/2052#SD5321                                                                                                   | CUSIP: 3132DS4E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      113056 | PA      | $108382.09     | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 07/01/2052#BV2634                                                                                                   | CUSIP: 3140MF4U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      683459 | PA      | $655202.63     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 09/01/2052#FS3392                                                                                                   | CUSIP: 3140XJXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84518 | PA      | $81129.75      | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 06/01/2052#BW1463                                                                                                   | CUSIP: 3140MSTV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89229 | PA      | $85149.77      | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 04/01/2052#BV9499                                                                                                   | CUSIP: 3140MPRV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      148572 | PA      | $141826.39     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 07/01/2052#QE5566                                                                                                   | CUSIP: 3133BFFF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1088542 | PA      | $1042517.51    | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 09/01/2053#CB7216                                                                                                   | CUSIP: 3140QTAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26699 | PA      | $25495.43      | 0.00%             | 2053-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 10/01/2052#SD1967                                                                                                   | CUSIP: 3132DPFG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      234322 | PA      | $224415.01     | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 08/01/2052#SD4554                                                                                                   | CUSIP: 3132DSBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      810713 | PA      | $773648.31     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 09/01/2052#BW8859                                                                                                   | CUSIP: 3140N1ZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      475019 | PA      | $455676.72     | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                                                                         | JAPAN GOVERNMENT OF 1.9% 06/20/2044                                                                                              | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   510000000 | PA      | $2876543.00    | 0.01%             | 2044-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CONE TR 2024-DFW1                                                                                           | CONE TR 2024-DFW1 A TSFR1M+164.173 08/15/2026 144A                                                                               | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      320000 | PA      | $319600.48     | 0.00%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 08/01/2052#SD3246                                                                                                   | CUSIP: 3132DQTB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6608344 | PA      | $6341327.61    | 0.01%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 4.979%/VAR 07/22/2028                                                                                      | CUSIP: 46647PEL6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1161000 | PA      | $1178390.27    | 0.00%             | 2028-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO FRN SOFR+93 07/22/2028                                                                                     | CUSIP: 46647PEM4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4021522.72    | 0.01%             | 2028-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 4.995%/VAR 07/22/2030                                                                                      | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     6192000 | PA      | $6371364.04    | 0.01%             | 2030-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 5.294%/VAR 07/22/2035                                                                                      | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      291000 | PA      | $303400.69     | 0.00%             | 2035-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT VAR 09/16/2063                                                                                    | CUSIP: 38381JDG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       53348 | PA      | $48395.45      | 0.00%             | 2063-09-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ELFI GRADUATE LOAN PROGRAM 2024-A LLC                                                                       | ELFI GRADUATE LOAN PROGRAM 2024-A LLC 5.56% 08/25/2049 144A                                                                      | CUSIP: 28627LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      960648 | PA      | $983286.30     | 0.00%             | 2049-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD / AIRCASTLE IRELAND DAC                                                                       | AIRCASTLE LTD / AIRCASTLE IRELAND DAC 5.75% 10/01/2031 144A                                                                      | CUSIP: 00929JAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     1700000 | PA      | $1777144.95    | 0.00%             | 2031-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 6.85%/VAR PERP                                                                                            | CUSIP: 95002YAC7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |      930000 | PA      | $974171.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 5.33%/VAR 07/23/2035                                                                               | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2380000 | PA      | $2469945.10    | 0.01%             | 2035-07-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 5.049%/VAR 07/23/2030                                                                              | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      421000 | PA      | $432491.43     | 0.00%             | 2030-07-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-5C1                                                                            | WELLS FARGO COML MTG TR 2024-5C1 5.928% 07/15/2057                                                                               | CUSIP: 95003VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1900000 | PA      | $1995205.77    | 0.00%             | 2057-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALBACORE EURO CLO IV DAC                                                                                    | ALBACORE EURO CLO IV DAC AR 3MEUR+99 07/15/2035 144A                                                                             | CUSIP: N/A<br>LEI: 635400OMGYX1QQYCTI48       | Long             | ABS-CBDO         | CORP              | IE        |      999913 | PA      | $1159400.19    | 0.00%             | 2035-07-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-2 DESIGNATED ACTIVITY CO                                           | PALMER SQUARE EUROPEAN LOAN FUNDING 2024-2 DESIGNATED ACTIVITY CO A 3MEUR+99 05/15/2034 144A                                     | CUSIP: N/A<br>LEI: 254900G4AVDGFB7U1712       | Long             | ABS-CBDO         | CORP              | IE        |     3939623 | PA      | $4570573.97    | 0.01%             | 2034-05-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                                                                           | GEO GROUP INC/THE 10.25% 04/15/2031                                                                                              | CUSIP: 36162JAH9<br>LEI: 5493003VOR6NTY465495 | Long             | DBT              | CORP              | US        |       55000 | PA      | $60351.39      | 0.00%             | 2031-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                                                                           | GEO GROUP INC/THE 8.625% 04/15/2029                                                                                              | CUSIP: 36162JAG1<br>LEI: 5493003VOR6NTY465495 | Long             | DBT              | CORP              | US        |      275000 | PA      | $289781.25     | 0.00%             | 2029-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDCO SARL                                                                              | GREENSAIF PIPELINES BIDCO SARL 6.1027% 08/23/2042 144A                                                                           | CUSIP: 39541EAE3<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |     3525000 | PA      | $3677033.25    | 0.01%             | 2042-08-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 5.32%/VAR 07/19/2035                                                                                              | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      550000 | PA      | $571197.88     | 0.00%             | 2035-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 5.042%/VAR 07/19/2030                                                                                             | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     7761000 | PA      | $7978270.98    | 0.02%             | 2030-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EDGEWATER GENERATION LLC                                                                                    | EDGEWATER GENERATION TERM B 1LN 8/1/2030                                                                                         | CUSIP: 28031FAJ9<br>LEI: 5493004PLDT1L28SWG83 | Long             | LON              | CORP              | US        |       54547 | PA      | $54720.46      | 0.00%             | 2030-08-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DRYDEN 108 CLO LTD / DRYDEN 108 CLO LLC                                                                     | DRYDEN 108 CLO LTD / DRYDEN 108 CLO LLC A1R TSFR3M+136 07/18/2037 144A                                                           | CUSIP: 26253MAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     8569000 | PA      | $8591947.78    | 0.02%             | 2037-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 07/01/2054#CB8874                                                                                                 | CUSIP: 3140QU2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1579070 | PA      | $1638608.35    | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 06/01/2054#CB8727                                                                                                 | CUSIP: 3140QUVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      942490 | PA      | $978025.98     | 0.00%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES5                                                                               | RCKT MORTGAGE TRUST 2024-CES5 A1A STEP 08/25/2044 144A                                                                           | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1031164 | PA      | $1041869.38    | 0.00%             | 2044-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                                                                | RFR USD SOFR-3.69392 09/03/24 7Y CME                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -8625000 | NC      | $-29058.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6.5% 07/01/2054#QI9064                                                                                                 | CUSIP: 3133WGB95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49627 | PA      | $51777.48      | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-3                                                                            | TOWD POINT MORTGAGE TRUST 2024-3 5.1% 07/25/2065 144A                                                                            | CUSIP: 89183FAP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3018450 | PA      | $3056362.56    | 0.01%             | 2065-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DRYDEN 73 EURO CLO 2019 BV                                                                                  | DRYDEN 73 EURO CLO 2019 BV A1 3MEUR+94 01/15/2034 144A                                                                           | CUSIP: N/A<br>LEI: 7245006HR170Y6CVKT47       | Long             | ABS-CBDO         | CORP              | IE        |     3283380 | PA      | $3808174.26    | 0.01%             | 2034-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-7                                                             | CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-7 A11 6.64343% 06/25/2055 144A                                                     | CUSIP: 16159TAP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3737072 | PA      | $3749117.06    | 0.01%             | 2055-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                                              | US BANCORP DEL 5.1%/VAR 07/23/2030                                                                                               | CUSIP: 91159HJS0<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      425000 | PA      | $438409.79     | 0.00%             | 2030-07-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2024-R05                                                                | CONNECTICUT AVENUE SECURITIES TRUST 2024-R05 2M2 SOFR30A+170 07/25/2044 144A                                                     | CUSIP: 20754XAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $250303.45     | 0.00%             | 2044-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                                                | SM ENERGY CO 6.75% 08/01/2029 144A                                                                                               | CUSIP: 78454LAX8<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |      390000 | PA      | $389506.92     | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.125% 07/31/2031                                                                                                      | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   232900000 | PA      | $238219342.84  | 0.54%             | 2031-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 06/20/2054#MA9719                                                                                                   | CUSIP: 36179YYQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       62458 | PA      | $54337.45      | 0.00%             | 2054-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 07/20/2054#MA9773                                                                                                   | CUSIP: 36179Y2E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      678310 | PA      | $590114.92     | 0.00%             | 2054-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MFRA TRST                                                                                                   | MFRA TRUST VAR 02/25/2066 144A                                                                                                   | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3413696 | PA      | $3272151.15    | 0.01%             | 2066-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GRIFOLS SA                                                                                                  | GRIFOLS SA 7.5% 05/01/2030 REGS                                                                                                  | CUSIP: N/A<br>LEI: 959800HSSNXWRKBK4N60       | Long             | DBT              | CORP              | ES        |      973000 | PA      | $1184610.34    | 0.00%             | 2030-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4                                                               | GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4 STEP 09/25/2061 144A                                                               | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6275842 | PA      | $6187137.06    | 0.01%             | 2061-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6% 07/20/2054#MA9780                                                                                                     | CUSIP: 36179Y2M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3494519 | PA      | $3567133.53    | 0.01%             | 2054-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NYMT 2024-RR1 TRUST                                                                                         | NYMT 2024-RR1 TRUST 7.375% 05/25/2064 144A                                                                                       | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      317465 | PA      | $320435.27     | 0.00%             | 2064-05-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                                                      | VENTURE GLOBAL LNG INC 7% 01/15/2030 144A                                                                                        | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     2262000 | PA      | $2219011.05    | 0.01%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                                                         | AMERICAN EXPRESS CO FRN SOFR+93 07/26/2028                                                                                       | CUSIP: 025816DX4<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     3700000 | PA      | $3718796.00    | 0.01%             | 2028-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                                                 | NATIONWIDE BUILDING SOC(UNGTD) 5.127% 07/29/2029 144A                                                                            | CUSIP: 63861VAK3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |      297000 | PA      | $306466.65     | 0.00%             | 2029-07-29      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-1 LTD                                                                                  | EATON VANCE CLO 2020-1 LTD ARR TSFR3M+139 10/15/2037 144A                                                                        | CUSIP: 278300AS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3921000 | PA      | $3927422.60    | 0.01%             | 2037-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 09/01/2053#SD7565                                                                                                 | CUSIP: 3132DVMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7096510 | PA      | $7293019.25    | 0.02%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                                                   | OCCIDENTAL PETROLEUM CORP 5.2% 08/01/2029                                                                                        | CUSIP: 674599EJ0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     6150000 | PA      | $6303208.80    | 0.01%             | 2029-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2024-1 CLASS A PASS THROUGH TRUST                                                           | UNITED AIRLINES 2024-1 CLASS A PASS THROUGH TRUST 5.45% 08/15/2038                                                               | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      594761 | PA      | $616381.86     | 0.00%             | 2038-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 5.75% 07/15/2064                                                                                          | CUSIP: 91324PFM9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      250000 | PA      | $250612.22     | 0.00%             | 2064-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 5.625% 07/15/2054                                                                                         | CUSIP: 91324PFL1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      880000 | PA      | $881589.24     | 0.00%             | 2054-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 5.5% 07/15/2044                                                                                           | CUSIP: 91324PFK3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     4505000 | PA      | $4540385.15    | 0.01%             | 2044-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 4.8% 01/15/2030                                                                                           | CUSIP: 91324PFG2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     6450000 | PA      | $6625218.77    | 0.01%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRALEE CLO VI LTD                                                                                           | TRALEE CLO VI LTD A1RR TSFR3M+122 10/25/2032 144A                                                                                | CUSIP: 89289EBL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3017128 | PA      | $3018041.85    | 0.01%             | 2032-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2024-AIRC                                                                      | BX COMMERCIAL MORTGAGE TRUST 2024-AIRC TSFR1M+169.124 08/15/2039 144A                                                            | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5489849 | PA      | $5496699.51    | 0.01%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| USAA AUTO OWNER TR 2024-A                                                                                   | USAA AUTO OWNER TR 2024-A 5.03% 03/15/2029 144A                                                                                  | CUSIP: 90327VAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2700000 | PA      | $2721877.02    | 0.01%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EQT TR 2024-EXTR                                                                                            | EQT TR 2024-EXTR A VAR 07/05/2041 144A                                                                                           | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      705000 | PA      | $722856.52     | 0.00%             | 2041-07-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                                                                         | CLYDESDALE ACQUISITION HOLDINGS INC 6.875% 01/15/2030 144A                                                                       | CUSIP: 18972EAC9<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |      300000 | PA      | $304593.00     | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 06/01/2052#SD1082                                                                                                   | CUSIP: 3132DNFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1952078 | PA      | $1750053.88    | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 03/01/2052#RA6926                                                                                                   | CUSIP: 3133KNVT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      592628 | PA      | $531296.13     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 10/01/2051#CB1872                                                                                                   | CUSIP: 3140QMCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4261533 | PA      | $3823162.76    | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 03/01/2052#FS0840                                                                                                   | CUSIP: 3140XF5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2205214 | PA      | $1976992.31    | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 02/01/2052#FS0898                                                                                                   | CUSIP: 3140XF7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5112162 | PA      | $4583095.19    | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PLANO HOLDCO INC                                                                                            | PERFICIENT TERM B 1LN 10/02/2031                                                                                                 | CUSIP: 72712EAB3<br>LEI: 254900C53JLEP3CCOQ10 | Long             | LON              | CORP              | US        |       74625 | PA      | $72479.53      | 0.00%             | 2031-10-02      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GROUP 1 AUTOMOTIVE INC                                                                                      | GROUP 1 AUTOMOTIVE INC 6.375% 01/15/2030 144A                                                                                    | CUSIP: 398905AQ2<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |      370000 | PA      | $380096.56     | 0.00%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHASE MTG FIN TR SER 2007-S5                                                                                | CHASE MTG FIN TR SER 2007-S5 6% 07/25/2037                                                                                       | CUSIP: 161631AK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2467335 | PA      | $1042708.03    | 0.00%             | 2037-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2024-R1                                                                                           | CIM TRUST 2024-R1 4.75% 06/25/2064 144A                                                                                          | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7157686 | PA      | $7193887.13    | 0.02%             | 2064-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-1                                                                        | CITIGROUP MORTGAGE LOAN TRUST 2024-1 SOFR30A+135 07/25/2054 144A                                                                 | CUSIP: 17332CBX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4067498 | PA      | $4081416.69    | 0.01%             | 2054-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PG and E RECOVERY FUNDING LLC                                                                               | PG and E RECOVERY FUNDING LLC 4.838% 06/01/2035                                                                                  | CUSIP: 71710TAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3123471 | PA      | $3188572.82    | 0.01%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PG and E RECOVERY FUNDING LLC                                                                               | PG and E RECOVERY FUNDING LLC 5.529% 06/01/2051                                                                                  | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      415000 | PA      | $424161.47     | 0.00%             | 2051-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PG and E RECOVERY FUNDING LLC                                                                               | PG and E RECOVERY FUNDING LLC 5.231% 06/01/2042                                                                                  | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      345000 | PA      | $355606.75     | 0.00%             | 2042-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XV LTD                                                                               | ATLAS SENIOR LOAN FUND XV LTD A1R TSFR3M+122 10/23/2032 144A                                                                     | CUSIP: 04942MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3917578 | PA      | $3922001.20    | 0.01%             | 2032-10-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMM 2024-277P MORTGAGE TRUST                                                                               | COMM 2024-277P A 6.338% 08/10/2044 144A                                                                                          | CUSIP: 12654FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1800000 | PA      | $1899345.06    | 0.00%             | 2044-08-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NYC 2024-3ELV                                                                                               | NYC 2024-3ELV A TSFR1M+199.094 08/15/2029 144A                                                                                   | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100331.92     | 0.00%             | 2029-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BLUEBERRY PARK CLO LTD                                                                                      | BLUEBERRY PARK CLO LTD A TSFR3M+135 10/20/2037 144A                                                                              | CUSIP: 09609QAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     4323000 | PA      | $4334161.99    | 0.01%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMM 2024-277P MORTGAGE TRUST                                                                               | COMM 2024-277P X MORTGAGE TRUST VAR 08/10/2044 144A                                                                              | CUSIP: 12654FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5900000 | PA      | $143967.67     | 0.00%             | 2044-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DBGS 2024-SBL MTG TR                                                                                        | DBGS 2024-SBL A TSFR1M+188.21 08/15/2039 144A                                                                                    | CUSIP: 23306QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      812000 | PA      | $811492.50     | 0.00%             | 2034-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO II                                                                                           | 37 CAPITAL CLO II A1R TSFR3M+129 07/15/2034 144A                                                                                 | CUSIP: 88429PAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     4250000 | PA      | $4254806.75    | 0.01%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SHOWTIME ACQUISITION LLC                                                                                    | WORLD CHOICE INVESTMENTS TERM B 1LN 8/16/2031                                                                                    | CUSIP: 82540EAC8<br>LEI: 54930002EOYTEFEJFW69 | Long             | LON              | CORP              | US        |      232806 | PA      | $228149.94     | 0.00%             | 2031-08-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                                                             | PERMIAN RESOURCES OPERATING LLC 6.25% 02/01/2033 144A                                                                            | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      355000 | PA      | $363847.67     | 0.00%             | 2033-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO 8                                                                                          | OCEAN TRAILS CLO 8 ARR TSFR3M+129 07/15/2034 144A                                                                                | CUSIP: 67514UAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6000000 | PA      | $6005418.00    | 0.01%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PFP 2024-11 LTD                                                                                             | PFP 2024-11 LTD A TSFR1M+183.239 09/17/2039 144A                                                                                 | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4321906 | PA      | $4334398.28    | 0.01%             | 2039-09-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                                                 | ROYAL CARIBBEAN CRUISES LTD 6% 02/01/2033 144A                                                                                   | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      770000 | PA      | $792804.91     | 0.00%             | 2033-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMENTUM HOLDINGS INC                                                                                        | AMENTUM HOLDINGS INC 7.25% 08/01/2032 144A                                                                                       | CUSIP: 02352BAA3<br>LEI: 2549009FJIBLW40CU216 | Long             | DBT              | CORP              | US        |      185000 | PA      | $194186.55     | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                                                     | MERCEDES-BENZ FINANCE NORTH AMERICA LLC 4.8% 08/01/2029 144A                                                                     | CUSIP: 58769JAW7<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4085445.48    | 0.01%             | 2029-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                                                               | DTE ENERGY CO 4.95% 07/01/2027                                                                                                   | CUSIP: 233331BM8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |     5105000 | PA      | $5167204.32    | 0.01%             | 2027-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CORNERSTONE BUILDING BRANDS INC                                                                             | CORNERSTONE BUILDING BRANDS INC 9.5% 08/15/2029 144A                                                                             | CUSIP: 21925DAB5<br>LEI: 549300IW41QEWQ6T0H29 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16059.23      | 0.00%             | 2029-08-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                                         | SYNCHRONY FINANCIAL 5.935%/VAR 08/02/2030                                                                                        | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     2546000 | PA      | $2643722.23    | 0.01%             | 2030-08-02      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTIONS INC                                                                             | STANDARD BUILDING SOLUTIONS INC 6.5% 08/15/2032 144A                                                                             | CUSIP: 853191AA2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |      235000 | PA      | $242436.58     | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| M2S GROUP INTERMEDIATE HOLDINGS INC                                                                         | M2S GROUP TERM B 1LN 8/25/2031                                                                                                   | CUSIP: 55287CAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      270030 | PA      | $266036.37     | 0.00%             | 2031-08-25      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.75% 08/15/2027                                                                                                       | CUSIP: 91282CLG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6790000 | PA      | $6814136.35    | 0.02%             | 2027-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.875% 08/15/2034                                                                                                      | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   157370000 | PA      | $156749600.25  | 0.35%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.25% 08/15/2054                                                                                     | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   101653000 | PA      | $94668326.82   | 0.21%             | 2054-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LHOME 2024-RTL4 A1                                                                                          | LHOME 2024-RTL4 A1 STEP 07/25/2039 144A                                                                                          | CUSIP: 50205PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1650000 | PA      | $1663090.77    | 0.00%             | 2039-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                                                      | GREENSKY HOME IMPROVEMENT TRUST 2024-1 5.55% 06/25/2059 144A                                                                     | CUSIP: 39571MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $513712.45     | 0.00%             | 2059-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MARINER FIN ISSUANCE TR 2024-A                                                                              | MARINER FINANCE ISSUANCE TRUST 2024-A 5.13% 09/22/2036 144A                                                                      | CUSIP: 567928AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      279000 | PA      | $282836.31     | 0.00%             | 2036-09-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                                                      | GREENSKY HOME IMPROVEMENT TRUST 2024-1 5.67% 06/25/2059 144A                                                                     | CUSIP: 39571MAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      738097 | PA      | $756893.04     | 0.00%             | 2059-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                                                      | GREENSKY HOME IMPROVEMENT TRUST 2024-1 5.87% 06/25/2059 144A                                                                     | CUSIP: 39571MAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       85779 | PA      | $87689.71      | 0.00%             | 2059-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CWABS ASSET BACKED NTS TR 2007-SEA2                                                                         | CWABS ASSET BACKED NOTES TRUST 2007-SEA2 STEP 06/25/2047 144A                                                                    | CUSIP: 12671CAK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       72283 | PA      | $60563.12      | 0.00%             | 2047-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5442 FB SOFR30A+97 08/25/2054                                                                     | CUSIP: 3137HF4U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     5294275 | PA      | $5313925.99    | 0.01%             | 2054-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NYC 2024-3ELV                                                                                               | NYC 2024-3ELV D TSFR1M+383.827 08/15/2029 144A                                                                                   | CUSIP: 62956HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      526000 | PA      | $526954.22     | 0.00%             | 2029-08-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                                                           | ENTERPRISE PRODS OPER LLC 5.55% 02/16/2055                                                                                       | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     1385000 | PA      | $1371335.62    | 0.00%             | 2055-02-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                                           | PERU REPUBLIC OF 5.375% 02/08/2035                                                                                               | CUSIP: 715638EB4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      800000 | PA      | $822500.00     | 0.00%             | 2035-02-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 11 LTD                                                                                            | AIMCO CLO 11 LTD A1R2 TSFR3M+134 07/17/2037 144A                                                                                 | CUSIP: 00140NAW0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |     4867000 | PA      | $4882292.11    | 0.01%             | 2037-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                                           | PERU REPUBLIC OF 5.875% 08/08/2054                                                                                               | CUSIP: 715638EC2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     2600000 | PA      | $2618200.00    | 0.01%             | 2054-08-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                                                                        | WELLS FARGO COML MORTAGE TR 2024-MGP A12 TSFR1M+179.1 08/15/2041 144A                                                            | CUSIP: 95003TAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2573846 | PA      | $2573933.99    | 0.01%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2024-RVR                                                                                | GS MTG SECS CORP TR 2024-RVR A VAR 08/10/2029 144A                                                                               | CUSIP: 36272JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7700000 | PA      | $7856577.96    | 0.02%             | 2041-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                                                                        | WELLS FARGO COML MORTAGE TR 2024-MGP TSFR1M+199.073 08/15/2041 144A                                                              | CUSIP: 95003TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1478214 | PA      | $1472201.79    | 0.00%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FANNIE MAE REMICS SOFR30A+97 08/25/2054                                                                                          | CUSIP: 3136BSSC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2467494 | PA      | $2475049.42    | 0.01%             | 2054-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2024-RVR                                                                                | GS MTG SECS CORP TR 2024-RVR E VAR 08/10/2029 144A                                                                               | CUSIP: 36272JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      438000 | PA      | $451246.17     | 0.00%             | 2041-08-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF5 LLC                                                                                          | PRPM 2024-RCF5 LLC 4% 08/25/2054 144A                                                                                            | CUSIP: 69381JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1418844 | PA      | $1402990.33    | 0.00%             | 2054-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HENLEY CLO VII DAC                                                                                          | HENLEY CLO VII DAC AR 3MEUR+99 04/25/2034 144A                                                                                   | CUSIP: N/A<br>LEI: 635400SRJSVJPTMR4D89       | Long             | ABS-CBDO         | CORP              | IE        |     3570533 | PA      | $4143403.98    | 0.01%             | 2034-04-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| OCADO GROUP PLC                                                                                             | OCADO GROUP PLC 10.5% 08/08/2029 REGS                                                                                            | CUSIP: N/A<br>LEI: 213800LO8F61YB8MBC74       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $125225.98     | 0.00%             | 2029-08-08      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| REGATTA XI FUNDING LTD                                                                                      | REGATTA XI FUNDING LTD AR TSFR3M+140 07/17/2037 144A                                                                             | CUSIP: 75887XAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      800000 | PA      | $801054.40     | 0.00%             | 2037-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REGATTA XXIX FDG LTD / REGATTA XXIX FDG LLC                                                                 | REGATTA XXIX FDG LTD / REGATTA XXIX FDG LLC A TSFR3M+138 09/06/2037 144A                                                         | CUSIP: 758971AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    26000000 | PA      | $26077584.00   | 0.06%             | 2037-09-06      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LIGHTNING POWER LLC                                                                                         | LIGHTNING POWER LLC 7.25% 08/15/2032 144A                                                                                        | CUSIP: 53229KAA7<br>LEI: 254900BWCHJ03XRL8K59 | Long             | DBT              | CORP              | US        |      295000 | PA      | $313046.92     | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                                              | TARGA RES CORP 5.5% 02/15/2035                                                                                                   | CUSIP: 87612GAK7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      580000 | PA      | $594647.89     | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                                              | VIRGINIA ELECTRIC AND POWER CO 5.05% 08/15/2034                                                                                  | CUSIP: 927804GR9<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      672000 | PA      | $685771.63     | 0.00%             | 2034-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PPL CAP FDG INC                                                                                             | PPL CAP FDG INC 5.25% 09/01/2034                                                                                                 | CUSIP: 69352PAT0<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |      150000 | PA      | $154528.01     | 0.00%             | 2034-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                                                       | ENTERGY LOUISIANA LLC 5.15% 09/15/2034                                                                                           | CUSIP: 29364WBP2<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |      180000 | PA      | $185219.76     | 0.00%             | 2034-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                                          | META PLATFORMS INC 5.4% 08/15/2054                                                                                               | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      860000 | PA      | $834106.95     | 0.00%             | 2054-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AG TRUST 2024-NLP                                                                                           | AG TRUST 2024-NLP TSFR1M+201.564 07/15/2041 144A                                                                                 | CUSIP: 00792MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2850994 | PA      | $2858156.65    | 0.01%             | 2041-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS CO                                                                                            | GENUINE PARTS CO 4.95% 08/15/2029                                                                                                | CUSIP: 372460AF2<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |      765000 | PA      | $776766.92     | 0.00%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 5.45% 09/15/2034                                                                                                         | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      223000 | PA      | $231474.24     | 0.00%             | 2034-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 5.95% 09/15/2054                                                                                                         | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      350000 | PA      | $352345.22     | 0.00%             | 2054-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOCA COMMERCIAL MORTGAGE TRUST 2024-BOCA                                                                    | BOCA COMMERCIAL MORTGAGE TRUST 2024-BOCA A TSFR1M+192.068 08/15/2041 144A                                                        | CUSIP: 096817AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100124.79     | 0.00%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| QUANTA SVCS INC                                                                                             | QUANTA SVCS INC 4.75% 08/09/2027                                                                                                 | CUSIP: 74762EAK8<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     1040000 | PA      | $1050677.36    | 0.00%             | 2027-08-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IDEX CORPORATION                                                                                            | IDEX CORPORATION 4.95% 09/01/2029                                                                                                | CUSIP: 45167RAJ3<br>LEI: 549300U5Y5EL6PHYLF13 | Long             | DBT              | CORP              | US        |     2190000 | PA      | $2242797.62    | 0.01%             | 2029-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAMLL 2024-BHP A                                                                                            | BAMLL 2024-BHP A TSFR1M+235 08/15/2039 144A                                                                                      | CUSIP: 05493WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      280000 | PA      | $280568.29     | 0.00%             | 2039-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                                            | WILLIAMS COS INC 5.8% 11/15/2054                                                                                                 | CUSIP: 969457CN8<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      700000 | PA      | $705352.98     | 0.00%             | 2054-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                                            | WILLIAMS COS INC 4.8% 11/15/2029                                                                                                 | CUSIP: 969457CL2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     7785000 | PA      | $7939138.41    | 0.02%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                                                  | DAVITA INC 6.875% 09/01/2032 144A                                                                                                | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |      130000 | PA      | $135268.64     | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                                                                                        | HOWMET AEROSPACE INC 4.85% 10/15/2031                                                                                            | CUSIP: 443201AC2<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |     4900000 | PA      | $5050450.73    | 0.01%             | 2031-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS CO                                                                                  | SOUTHERN CALIFORNIA GAS CO 5.05% 09/01/2034                                                                                      | CUSIP: 842434DB5<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |     1360000 | PA      | $1392654.84    | 0.00%             | 2034-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 08/01/2054#CB9061                                                                                                   | CUSIP: 3140QVB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6051099 | PA      | $6218440.15    | 0.01%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| QUANTA SVCS INC                                                                                             | QUANTA SVCS INC 5.25% 08/09/2034                                                                                                 | CUSIP: 74762EAL6<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |      479000 | PA      | $495503.83     | 0.00%             | 2034-08-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC/MD                                                                               | MARRIOTT INTERNATIONAL INC/MD 4.8% 03/15/2030                                                                                    | CUSIP: 571903BR3<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3475629.40    | 0.01%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE ED LN TR 2024-E                                                                                 | SMB PRIVATE EDUCATION LOAN TRUST 2024-E 5.09% 10/16/2056 144A                                                                    | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1666374 | PA      | $1697563.12    | 0.00%             | 2056-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GLOBAL AIRCRAFT LEASING CO LTD                                                                              | GLOBAL AIRCRAFT LEASING CO LTD 8.75% 09/01/2027 144A                                                                             | CUSIP: 37960JAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      370000 | PA      | $382666.58     | 0.00%             | 2027-09-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD                                                                                           | BELLEMEADE RE LTD SOFR30A+215 08/25/2034 144A                                                                                    | CUSIP: 078915AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     1713686 | PA      | $1717255.98    | 0.00%             | 2034-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                                            | WHEELS FLEET LEASE FUNDING 1 LLC 4.87% 06/21/2039 144A                                                                           | CUSIP: 96328GBT3<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     3701633 | PA      | $3731956.12    | 0.01%             | 2039-06-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DRYDEN 59 EURO CLO 2017 DAC                                                                                 | DRYDEN 59 EURO CLO 2017 DAC A 3MEUR+75 05/15/2032 144A                                                                           | CUSIP: N/A<br>LEI: 724500KSK1YXN03DH342       | Long             | ABS-CBDO         | CORP              | IE        |     1842770 | PA      | $2132351.81    | 0.00%             | 2032-05-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS L P / ARCHROCK PARTNERS FIN CORP                                                          | ARCHROCK PARTNERS LP / FIN CORP 6.625% 09/01/2032 144A                                                                           | CUSIP: 03959KAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      975000 | PA      | $1003980.90    | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XXX LTD / MADISON PK FDG XXX LLC                                                             | MADISON PK FDG XXX LTD / LLC A1R TSFR3M+136 07/16/2037 144A                                                                      | CUSIP: 55821TAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      950000 | PA      | $952609.65     | 0.00%             | 2037-07-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 5.425%/VAR 08/15/2035                                                                                | CUSIP: 06051GMB2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      700000 | PA      | $721449.18     | 0.00%             | 2035-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ELI LILLY and CO                                                                                            | ELI LILLY and CO 4.6% 08/14/2034                                                                                                 | CUSIP: 532457CR7<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     3066000 | PA      | $3104698.65    | 0.01%             | 2034-08-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS LLC / SHIFT4 PAYMENTS FINANCE SUB INC                                                       | SHIFT4 PAYMENTS LLC / SHIFT4 PAYMENTS FINANCE SUB INC 6.75% 08/15/2032 144A                                                      | CUSIP: 82453AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      630000 | PA      | $654829.56     | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FIN CORP                                                                                      | CDW LLC / CDW FIN CORP 5.1% 03/01/2030                                                                                           | CUSIP: 12513GBK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5670000 | PA      | $5791629.38    | 0.01%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS/LOYALTY                                                                                     | JETBLUE AIRWAYS/LOYALTY 9.875% 09/20/2031 144A                                                                                   | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      355000 | PA      | $350651.13     | 0.00%             | 2031-09-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SVCS CORP                                                                                  | CATERPILLAR FINL SVCS CORP 4.4% 10/15/2027                                                                                       | CUSIP: 14913UAR1<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4046121.40    | 0.01%             | 2027-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARDIFF AUTO RECEIVABLES SECURITISATION 2024-1                                                              | CARDIFF AUTO RECEIVABLES SECURITISATION 2024-1 SONIO+260 08/20/2031 REGS                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |      100000 | PA      | $133344.77     | 0.00%             | 2031-08-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                                                     | PIEDMONT NATURAL GAS CO 5.1% 02/15/2035                                                                                          | CUSIP: 720186AR6<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |     2190000 | PA      | $2241219.44    | 0.01%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                                                                     | UDR INC 5.125% 09/01/2034                                                                                                        | CUSIP: 90265EAW0<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |      515000 | PA      | $525834.86     | 0.00%             | 2034-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARDIFF AUTO RECEIVABLES SECURITISATION 2024-1                                                              | CARDIFF AUTO RECEIVABLES SECURITISATION 2024-1 SONIO+190 08/20/2031 REGS                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |      100000 | PA      | $133011.86     | 0.00%             | 2031-08-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V9 MORTGAGE TRUST                                                                            | BENCHMARK 2024-V9 MORTGAGE TRUST 5.6019% 08/15/2057                                                                              | CUSIP: 081919AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4400000 | PA      | $4585468.80    | 0.01%             | 2057-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEX INC                                                                                             | ENTERGY TEX INC 5.55% 09/15/2054                                                                                                 | CUSIP: 29365TAP9<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |      293000 | PA      | $289395.10     | 0.00%             | 2054-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EQUIFAX INC                                                                                                 | EQUIFAX INC 4.8% 09/15/2029                                                                                                      | CUSIP: 294429AX3<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4065194.80    | 0.01%             | 2029-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRONICS INC                                                                                       | ARROW ELECTRONIC INC 5.15% 08/21/2029                                                                                            | CUSIP: 04273WAF8<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4098847.20    | 0.01%             | 2029-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                                                        | ONEMAIN FINANCE CORP 7.125% 11/15/2031                                                                                           | CUSIP: 682691AG5<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |       60000 | PA      | $62513.58      | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 1.5% 06/01/2051#QC3130                                                                                                 | CUSIP: 3133AMPP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      936082 | PA      | $727060.00     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.125% 08/15/2044                                                                                    | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12070600 | PA      | $11316658.98   | 0.03%             | 2044-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                                                                       | QUEST DIAGNOSTICS INC 4.625% 12/15/2029                                                                                          | CUSIP: 74834LBF6<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |     4830000 | PA      | $4915677.97    | 0.01%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2017-3 LTD                                                                                   | CARLYLE US CLO 2017-3 LTD A1R2 TSFR3M+140 10/21/2037 144A                                                                        | CUSIP: 14314FAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      340000 | PA      | $340789.82     | 0.00%             | 2037-10-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 8 LTD                                                                                  | DIAMETER CAPITAL CLO 8 LTD A1A TSFR3M+140 10/20/2037 144A                                                                        | CUSIP: 25256JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1100000 | PA      | $1102292.40    | 0.00%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2017-3 LTD                                                                                   | CARLYLE US CLO 2017-3 LTD BR2 TSFR3M+178 10/21/2037 144A                                                                         | CUSIP: 14314FBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250859.25     | 0.00%             | 2037-10-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5.5% 08/20/2054#MA9851                                                                                                   | CUSIP: 36179Y5L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5422114 | PA      | $5481973.01    | 0.01%             | 2054-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                                                                | AMPRION GMBH 3.125% 08/27/2030 REGS                                                                                              | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |      400000 | PA      | $466782.22     | 0.00%             | 2030-08-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                                                    | COREBRIDGE FINANCIAL INC 6.05% 09/15/2033                                                                                        | CUSIP: 21871XAR0<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     2074000 | PA      | $2207926.16    | 0.00%             | 2033-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN HOME IMPROVEMENT TRUST 2022-GRN1 ISSUER TRUST                                                       | GOLDMAN HOME IMPROVEMENT TRUST 2022-GRN1 ISSUER TRUST 4.5% 06/25/2052 144A                                                       | CUSIP: 38150YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      147120 | PA      | $146848.88     | 0.00%             | 2052-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXVII LTD                                                                       | BENEFIT STREET PARTNERS CLO XXVII LTD AR TSFR3M+137 10/20/2037 144A                                                              | CUSIP: 08179PAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      720000 | PA      | $722643.12     | 0.00%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6% 08/20/2054#MA9852                                                                                                     | CUSIP: 36179Y5M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5316221 | PA      | $5421706.36    | 0.01%             | 2054-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRET 2024-RPL2 TR                                                                                           | PRET 2024-RPL2 TR VAR 06/25/2064 144A                                                                                            | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5262694 | PA      | $5088688.33    | 0.01%             | 2064-06-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                                                      | ROPER TECHNOLOGIES INC 4.75% 02/15/2032                                                                                          | CUSIP: 776696AH9<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |      160000 | PA      | $162275.38     | 0.00%             | 2032-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                                                      | ROPER TECHNOLOGIES INC 4.9% 10/15/2034                                                                                           | CUSIP: 776696AJ5<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |      630000 | PA      | $632678.00     | 0.00%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                                                   | COREBRIDGE GBL FUNDING 4.65% 08/20/2027 144A                                                                                     | CUSIP: 00138CBB3<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1110741.20    | 0.00%             | 2027-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 07/01/2052#CB4157                                                                                                   | CUSIP: 3140QPTP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6718727 | PA      | $6447250.48    | 0.01%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRICOA GLOBAL FDG I                                                                                         | PRICOA GLOBAL FDG I 4.4% 08/27/2027 144A                                                                                         | CUSIP: 74153WCU1<br>LEI: 635400IBXEBMD9ADYA79 | Long             | DBT              | CORP              | US        |     6200000 | PA      | $6248632.30    | 0.01%             | 2027-08-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RABOBANK NEDERLAND NEW YORK BRH                                                                             | RABOBANK NEDERLAND NY BRH FRN SOFRINDX+62 08/28/2026                                                                             | CUSIP: 21688ABG6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | US        |     6350000 | PA      | $6366496.35    | 0.01%             | 2026-08-28      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAP CLO 29 LTD / ANCHORAGE CAP CLO 29 LLC                                                         | ANCHORAGE CAP CLO 29 LTD / ANCHORAGE CAP CLO 29 LLC A1 TSFR3M+160 07/20/2037 144A                                                | CUSIP: 03332QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250780.50     | 0.00%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST 2024-3R                                                                      | PMT CREDIT RISK TRANSFER TRUST 2024-3R SOFR30A+310 05/01/2047 144A                                                               | CUSIP: 69392AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4184464 | PA      | $4232442.55    | 0.01%             | 2028-09-27      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB15 LLC                                                                                          | CFMT 2024-HB15 LLC VAR 08/25/2034 144A                                                                                           | CUSIP: 15723AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      705642 | PA      | $702644.25     | 0.00%             | 2034-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB15 LLC                                                                                          | CFMT 2024-HB15 LLC 4% 08/25/2034 144A                                                                                            | CUSIP: 15723AAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      121000 | PA      | $118037.19     | 0.00%             | 2034-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 02/01/2053#FS6953                                                                                                   | CUSIP: 3140XNWP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6673742 | PA      | $6404083.09    | 0.01%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GLOBAL FUNDING II                                                                              | PACIFIC LIFE GF II 4.5% 08/28/2029 144A                                                                                          | CUSIP: 6944PL3C1<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |     5100000 | PA      | $5165709.27    | 0.01%             | 2029-08-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC FIN ISSUANCE TR 2024-A                                                                             | REPUBLIC FIN ISSUANCE TR 24-A B 6.47% 08/20/2032 144A                                                                            | CUSIP: 76041RAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      280000 | PA      | $286529.32     | 0.00%             | 2032-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.75% 08/31/2031                                                                                                       | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1279000 | PA      | $1283446.52    | 0.00%             | 2031-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.625% 08/31/2029                                                                                                      | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    41962300 | PA      | $42070483.84   | 0.10%             | 2029-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                                                                    | QUEENSLAND TREASURY CORP 5% 07/21/2037 144A REGS                                                                                 | CUSIP: N/A<br>LEI: 98INKCEEHOU5YJS0HQ88       | Long             | DBT              | NUSS              | AU        |     5255000 | PA      | $3327169.15    | 0.01%             | 2037-07-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2020-IV                                                                                     | BARINGS CLO LTD 2020-IV AR TSFR3M+137 10/20/2037 144A                                                                            | CUSIP: 06762BAS9<br>LEI: 549300Q89L7I93JSRH83 | Long             | ABS-CBDO         | CORP              | KY        |     1560000 | PA      | $1565901.48    | 0.00%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY885799 12/15/56 S                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      400000 | NC      | $-5420.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                                                                                  | ALLIANZ SE 5.6%/VAR 09/03/2054 144A                                                                                              | CUSIP: 018820AD2<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |      800000 | PA      | $819661.60     | 0.00%             | 2054-09-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2020-2 LTD                                                                          | BAIN CAPITAL CREDIT CLO 2020-2 LTD ARR TSFR3M+124 07/19/2034 144A                                                                | CUSIP: 05683EAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8600000 | PA      | $8609700.80    | 0.02%             | 2034-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                                                                                      | FEDERAL HOME LOAN BANKS 1.25% 07/23/2030                                                                                         | CUSIP: 3130AJVB2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     3890000 | PA      | $3484603.26    | 0.01%             | 2030-07-23      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SCOTTISH HYDRO ELECTRIC TRANSMISSION PLC                                                                    | SCOTTISH HYDRO ELECTRIC TRANSMISSION PLC 3.375% 09/04/2032 REGS                                                                  | CUSIP: N/A<br>LEI: 549300ECJZDA7203MK64       | Long             | DBT              | CORP              | GB        |      430000 | PA      | $501128.96     | 0.00%             | 2032-09-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 05/01/2048#FM3248                                                                                                   | CUSIP: 3140X6TE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2350596 | PA      | $2276920.43    | 0.01%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LT                                                                                             | FLATIRON CLO LT A1R TSFR3M+136 10/19/2037 144A                                                                                   | CUSIP: 33883PAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6432000 | PA      | $6453334.94    | 0.01%             | 2037-10-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ORCHARD PK CLO LTD                                                                                          | ORCHARD PK CLO LTD A TSFR3M+136 10/20/2037 144A                                                                                  | CUSIP: 68563JAA2<br>LEI: 3912000K0W3TWP1KMO81 | Long             | ABS-CBDO         | CORP              | KY        |      730000 | PA      | $732514.85     | 0.00%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REGATTA XVI FUNDING LTD                                                                                     | REGATTA XVI FUNDING LTD A1R TSFR3M+120 01/15/2033 144A                                                                           | CUSIP: 75888TAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11244665 | PA      | $11269077.37   | 0.03%             | 2033-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LT                                                                                             | FLATIRON CLO LT A2R TSFR3M+158 10/19/2037 144A                                                                                   | CUSIP: 33883PAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250016.00     | 0.00%             | 2037-10-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HA CR PARTNERS XVI LTD / OHA CR PARTNERS XVI LLC                                                            | HA CR PARTNERS XVI LTD / OHA CR PARTNERS XVI LLC AR TSFR3M+135 10/18/2037 144A                                                   | CUSIP: 67115LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      280000 | PA      | $280393.12     | 0.00%             | 2037-10-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO 1 LTD                                                                                        | 37 CAPITAL CLO 1 LTD AR TSFR3M+128 10/15/2034 144A                                                                               | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11500000 | PA      | $11499494.00   | 0.03%             | 2034-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MTG TR 2024-8                                                                                     | ANGEL OAK MORTGAGE TRUST 2024-8 5.338% 05/27/2069 144A                                                                           | CUSIP: 03465QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1887904 | PA      | $1897995.01    | 0.00%             | 2069-05-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XVIII LTD / JAMESTOWN CLO XVIII LLC                                                           | JAMESTOWN CLO XVIII LTD / JAMESTOWN CLO XVIII LLC A1R TSFR3M+127 07/25/2035 144A                                                 | CUSIP: 47047RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11700000 | PA      | $11681701.20   | 0.03%             | 2035-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNP PARIBAS 7.375%/VAR PERP 144A                                                                                                 | CUSIP: 05602XJC3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | EP               | CORP              | FR        |      250000 | PA      | $259357.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 02/01/2052#FS3884                                                                                                   | CUSIP: 3140XKJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      629491 | PA      | $562966.69     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                                                                                    | TOTALENERGIES CAPITAL SA 5.275% 09/10/2054                                                                                       | CUSIP: 89157XAE1<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |      330000 | PA      | $317352.80     | 0.00%             | 2054-09-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTERNATIONAL                                                                                   | MGM RESORTS INTERNATIONAL 6.125% 09/15/2029                                                                                      | CUSIP: 552953CK5<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |      420000 | PA      | $429350.46     | 0.00%             | 2029-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GULFPORT ENERGY OPERATING CORP                                                                              | GULFPORT ENERGY OPERATING CORP 6.75% 09/01/2029 144A                                                                             | CUSIP: 402635AT3<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |      345000 | PA      | $356141.51     | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                                               | TRANSDIGM INC 6% 01/15/2033 144A                                                                                                 | CUSIP: 893647BW6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      615000 | PA      | $628839.96     | 0.00%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 5.9% 10/01/2054                                                                                      | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      459000 | PA      | $448831.80     | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                                                    | GENERAL MTRS FINL CO INC 5.45% 09/06/2034                                                                                        | CUSIP: 37045XFA9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      275000 | PA      | $280315.88     | 0.00%             | 2034-09-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 5.125% 11/05/2026                                                                                       | CUSIP: 345397F81<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     7500000 | PA      | $7536697.13    | 0.02%             | 2026-11-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DRYDEN 104 CLO LTD / DRYDEN 104 CLO LLC                                                                     | DRYDEN 104 CLO LTD / DRYDEN 104 CLO LLC A1R TSFR3M+129 08/20/2034 144A                                                           | CUSIP: 26253BAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250410.25     | 0.00%             | 2034-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 5.303% 09/06/2029                                                                                       | CUSIP: 345397G23<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     4800000 | PA      | $4822551.36    | 0.01%             | 2029-09-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES HOLDING CO LLC                                                                           | COLUMBIA PIPELINES HOLDING CO LLC 5.097% 10/01/2031 144A                                                                         | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      236000 | PA      | $240636.79     | 0.00%             | 2031-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC 4.942%/VAR 09/10/2030                                                                                               | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     2650000 | PA      | $2702894.45    | 0.01%             | 2030-09-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP CY885799 12/15/56 S                                                                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      900000 | NC      | $-12195.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD                                                                                    | MADISON PARK FUNDING LTD A1R TSFR3M+128 07/27/2034 144A                                                                          | CUSIP: 55822GAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250075.00     | 0.00%             | 2034-07-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TRESTLES CLO 17-1 LTD                                                                                       | TRESTLES CLO 17-1 LTD A1RR TSFR3M+146 07/25/2037 144A                                                                            | CUSIP: 89531FAY3<br>LEI: 254900QSBDX181YYBH38 | Long             | ABS-CBDO         | CORP              | KY        |      530000 | PA      | $531140.03     | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP                                                                                                | STRYKER CORP 3.375% 09/11/2032                                                                                                   | CUSIP: 863667BG5<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2685022.44    | 0.01%             | 2032-09-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SCANDINAVIAN TOBACCO GROUP                                                                                  | SCANDINAVIAN TOBACCO GROUP 4.875% 09/12/2029 REGS                                                                                | CUSIP: N/A<br>LEI: 5299003KG4JS99TRML67       | Long             | DBT              | CORP              | DK        |      150000 | PA      | $180880.29     | 0.00%             | 2029-09-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                                                       | UBER TECHNOLOGIES INC 4.8% 09/15/2034                                                                                            | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     4265000 | PA      | $4288884.00    | 0.01%             | 2034-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                                                       | UBER TECHNOLOGIES INC 5.35% 09/15/2054                                                                                           | CUSIP: 90353TAQ3<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |       90000 | PA      | $87123.63      | 0.00%             | 2054-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP                                                                                                | STRYKER CORP 4.25% 09/11/2029                                                                                                    | CUSIP: 863667BE0<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |     2200000 | PA      | $2218218.51    | 0.01%             | 2029-09-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                                                     | SANTANDER HLDGS USA INC 5.353%/VAR 09/06/2030                                                                                    | CUSIP: 80282KBM7<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     1282000 | PA      | $1312305.77    | 0.00%             | 2030-09-06      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 4.4% 09/06/2026                                                                                    | CUSIP: 842400JF1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      900000 | PA      | $901239.73     | 0.00%             | 2026-09-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC FRN SOFR+145 11/05/2026                                                                                 | CUSIP: 345397F99<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     4800000 | PA      | $4811055.26    | 0.01%             | 2026-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                                                          | CREDIT AGRICOLE SA 4.631%/VAR 09/11/2028 144A                                                                                    | CUSIP: 22535WAL1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |      290000 | PA      | $292267.63     | 0.00%             | 2028-09-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                                                          | CREDIT AGRICOLE SA FRN SOFR+121 09/11/2028 144A                                                                                  | CUSIP: 22535WAM9<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     8400000 | PA      | $8453256.00    | 0.02%             | 2028-09-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP INC                                                                                  | PERFORMANCE FOOD GROUP INC 6.125% 09/15/2032 144A                                                                                | CUSIP: 71376LAF7<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |      370000 | PA      | $380653.04     | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                                                     | BANK OF NOVA SCOTIA 4.74%/VAR 11/10/2032                                                                                         | CUSIP: 06418GAN7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |      475000 | PA      | $482152.20     | 0.00%             | 2032-11-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 08/01/2054#CB8984                                                                                                 | CUSIP: 3140QU6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1677617 | PA      | $1730362.64    | 0.00%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                                            | HILTON DOMESTIC OPERATING CO INC 5.875% 03/15/2033 144A                                                                          | CUSIP: 432833AR2<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     1205000 | PA      | $1242529.73    | 0.00%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INTERSTATE PWR and LT CO                                                                                    | INTERSTATE PWR and LT CO 5.45% 09/30/2054                                                                                        | CUSIP: 461070AW4<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |     2165000 | PA      | $2088892.52    | 0.00%             | 2054-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NYC 2024-3ELV                                                                                               | NYC 2024-3ELV TSFR1M+283.972 08/15/2029 144A                                                                                     | CUSIP: 62956HAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      562937 | PA      | $563958.84     | 0.00%             | 2029-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                                                                                | ILLUMINA INC 4.65% 09/09/2026                                                                                                    | CUSIP: 452327AQ2<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4512951.54    | 0.01%             | 2026-09-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ADNOC MURBAN RSC LTD                                                                                        | ADNOC MURBAN RSC LTD 4.25% 09/11/2029 144A                                                                                       | CUSIP: 00723L2A6<br>LEI: 213800OWGH7RAYG61M70 | Long             | DBT              | CORP              | AE        |     3800000 | PA      | $3814250.00    | 0.01%             | 2029-09-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                                             | SANTANDER UK GROUP HOLDINGS PLC 4.858%/VAR 09/11/2030                                                                            | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     9595000 | PA      | $9730396.48    | 0.02%             | 2030-09-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                                                                          | CNO GLOBAL FUNDING 4.95% 09/09/2029 144A                                                                                         | CUSIP: 18977W2F6<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |     3915000 | PA      | $3990935.34    | 0.01%             | 2029-09-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 03/01/2048#FS8330                                                                                                   | CUSIP: 3140XQHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1411799 | PA      | $1292160.37    | 0.00%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRACCAN MORTGAGE FUNDING 2024-1 PLC                                                                         | BRACCAN MORTGAGE FUNDING 2024-1 X PLC SONIO+434 01/15/2067 REGS                                                                  | CUSIP: N/A<br>LEI: 635400RGKRFPCFMYJF13       | Long             | ABS-CBDO         | CORP              | GB        |      324137 | PA      | $432121.98     | 0.00%             | 2067-02-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| RYAN SPECIALTY LLC                                                                                          | RYAN SPECIALTY LLC 5.875% 08/01/2032 144A                                                                                        | CUSIP: 78351GAA3<br>LEI: 549300K52N7QBO3PYY45 | Long             | DBT              | CORP              | US        |      275000 | PA      | $281117.65     | 0.00%             | 2032-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                                                          | CANADIAN IMPERIAL BK OF COMM 4.631%/VAR 09/11/2030                                                                               | CUSIP: 13607PHS6<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |      275000 | PA      | $279216.80     | 0.00%             | 2030-09-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.375% 09/15/2027                                                                                                      | CUSIP: 91282CLL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9780000 | PA      | $9754403.88    | 0.02%             | 2027-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                                                 | BLACKROCK CDS SWAP 1% 20/12/2029                                                                                                 | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | GB        |      540000 | NC      | $-17187.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                                                       | SUBWAY FDG LLC ISSUER 5.246% 07/30/2054 144A                                                                                     | CUSIP: 864300AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5247000 | PA      | $5227678.45    | 0.01%             | 2054-07-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                                                       | SUBWAY FDG LLC ISSUER 5.914% 07/30/2054 144A                                                                                     | CUSIP: 864300AL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5247000 | PA      | $5229723.73    | 0.01%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                                                       | SUBWAY FDG LLC ISSUER 5.566% 07/30/2054 144A                                                                                     | CUSIP: 864300AJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2623500 | PA      | $2607985.93    | 0.01%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE ED LN TR 2021-A                                                                                 | SMB PRIVATE ED LN TR 2021-A 2.31% 01/15/2053 144A                                                                                | CUSIP: 78448YAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      417926 | PA      | $408612.05     | 0.00%             | 2053-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 20YR 3% 04/01/2038#FM7607                                                                                                   | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18935 | PA      | $18428.99      | 0.00%             | 2038-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 02/01/2036#CA9140                                                                                                   | CUSIP: 3140QHEN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      664573 | PA      | $616991.71     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6.5% 06/01/2054#SD7571                                                                                                 | CUSIP: 3132DVMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3242153 | PA      | $3417588.09    | 0.01%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FIESTA PURCHASER INC                                                                                        | FIESTA PURCHASER INC 9.625% 09/15/2032 144A                                                                                      | CUSIP: 31659AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      245000 | PA      | $262391.33     | 0.00%             | 2032-09-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-C                                                                                | SBNA AUTO LEASE TRUST 2024-C 4.56% 02/22/2028 144A                                                                               | CUSIP: 78398DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2461251 | PA      | $2466489.76    | 0.01%             | 2028-02-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONITY LOAN INVESTMENT TRUST 2024-HB2                                                                        | ONITY LOAN INVESTMENT TRUST 2024-HB2 A 5% 08/25/2037 144A                                                                        | CUSIP: 68278DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      464201 | PA      | $464201.34     | 0.00%             | 2037-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BDS 2024-FL13 LLC                                                                                           | BDS 2024-FL13 LLC A TSFR1M+157.615 09/19/2039 144A                                                                               | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      262000 | PA      | $262655.21     | 0.00%             | 2039-09-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2TRUST                                                                                         | CSMC 2021-RPL2TRUST 2% 01/25/2060 144A                                                                                           | CUSIP: 12656TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5578084 | PA      | $4948101.66    | 0.01%             | 2060-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.565% 01/01/2033#BM6552                                                                                               | CUSIP: 3140JBH66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4743698 | PA      | $4024583.28    | 0.01%             | 2033-01-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2024-B                                                                       | AFFIRM ASSET SECURITIZATION TR 2024-B B 4.88% 09/15/2029 144A                                                                    | CUSIP: 00835AAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1000000 | PA      | $1002277.20    | 0.00%             | 2029-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2024-B                                                                       | AFFIRM ASSET SECURITIZATION TR 2024-B C 5.06% 09/15/2029 144A                                                                    | CUSIP: 00835AAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1000000 | PA      | $1000771.30    | 0.00%             | 2029-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITED CO                                                                                | PERRIGO FINANCE UNLIMITED CO 6.125% 09/30/2032                                                                                   | CUSIP: 71429MAD7<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |      270000 | PA      | $263598.81     | 0.00%             | 2032-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.332% 10/01/2032#BM6466                                                                                               | CUSIP: 3140JBFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3507621 | PA      | $2938884.29    | 0.01%             | 2032-10-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                                               | PG and E CORP 7.375%/VAR 03/15/2055                                                                                              | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     5036000 | PA      | $5206488.74    | 0.01%             | 2055-03-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MSWF COMMERCIAL MORTGAGE TRUST 23-2                                                                         | MSWF COMMERCIAL MORTGAGE TRUST 23-2 VAR 12/15/2056 144A                                                                          | CUSIP: 55361AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1400000 | PA      | $261321.48     | 0.00%             | 2056-12-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 07/01/2054#FS8456                                                                                                 | CUSIP: 3140XQME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      551537 | PA      | $564913.37     | 0.00%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP                                                       | ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP 9% 06/15/2030                                                              | CUSIP: 451102CJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1270000 | PA      | $1227652.49    | 0.00%             | 2030-06-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                                                                | CAIXABANK SA 3.625%/VAR 09/19/2032 REGS                                                                                          | CUSIP: N/A<br>LEI: 7CUNS533WID6K7DGFI87       | Long             | DBT              | CORP              | ES        |      200000 | PA      | $236245.18     | 0.00%             | 2032-09-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                                                                                               | P3 GROUP SARL 4% 04/19/2032 REGS                                                                                                 | CUSIP: N/A<br>LEI: 529900GR62MT0O5VW110       | Long             | DBT              | CORP              | LU        |      165000 | PA      | $194095.87     | 0.00%             | 2032-04-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                                                       | ELECTRICITE DE FRANCE EUAMDB05+NA PERP REGS                                                                                      | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | EP               | CORP              | FR        |      200000 | PA      | $242356.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XII-B LTD                                                                                | NORTHWOODS CAPITAL XII-B LTD AR TSFR3M+119 06/15/2031 144A                                                                       | CUSIP: 66858CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6362820 | PA      | $6356329.68    | 0.01%             | 2031-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                                                   | ONEOK INC 4.25% 09/24/2027                                                                                                       | CUSIP: 682680CB7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     1667000 | PA      | $1670921.33    | 0.00%             | 2027-09-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                                                   | ONEOK INC 4.4% 10/15/2029                                                                                                        | CUSIP: 682680CC5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     1743000 | PA      | $1748428.43    | 0.00%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                                                   | ONEOK INC 4.75% 10/15/2031                                                                                                       | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     3880000 | PA      | $3897994.74    | 0.01%             | 2031-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                                                   | ONEOK INC 5.7% 11/01/2054                                                                                                        | CUSIP: 682680CF8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     2330000 | PA      | $2197034.29    | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL1 TR                                                                                           | ATLX 2024-RPL1 A1 3.85% 04/25/2064 144A                                                                                          | CUSIP: 049915AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2677287 | PA      | $2621941.84    | 0.01%             | 2064-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP                                                        | WYNN RESORTS FIN LLC / CAP CORP 6.25% 03/15/2033 144A                                                                            | CUSIP: 983133AD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      265000 | PA      | $270975.75     | 0.00%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FOUNDATION FINANCE TRUST 2024-2                                                                             | FOUNDATION FINANCE TRUST 2024-2 B 4.93% 03/15/2050 144A                                                                          | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       86432 | PA      | $86713.73      | 0.00%             | 2050-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 09/01/2054#CB9216                                                                                                   | CUSIP: 3140QVG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6913806 | PA      | $7105005.22    | 0.02%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 09/01/2054#CB9209                                                                                                 | CUSIP: 3140QVGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1568956 | PA      | $1594751.00    | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP / NEWCREST FINANCE PTY LTD                                                                     | NEWMONT CORP / NEWCREST FINANCE PTY LTD 5.35% 03/15/2034                                                                         | CUSIP: 65163LAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    11260000 | PA      | $11811939.53   | 0.03%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| APTIV SWISS HOLDINGS LTD                                                                                    | APTIV SWISS HOLDINGS LTD 6.875%/VAR 12/15/2054                                                                                   | CUSIP: 03837AAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |      245000 | PA      | $251565.02     | 0.00%             | 2054-12-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-AIR2                                                                                    | BX COMMERCIAL MORTGAGE TRUST 2024-AIR2 A TSFR1M+169.093 10/14/2041 144A                                                          | CUSIP: 05613QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6109978 | PA      | $6117602.14    | 0.01%             | 2041-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BLACKROCK CDS SWAP 1% 20/12/2029                                                                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |     1267000 | NC      | $-38614.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| APTIV SWISS HOLDINGS LTD                                                                                    | APTIV SWISS HOLDINGS LTD 5.15% 09/13/2034                                                                                        | CUSIP: 03837AAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |      225000 | PA      | $228057.37     | 0.00%             | 2034-09-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CO LLC                                                                              | NISSAN MOTOR ACCEPTANCE CO LLC FRN SOFRINDX+205 09/13/2027 144A                                                                  | CUSIP: 65480CAJ4<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     8800000 | PA      | $8769527.45    | 0.02%             | 2027-09-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CO LLC                                                                              | NISSAN MOTOR ACCEPTANCE CO LLC 5.55% 09/13/2029 144A                                                                             | CUSIP: 65480CAH8<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39660.59      | 0.00%             | 2029-09-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FIEMEX ENERGIA                                                                                              | FIEMEX ENERGIA 7.25% 01/31/2041 144A                                                                                             | CUSIP: 05974EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      354602 | PA      | $370619.01     | 0.00%             | 2041-01-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXIX LTD                                                                              | MADISON PARK FUNDING XXXIX LTD AR TSFR3M+125 10/22/2034 144A                                                                     | CUSIP: 55821LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5300000 | PA      | $5285122.90    | 0.01%             | 2034-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER                                                      | ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER 6.5% 10/01/2031 144A                                                      | CUSIP: 01883LAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      125000 | PA      | $128589.38     | 0.00%             | 2031-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HDI AEROSPACE INTERMEDIATE HOLDING III CORP                                                                 | HEROUX DEVTEK TERM B 1LN 2/11/2032                                                                                               | CUSIP: 40415WAB0<br>LEI: 254900LKRYAGKIYOHW04 | Long             | LON              | CORP              | US        |      233825 | PA      | $233972.31     | 0.00%             | 2032-02-11      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER                                                      | ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER 7.375% 10/01/2032 144A                                                    | CUSIP: 01883LAH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $103382.40     | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                                                 | BLACKROCK CDS SWAP 1% 12/20/2029                                                                                                 | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | GB        |      734000 | NC      | $-20597.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                                           | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2024-2 MT 3.5% 05/25/2064                                                             | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3171008 | PA      | $2787923.02    | 0.01%             | 2064-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TR 2024-7                                                                              | VERUS SECURITIZATION TRUST 2024-7 B1 6.496% 09/25/2069 144A                                                                      | CUSIP: 924925AG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      299000 | PA      | $300109.68     | 0.00%             | 2069-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 4.542%/VAR 09/19/2030                                                                                              | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    14852000 | PA      | $14987525.84   | 0.03%             | 2030-09-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL INC                                                                              | SERVICE CORP INTERNATIONAL INC 5.75% 10/15/2032                                                                                  | CUSIP: 817565CH5<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |      910000 | PA      | $928576.74     | 0.00%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                                                            | GGAM FINANCE LTD 5.875% 03/15/2030 144A                                                                                          | CUSIP: 36170JAE6<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |      260000 | PA      | $262919.80     | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 01/01/2053#CB5494                                                                                                 | CUSIP: 3140QRC84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4929905 | PA      | $5192044.24    | 0.01%             | 2053-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE SA                                                                                     | RAIZEN FUELS FINANCE SA 5.7% 01/17/2035 144A                                                                                     | CUSIP: 75102XAD8<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      394000 | PA      | $324201.10     | 0.00%             | 2035-01-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY TRANSITIONALFIN AUTH REV                                                                  | NEW YORK AUTH 4.375% 5/1/2037                                                                                                    | CUSIP: 64972JLP1<br>LEI: 5493003476LG35QAKM08 | Long             | DBT              | MUN               | US        |     9300000 | PA      | $8993356.68    | 0.02%             | 2037-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 2.5% 10/01/2035#SB8504                                                                                                 | CUSIP: 3132D6NV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3392211 | PA      | $3238548.38    | 0.01%             | 2035-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 11/01/2053#DA1087                                                                                                   | CUSIP: 3140A1F51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1261377 | PA      | $1294702.85    | 0.00%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 11/01/2053#DA1083                                                                                                   | CUSIP: 3140A1FZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1935675 | PA      | $1989961.35    | 0.00%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 11/01/2053#QH4626                                                                                                   | CUSIP: 3133CHD77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1933465 | PA      | $1983913.64    | 0.00%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 11/01/2053#QH3517                                                                                                   | CUSIP: 3133CF4A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      233134 | PA      | $241573.64     | 0.00%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY885799 12/15/56 S                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1700000 | NC      | $-23036.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WILDWOOD PARK CLO LTD                                                                                       | WILDWOOD PARK CLO LTD A TSFR3M+136 10/20/2037 144A                                                                               | CUSIP: 968209AA4<br>LEI: 254900BZ1VFIEIOEK304 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250923.25     | 0.00%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE PLC                                                                                 | YORKSHIRE WATER FINANCE PLC 6.375% 11/18/2034 REGS                                                                               | CUSIP: N/A<br>LEI: 213800O8BDOGHJMTCP32       | Long             | DBT              | CORP              | GB        |     1160000 | PA      | $1592272.68    | 0.00%             | 2034-11-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                                   | BOEING CO-THE SNR S* ICE                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |      300000 | NC      | $11052.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 06/01/2051#FM7694                                                                                                   | CUSIP: 3140XBRQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1862778 | PA      | $1681638.35    | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 08/01/2049#SD7503                                                                                                 | CUSIP: 3132DVKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8654265 | PA      | $8141559.71    | 0.02%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM 20-H08 FC TSFR1M+76.448 02/20/2070                                                                  | CUSIP: 38380L7K3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      298037 | PA      | $298740.78     | 0.00%             | 2070-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM 19-H20 FC TSFR1M+61.448 11/20/2069                                                                  | CUSIP: 38380LQ55<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      560552 | PA      | $560578.82     | 0.00%             | 2069-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TR 2024-B                                                                          | MERCEDES-BENZ AUTO LEASE TR 2024-B 4.89% 02/15/2028                                                                              | CUSIP: 58769GAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6500000 | PA      | $6510877.75    | 0.01%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 02/01/2052#FS8908                                                                                                 | CUSIP: 3140XQ3S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3793368 | PA      | $3319740.17    | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 01/01/2048#ZT2430                                                                                                 | CUSIP: 3132AEVX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      817708 | PA      | $767730.82     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2052#FS7871                                                                                                   | CUSIP: 3140XPW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3056770 | PA      | $2536049.58    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO LTD                                                                                            | SYMPHONY CLO LTD A1AR TSFR3M+118 04/18/2033 144A                                                                                 | CUSIP: 87167GCH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4022744 | PA      | $4021480.82    | 0.01%             | 2033-04-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL5                                                                                     | BX COML MTG TR 2024-XL5 TSFR1M+268.98 03/15/2041 144A                                                                            | CUSIP: 05612GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      682848 | PA      | $683699.51     | 0.00%             | 2041-03-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ACCELERATED 2024-1 LLC                                                                                      | ACCELERATED 2024-1A D LLC 7.85% 08/22/2044 144A                                                                                  | CUSIP: 00440MAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2047064 | PA      | $2064216.64    | 0.00%             | 2044-08-22      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GLDEN BAR SECURITISATION SRL                                                                                | GOLDEN BAR SECURITISATION SRL 2024-1 B 3MEUR+150 09/22/2043 REGS                                                                 | CUSIP: N/A<br>LEI: 549300GESLGUWWGJRM09       | Long             | ABS-CBDO         | CORP              | IT        |       69802 | PA      | $81704.52      | 0.00%             | 2043-09-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AGL CLO 20 LTD                                                                                              | AGL CLO 20 LTD A1R TSFR3M+137 10/20/2037 144A                                                                                    | CUSIP: 00119CAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    16000000 | PA      | $16042496.00   | 0.04%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FORTUNA CONSUMER LOAN ABS 2024-2 DAC                                                                        | FORTUNA CONSUMER LOAN ABS 2024-2 DAC STEP 10/18/2034                                                                             | CUSIP: N/A<br>LEI: 635400WJJIABFKEPEL72       | Long             | ABS-CBDO         | CORP              | IE        |       94088 | PA      | $110855.57     | 0.00%             | 2034-10-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HAH GROUP HOLDING CO LLC                                                                                    | HAH GROUP HOLDING CO LLC 9.75% 10/01/2031 144A                                                                                   | CUSIP: 40518JAA7<br>LEI: 254900FFJQHW9R90FL74 | Long             | DBT              | CORP              | US        |      160000 | PA      | $150918.53     | 0.00%             | 2031-10-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                                                 | ROYAL CARIBBEAN CRUISES LTD 5.625% 09/30/2031 144A                                                                               | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     1230000 | PA      | $1257134.50    | 0.00%             | 2031-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRONOX FIN LLC                                                                                              | TRONOX TERM B 1LN 09/30/2031                                                                                                     | CUSIP: 89705DAP7<br>LEI: 549300LMZ1DX1PWSP524 | Long             | LON              | CORP              | US        |      165000 | PA      | $122887.05     | 0.00%             | 2031-09-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2016-12 LTD                                                                                         | OCP CLO 2016-12 LTD BAR3 TSFR3M+168 10/18/2037 144A                                                                              | CUSIP: 67092RBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250349.00     | 0.00%             | 2037-10-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2024-OMNI                                                                 | J P MORGAN CHASE COML MTG SECS TR 2024-OMNI A VAR 10/05/2039 144A                                                                | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1110000 | PA      | $1130199.34    | 0.00%             | 2039-10-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2024-5C29                                                                                      | BBCMS MTG TR 2024-5C29 XB CSTR 09/15/2057                                                                                        | CUSIP: 05555PAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   147436000 | PA      | $5228906.20    | 0.01%             | 2057-09-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 1.454% 11/01/2032#BM6491                                                                                               | CUSIP: 3140JBF92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5226512 | PA      | $4417304.88    | 0.01%             | 2032-11-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2016-12 LTD                                                                                         | OCP CLO 2016-12 LTD XR3 TSFR3M+120 10/18/2037 144A                                                                               | CUSIP: 67092RAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      200000 | PA      | $200011.00     | 0.00%             | 2037-10-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC                                                                                        | ALPHA GENERATION LLC 6.75% 10/15/2032 144A                                                                                       | CUSIP: 02073LAA9<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |      245000 | PA      | $252151.31     | 0.00%             | 2032-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-2 LTD                                                                                  | EATON VANCE CLO 2020-2 LTD AR2 TSFR3M+138 10/15/2037 144A                                                                        | CUSIP: 27829PAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6200000 | PA      | $6209634.80    | 0.01%             | 2037-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                                                    | SOUTH AFRICA REPUBLIC OF 10% 03/31/2033                                                                                          | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    22669000 | PA      | $1454514.31    | 0.00%             | 2033-03-31      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GREAT PORTLAND ESTATES PLC                                                                                  | GREAT PORTLAND ESTATES PLC 5.375% 09/25/2031 REGS                                                                                | CUSIP: N/A<br>LEI: 213800JMEDD2Q4N1MC42       | Long             | DBT              | CORP              | GB        |      300000 | PA      | $403256.80     | 0.00%             | 2031-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SLAM LTD                                                                                                    | SLAM LTD 2024-1A A 5.335% 09/15/2049 144A                                                                                        | CUSIP: 83100AAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3428537 | PA      | $3486807.11    | 0.01%             | 2049-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-RTL2                                                               | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-RTL2 5.443% 09/25/2039 144A                                                             | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-CBDO         | CORP              | US        |     2000000 | PA      | $2019791.60    | 0.00%             | 2039-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST                                                                                       | TERWIN MORTGAGE TRUST STEP 06/25/2036                                                                                            | CUSIP: 881561VF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      172829 | PA      | $161133.73     | 0.00%             | 2036-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VOYA EURO CLO II DC                                                                                         | VOYA EURO CLO II DC AR 3MEUR+96 07/15/2035 144A                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |     8100000 | PA      | $9374125.43    | 0.02%             | 2035-07-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANCE AUTO LOAN TRUST 2024-3                                                                    | CREDIT ACCEPTANCE AUTO LOAN TRUST 2024-3 5.39% 01/16/2035 144A                                                                   | CUSIP: 22535LAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3000000 | PA      | $3036847.20    | 0.01%             | 2035-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TITANIUM 2L BONDCO SARL                                                                                     | TITANIUM 2L BONDCO SARL PIK 6.25% 01/14/2031                                                                                     | CUSIP: N/A<br>LEI: 636700S4QMU2DWYOSF67       | Long             | DBT              | CORP              | LU        |     3716100 | PA      | $991714.17     | 0.00%             | 2031-01-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OSS 2024-H6 MTG TR                                                                                          | CROSS 2024-H6 MORTGAGE TRUST 5.129% 09/25/2069 144A                                                                              | CUSIP: 227919AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6317234 | PA      | $6335310.40    | 0.01%             | 2069-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TR 2024-2                                                                            | DRIVE AUTO RECEIVABLES TR 2024-2 4.94% 05/17/2032                                                                                | CUSIP: 26207AAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2200000 | PA      | $2218097.86    | 0.01%             | 2032-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N3                                                                      | CARVANA AUTO RECEIVABLES TRUST 2024-N3 5.38% 12/10/2030 144A                                                                     | CUSIP: 14687WAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3000000 | PA      | $2992619.70    | 0.01%             | 2030-12-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                                                      | MORGAN STANLEY CAPITAL I INC 2021-230P TSFR1M+ 12/15/2038 144A                                                                   | CUSIP: 61772WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30000 | PA      | $27978.36      | 0.00%             | 2038-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT FUNDING 9 LTD                                                                                    | OHA CREDIT FUNDING 9 LTD A1R TSFR3M+135 10/19/2037 144A                                                                          | CUSIP: 67690AAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270396.36     | 0.00%             | 2037-10-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT FUNDING 9 LTD                                                                                    | OHA CREDIT FUNDING 9 LTD B1R TSFR3M+170 10/19/2037 144A                                                                          | CUSIP: 67690AAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250688.50     | 0.00%             | 2037-10-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.625% 09/30/2031                                                                                                      | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    67794000 | PA      | $67555662.06   | 0.15%             | 2031-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY562349 11/18/64 B                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      100000 | NC      | $15315.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LBA TR 2024-7IND                                                                                            | LBA TR 2024-7IND D TSFR1M+264.1 10/15/2041 144A                                                                                  | CUSIP: 52109XAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150880 | PA      | $151068.13     | 0.00%             | 2041-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BUBBLES BIDCO SPA                                                                                           | BUBBLES BIDCO SPA 6.5% 09/30/2031 REGS                                                                                           | CUSIP: N/A<br>LEI: 815600073942740CEB24       | Long             | DBT              | CORP              | IT        |      200000 | PA      | $237681.89     | 0.00%             | 2031-09-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HTL COMMERCIAL MORTGAGE TRUST 2024-T53                                                                      | HTL COMMERCIAL MORTGAGE TRUST 2024-T53 D VAR 05/10/2039 144A                                                                     | CUSIP: 404300AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1503605 | PA      | $1537480.77    | 0.00%             | 2039-05-10      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM3 TR                                                                                           | PRPM 2024-NQM3 A1 5.228% 08/25/2069 144A                                                                                         | CUSIP: 69381FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7183784 | PA      | $7217213.84    | 0.02%             | 2069-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XXI DAC                                                                              | CVC CORDATUS LOAN FUND XXI DAC A1E 3MEUR+96 09/22/2034 144A                                                                      | CUSIP: N/A<br>LEI: 549300830IXOSQG2RQ34       | Long             | ABS-CBDO         | CORP              | IE        |     8000000 | PA      | $9263983.73    | 0.02%             | 2034-09-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CONE TR 2024-DFW1                                                                                           | CONE TR 2024-DFW1 TSFR1M+303.971 08/15/2041 144A                                                                                 | CUSIP: 20682AAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43000 | PA      | $42905.78      | 0.00%             | 2041-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MTG LN TR 2019-3                                                                                | RESIDENTIAL MTG LN TR 2019-3 B2 VAR 09/25/2059 144A                                                                              | CUSIP: 76119NAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      136000 | PA      | $135320.84     | 0.00%             | 2059-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PRVD 2A                                                                                                     | PRVD 2A ARR 3MEUR+116 10/15/2038 144A                                                                                            | CUSIP: N/A<br>LEI: 635400JFBYET5G2XFP83       | Long             | ABS-CBDO         | CORP              | IE        |     9500000 | PA      | $11028594.11   | 0.02%             | 2038-10-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES COMPANY                                                                                   | MATADOR RES CO 6.25% 04/15/2033 144A                                                                                             | CUSIP: 576485AH9<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |      340000 | PA      | $339542.33     | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CWALT INC                                                                                                   | CWALT INC TSFR1M+46.448 11/25/2035                                                                                               | CUSIP: 12668AUP8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      135181 | PA      | $97281.31      | 0.00%             | 2035-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LBA TR 2024-7IND                                                                                            | LBA TRUST 2024-7IND A TSFR1M+144.3 10/15/2041 144A                                                                               | CUSIP: 52109XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      591388 | PA      | $591757.28     | 0.00%             | 2041-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COLT 2022-1 MORTGAGE LOAN TRUST                                                                             | COLT 2022-1 MORTGAGE LOAN TRUST VAR 12/27/2066 144A                                                                              | CUSIP: 19688HAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      152000 | PA      | $135372.45     | 0.00%             | 2066-12-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                                   | CDX IG43 5Y ICE                                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |     1900000 | NC      | $4435.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                                                        | ROMANIA REPUBLIC OF 5.75% 03/24/2035 REGS                                                                                        | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      502000 | PA      | $491001.18     | 0.00%             | 2035-03-24      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO VI DAC                                                                                           | ARBOUR CLO VI DAC AR 3MEUR+115 11/15/2037 144A                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |     9400000 | PA      | $10912514.55   | 0.02%             | 2037-11-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| RCKT MTG TR 2024-CES7                                                                                       | RCKT MTG TR 2024-CES7 A1A VAR 10/25/2044 144A                                                                                    | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2622366 | PA      | $2627857.49    | 0.01%             | 2044-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES LLC / WINDSTREAM ESCROW FINANCE CORP                                                    | WINDSTREAM SERVICES LLC / WINDSTREAM ESCROW FINANCE CORP 8.25% 10/01/2031 144A                                                   | CUSIP: 97381AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      405000 | PA      | $420486.80     | 0.00%             | 2031-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                                                 | WAYFAIR LLC 7.25% 10/31/2029 144A                                                                                                | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |      540000 | PA      | $561733.38     | 0.00%             | 2029-10-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                                            | T-MOBILE USA INC 4.7% 01/15/2035                                                                                                 | CUSIP: 87264ADM4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     2510000 | PA      | $2489799.12    | 0.01%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE GLOBAL FUNDING                                                                                | GUARDIAN LIFE GLOBAL FUNDING 4.179% 09/26/2029 144A                                                                              | CUSIP: 40139LBJ1<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |      190000 | PA      | $190156.77     | 0.00%             | 2029-09-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2024-NSTB                                                                           | MORGAN STANLEY CAP I TR 2024-NSTB A VAR 07/20/2032 144A                                                                          | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12562608 | PA      | $12376914.28   | 0.03%             | 2057-09-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DAVE and BUSTERS INC                                                                                        | DAVE and BUSTER'S TERM B 1LN 11/01/2031                                                                                          | CUSIP: 23833EAY0<br>LEI: 549300JAVWTAY1FT5Z45 | Long             | LON              | CORP              | US        |      229049 | PA      | $202078.59     | 0.00%             | 2031-11-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                                                     | HYUNDAI CAP AMER 4.55% 09/26/2029 144A                                                                                           | CUSIP: 44891ADG9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     2700000 | PA      | $2713814.42    | 0.01%             | 2029-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMSR 2021-SFR4 TRUST                                                                                        | AMSR 2021-SFR4 TRUST 3.158% 12/17/2038 144A                                                                                      | CUSIP: 66982FAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2500000 | PA      | $2418460.25    | 0.01%             | 2038-12-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMSR 2022-SFR3 TRUST                                                                                        | AMSR 2022-SFR3 F TRUST 4% 10/17/2039 144A                                                                                        | CUSIP: 66981YAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2400000 | PA      | $2307087.60    | 0.01%             | 2039-10-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                                         | GSCOFI SWAP CY873248 04/17/65 B                                                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      100000 | NC      | $17349.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SABLE INTL FINANCE LTD                                                                                      | SABLE INTL FIN LTD 7.125% 10/15/2032 144A                                                                                        | CUSIP: 785712AK6<br>LEI: 2138009IE9A35LO5JS73 | Long             | DBT              | CORP              | KY        |      315000 | PA      | $317674.35     | 0.00%             | 2032-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DAVIDE CAMPARI MILANO NV                                                                                    | DAVIDE CAMPARI MILANO NV CONV 2.375% 01/17/2029 REGS                                                                             | CUSIP: N/A<br>LEI: 213800ED5AN2J56N6Z02       | Long             | DBT              | CORP              | NL        |      800000 | PA      | $902535.75     | 0.00%             | 2029-01-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2022-1                                                               | VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2022-1 M4 VAR 02/25/2052 144A                                                             | CUSIP: 92258XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       72559 | PA      | $62384.03      | 0.00%             | 2052-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2022-SFR1                                                                         | NEW RESIDENTIAL MTG LN TR 2022-SFR1 F 4.443% 02/17/2039 144A                                                                     | CUSIP: 64831KAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2100000 | PA      | $2061364.62    | 0.00%             | 2039-02-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 4.2% 09/27/2029                                                                                                      | CUSIP: 68389XCS2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $7894047.68    | 0.02%             | 2029-09-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 5.375% 09/27/2054                                                                                                    | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       31000 | PA      | $26480.06      | 0.00%             | 2054-09-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                                             | DANSKE BANK AS (UNGTD) 4.613%/VAR 10/02/2030 144A                                                                                | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      412000 | PA      | $415817.34     | 0.00%             | 2030-10-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NBN CO LTD                                                                                                  | NBN CO LTD 4% 10/01/2027 144A                                                                                                    | CUSIP: 62878U2H4<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |     7200000 | PA      | $7181920.22    | 0.02%             | 2027-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                                                                                 | AKER BP ASA 5.8% 10/01/2054 144A                                                                                                 | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |      180000 | PA      | $166643.61     | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REGATA XII FUNDING LTD                                                                                      | REGATA XII FUNDING LTD ARR TSFR3M+139 10/15/2037 144A                                                                            | CUSIP: 75888HAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1320000 | PA      | $1322970.00    | 0.00%             | 2037-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-RPL4                                                                 | CHASE HOME LENDING MORTGAGE TRUST 2024-RPL4 3.375% 12/25/2064 144A                                                               | CUSIP: 16160NAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10236508 | PA      | $9334947.27    | 0.02%             | 2064-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 01/01/2051#FM7484                                                                                                 | CUSIP: 3140XBJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6496232 | PA      | $5658742.81    | 0.01%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BMD2 RE-REMIC TR 2019-FRR1                                                                                  | BMD2 RE-REMIC TR 2019-FRR1 6C 0% 05/25/2052 144A                                                                                 | CUSIP: 055631CJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4200000 | PA      | $3242973.30    | 0.01%             | 2052-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DRYDEN 45 SENIOR LOAN FUND                                                                                  | DRYDEN 45 SENIOR LOAN FUND BRR TSFR3M+165 10/15/2030 144A                                                                        | CUSIP: 26244MBA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4000000 | PA      | $4002392.00    | 0.01%             | 2030-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 04/01/2047#FP0111                                                                                                   | CUSIP: 3140XTDR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4593007 | PA      | $4251251.83    | 0.01%             | 2047-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD                                                                                          | SANDSTONE PEAK LTD A2R TSFR3M+168 10/15/2034 144A                                                                                | CUSIP: 800130AQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250309.00     | 0.00%             | 2034-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD                                                                                          | SANDSTONE PEAK LTD B1R TSFR3M+183 10/15/2034 144A                                                                                | CUSIP: 800130AS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250125.00     | 0.00%             | 2034-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 4.15% 02/15/2028                                                                                                    | CUSIP: 11135FCA7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     4046000 | PA      | $4065547.16    | 0.01%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 4.35% 02/15/2030                                                                                                    | CUSIP: 11135FCB5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     8740000 | PA      | $8814489.36    | 0.02%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 4.55% 02/15/2032                                                                                                    | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      194000 | PA      | $196295.12     | 0.00%             | 2032-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 4.8% 10/15/2034                                                                                                     | CUSIP: 11135FCD1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      655000 | PA      | $664140.61     | 0.00%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 02/01/2052#FS8764                                                                                                   | CUSIP: 3140XQW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1071428 | PA      | $889915.20     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY562349 11/18/64 B                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      600000 | NC      | $91891.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                                                      | VENTURE GLOBAL LNG INC 9%/VAR PERP 144A                                                                                          | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | EP               | CORP              | US        |     6155000 | PA      | $5239655.61    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 09/01/2054#SD7574                                                                                                   | CUSIP: 3132DVMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14595787 | PA      | $15145386.69   | 0.03%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                                                               | ECHOSTAR CORP 10.75% 11/30/2029                                                                                                  | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |     4804600 | PA      | $5297071.50    | 0.01%             | 2029-11-30      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 09/01/2054#SD6419                                                                                                   | CUSIP: 3132DUDY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15486525 | PA      | $16167666.86   | 0.04%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| APCOA PARKING HOLDINGS GMBH                                                                                 | APCOA PARKING HOLDINGS GMBH 6% 04/15/2031 REGS                                                                                   | CUSIP: N/A<br>LEI: 529900H8FIYAOV5FUW68       | Long             | DBT              | CORP              | DE        |      235000 | PA      | $276536.15     | 0.00%             | 2031-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OEG FINANCE PLC                                                                                             | OEG FINANCE PLC 7.25% 09/27/2029 REGS                                                                                            | CUSIP: N/A<br>LEI: 254900KMBHWF9UK63G44       | Long             | DBT              | CORP              | GB        |      257000 | PA      | $311434.01     | 0.00%             | 2029-09-27      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DYNAMO NEWCO II GMBH                                                                                        | DYNAMO NEWCO II GMBH 6.25% 10/15/2031 REGS                                                                                       | CUSIP: N/A<br>LEI: 391200FDSPYB8FKV7F97       | Long             | DBT              | CORP              | DE        |      150000 | PA      | $175421.25     | 0.00%             | 2031-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RR 32 LTD / RR 32 LLC                                                                                       | RR 32 LTD / RR 32 LLC A2R TSFR3M+170 10/15/2039 144A                                                                             | CUSIP: 74988CAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250597.25     | 0.00%             | 2039-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| RR 32 LTD / RR 32 LLC                                                                                       | RR 32 LTD / RR 32 LLC A1R TSFR3M+136 10/15/2039 144A                                                                             | CUSIP: 74988CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250544.50     | 0.00%             | 2039-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HILL 2024-2FL D                                                                                             | HILL 2024-2FL D 1MEUR+195 10/18/2032 REGS                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | NL        |       93194 | PA      | $106559.65     | 0.00%             | 2032-10-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                                                | US FOODS INC 5.75% 04/15/2033 144A                                                                                               | CUSIP: 90290MAJ0<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |      595000 | PA      | $605709.41     | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SHR TR 2024-LXRY                                                                                            | SHR TR 2024-LXRY D TSFR1M+350 10/15/2041 144A                                                                                    | CUSIP: 784234AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      101000 | PA      | $101063.13     | 0.00%             | 2041-10-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS                                                                                                | NEW FORTRESS 12% 11/15/2029 144A                                                                                                 | CUSIP: 62909BAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       88505 | PA      | $22427.17      | 0.00%             | 2029-11-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 08/01/2052#FS8710                                                                                                   | CUSIP: 3140XQVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9313528 | PA      | $8413684.60    | 0.02%             | 2052-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SHR TR 2024-LXRY                                                                                            | SHR TR 2024-LXRY TSFR1M+195 10/15/2041 144A                                                                                      | CUSIP: 784234AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      498000 | PA      | $498311.25     | 0.00%             | 2041-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                                   | CDX HY43 5Y ICE                                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |    82900000 | NC      | $1017970.29    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC                                                                                       | BELRON UK FINANCE PLC 5.75% 10/15/2029 144A                                                                                      | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $203386.20     | 0.00%             | 2029-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2018-II LTD                                                                                    | CIFC FUNDING 2018-II LTD A1R TSFR3M+137 10/20/2037 144A                                                                          | CUSIP: 17180WAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    28750000 | PA      | $28806350.00   | 0.07%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2024-37 LTD / OCPCLO 2024-37 LLC                                                                    | OCP CLO 2024-37 LTD / OCPCLO 2024-37 LLC A1 TSFR3M+136 10/15/2037 144A                                                           | CUSIP: 67120AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250495.75     | 0.00%             | 2037-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2024-37 LTD / OCPCLO 2024-37 LLC                                                                    | OCP CLO 2024-37 LTD / OCPCLO 2024-37 LLC B1 TSFR3M+168 10/15/2037 144A                                                           | CUSIP: 67120AAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250642.25     | 0.00%             | 2037-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-2 LTD                                                                          | BAIN CAPITAL CREDIT CLO 2021-2 LTD A1R TSFR3M+123 07/16/2034 144A                                                                | CUSIP: 05684RAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13800000 | PA      | $13819430.40   | 0.03%             | 2034-07-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HIH TRUST 2024-61P                                                                                          | HIH TRUST 2024-61P A TSFR1M+ 10/15/2041 144A                                                                                     | CUSIP: 40444VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      177346 | PA      | $177789.04     | 0.00%             | 2041-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TEREX CORP                                                                                                  | TEREX CORP NEW 6.25% 10/15/2032 144A                                                                                             | CUSIP: 880779BB8<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |      265000 | PA      | $270555.20     | 0.00%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HIH TRUST 2024-61P                                                                                          | HIH TRUST 2024-61P D TSFR1M+ 10/15/2041 144A                                                                                     | CUSIP: 40444VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       68968 | PA      | $69269.49      | 0.00%             | 2041-10-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| LV TR 2024-SHOW                                                                                             | LV TR 2024-SHOW A VAR 10/10/2029 144A                                                                                            | CUSIP: 50245XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22005 | PA      | $22430.24      | 0.00%             | 2041-10-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANSN and INFRASTRUCTURE INVS LLC                                                                 | FORTRESS TRANSN and INFRASTRUCTURE INVS LLC 5.875% 04/15/2033 144A                                                               | CUSIP: 34960PAH4<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |      180000 | PA      | $182251.44     | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EDGE FINCO PLC                                                                                              | EDGE FINCO PLC 8.125% 08/15/2031 REGS                                                                                            | CUSIP: N/A<br>LEI: 648835NI8LJE5190NT73       | Long             | DBT              | CORP              | GB        |      200000 | PA      | $279288.10     | 0.00%             | 2031-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ARES LV CLO LTD                                                                                             | ARES LV CLO LTD A1R2 TSFR3M+137 10/15/2037 144A                                                                                  | CUSIP: 04018BAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4228000 | PA      | $4243330.73    | 0.01%             | 2037-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                                               | BGC GROUP INC 6.6% 06/10/2029                                                                                                    | CUSIP: 05555LAB7<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3129259.62    | 0.01%             | 2029-06-10      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                                              | FAIRFAX FINANCIAL HLDGS LTD 6% 12/07/2033                                                                                        | CUSIP: 303901BN1<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     3200000 | PA      | $3404257.57    | 0.01%             | 2033-12-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 5.5% 09/20/2054#MA9906                                                                                                   | CUSIP: 36180AAF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    15469139 | PA      | $15639913.68   | 0.04%             | 2054-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES TR 2024-IND2                                                                                           | ARES TR 2024-IND2 A TSFR1M+144.3 10/15/2034 144A                                                                                 | CUSIP: 04021EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      680000 | PA      | $680000.00     | 0.00%             | 2034-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CWALT INC                                                                                                   | CWALT INC 2005-29CB A6 5.5% 07/25/2035                                                                                           | CUSIP: 12667GUS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       77347 | PA      | $42922.79      | 0.00%             | 2035-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT FUNDING 5 LTD                                                                                    | OHA CREDIT FUNDING 5 LTD B1R TSFR3M+170 10/18/2037 144A                                                                          | CUSIP: 67113GAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250710.50     | 0.00%             | 2037-10-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                                                                                       | ACCENTURE CAPITAL INC 4.25% 10/04/2031                                                                                           | CUSIP: 00440KAC7<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |     3330000 | PA      | $3338057.23    | 0.01%             | 2031-10-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FERGUSON ENTERPRISES INC                                                                                    | FERGUSON ENTERPRISES INC 5% 10/03/2034                                                                                           | CUSIP: 31488VAA5<br>LEI: 2138003JYQMRP3SLX189 | Long             | DBT              | CORP              | US        |      840000 | PA      | $852224.53     | 0.00%             | 2034-10-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 10/01/2054#CB9336                                                                                                   | CUSIP: 3140QVLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1974492 | PA      | $2057634.08    | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 09/01/2054#CB9149                                                                                                   | CUSIP: 3140QVEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1599064 | PA      | $1669395.05    | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TR 2024-BRBK                                                                                             | BX TR 2024-BRBK TSFR1M+597.052 10/15/2041 144A                                                                                   | CUSIP: 05613NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21000 | PA      | $20903.48      | 0.00%             | 2041-10-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| BX TR 2024-BRBK                                                                                             | BX TR 2024-BRBK TSFR1M+392.66 10/15/2041 144A                                                                                    | CUSIP: 05613NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1199000 | PA      | $1199001.44    | 0.00%             | 2041-10-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BIOCON BIOLOGICS GLOBAL PLC                                                                                 | BIOCON BIOLOGICS GLOBAL PLC 6.67% 10/09/2029 REGS                                                                                | CUSIP: N/A<br>LEI: 254900PMQN51VACG2D55       | Long             | DBT              | CORP              | GB        |      800000 | PA      | $787254.48     | 0.00%             | 2029-10-09      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2022-1 LTD                                                                                    | WELLFLEET CLO 2022-1 LTD A1RN TSFR3M+142 07/15/2037 144A                                                                         | CUSIP: 94950TAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7750000 | PA      | $7757672.50    | 0.02%             | 2037-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ABU DHABI NATL ENERGY CO PJSC                                                                               | ABU DHABI NATL ENERGY CO PJSC 4.375% 10/09/2031 144A                                                                             | CUSIP: 00388WAQ4<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |    11000000 | PA      | $11026070.00   | 0.02%             | 2031-10-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP/FIN CO                                                                                  | HILCORP ENERGY I LP/FIN CO 7.25% 02/15/2035 144A                                                                                 | CUSIP: 431318BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $95126.27      | 0.00%             | 2035-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES5                                                                         | TOWD POINT MORTGAGE TRUST 2024-CES5 5.202% 09/25/2064 144A                                                                       | CUSIP: 89183QAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3000000 | PA      | $2986251.00    | 0.01%             | 2064-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES5                                                                         | TOWD POINT MORTGAGE TRUST 2024-CES5 5.167% 09/25/2064 144A                                                                       | CUSIP: 89183QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3647001 | PA      | $3648357.04    | 0.01%             | 2064-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TR 2024-BRBK                                                                                             | BX TR 2024-BRBK A TSFR1M+287.964 10/15/2041 144A                                                                                 | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      460000 | PA      | $461150.00     | 0.00%             | 2041-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| LENDMARK FDG TR 2024-2                                                                                      | LENDMARK FDG TR 2024-2 4.86% 02/21/2034 144A                                                                                     | CUSIP: 52590AAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $100452.34     | 0.00%             | 2034-02-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                                               | BMP 2024-MF23 D TSFR1M+ 06/15/2041 144A                                                                                          | CUSIP: 05593JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1463000 | PA      | $1463911.74    | 0.00%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ASCENT RESOURCES UTICA LLC / ARU FIN CORP                                                                   | ASCENT RESOURCES UTICA LLC / ARU FIN CORP 6.625% 10/15/2032 144A                                                                 | CUSIP: 04364VAX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      790000 | PA      | $808058.61     | 0.00%             | 2032-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                                                   | CAESARS ENTERTAINMENT INC 6% 10/15/2032 144A                                                                                     | CUSIP: 12769GAD2<br>LEI: 5299000BKFWWVND5L441 | Long             | DBT              | CORP              | US        |       80000 | PA      | $76322.44      | 0.00%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BALCAN INNOVATIONS INC                                                                                      | BALCAN INNOVATIONS TERM B 1LN 10/18/2031                                                                                         | CUSIP: N/A<br>LEI: 549300C2CLNRVCUDIH93       | Long             | LON              | CORP              | CA        |      134274 | PA      | $106076.81     | 0.00%             | 2031-10-18      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| TCP SUNBELT ACQUISITION CO                                                                                  | SUNBELT SOLOMON TERM B 1LN 10/24/2031                                                                                            | CUSIP: 87233DAB3<br>LEI: 549300P5GYKSLPTV1Y23 | Long             | LON              | CORP              | US        |      173688 | PA      | $173470.39     | 0.00%             | 2031-10-24      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 10/01/2054#RJ2642                                                                                                   | CUSIP: 3142GS5C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2897525 | PA      | $3019533.66    | 0.01%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                                                                       | ENTERPRISE FLEET FINANCING 2024-4 LLC 4.56% 11/20/2028 144A                                                                      | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3400000 | PA      | $3434239.70    | 0.01%             | 2028-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OFSI BSL XIV CLO LTD                                                                                        | OFSI BSL XIV CLO LTD A TSFR3M+146 07/20/2037 144A                                                                                | CUSIP: 67119GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10000000 | PA      | $10007480.00   | 0.02%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FS RIALTO 2024-FL9 ISSUER LLC                                                                               | FS RIALTO 2024-FL9 ISSUER LLC A TSFR1M+163.063 10/19/2039 144A                                                                   | CUSIP: 30338WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      245000 | PA      | $245919.93     | 0.00%             | 2039-10-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2021-SFR2 TR                                                                                 | FIRSTKEY HOMES 2021-SFR2 F2 TR 3.157% 09/17/2038 144A                                                                            | CUSIP: 33767TAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2400000 | PA      | $2341003.92    | 0.01%             | 2038-09-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VELOCITY COML CAP LN TR 2024-5                                                                              | VELOCITY COML CAP LN TR 2024-5 M2 VAR 10/25/2054 144A                                                                            | CUSIP: 92261AAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       97395 | PA      | $96987.05      | 0.00%             | 2054-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2021-SFR3 TR                                                                                 | FIRSTKEY HOMES 2021-SFR3 F2 TR 3.832% 12/17/2038 144A                                                                            | CUSIP: 33768JAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3000000 | PA      | $2928265.80    | 0.01%             | 2038-12-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VELOCITY COML CAP LN TR 2024-5                                                                              | VELOCITY COML CAP LN TR 2024-5 VAR 10/25/2054 144A                                                                               | CUSIP: 92261ABA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      185668 | PA      | $186333.88     | 0.00%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VELOCITY COML CAP LN TR 2024-5                                                                              | VELOCITY COML CAP LN TR 2024-5 M3 VAR 10/25/2054 144A                                                                            | CUSIP: 92261AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       85231 | PA      | $85418.99      | 0.00%             | 2054-10-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-R1 LLC                                                                                            | CFMT 2024-R1 A1 LLC 4% 10/25/2054 144A                                                                                           | CUSIP: 12530YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      275861 | PA      | $271706.89     | 0.00%             | 2054-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 04/01/2052#SD1090                                                                                                   | CUSIP: 3132DNF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41248 | PA      | $34195.28      | 0.00%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 03/01/2051#QB8975                                                                                                   | CUSIP: 3133AF6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21459 | PA      | $17843.35      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 03/01/2051#QB9482                                                                                                   | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      251523 | PA      | $208911.58     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 03/01/2051#QB9961                                                                                                   | CUSIP: 3133AHB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      312384 | PA      | $259462.18     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 03/01/2051#QC0041                                                                                                   | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      288698 | PA      | $239789.32     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 09/01/2051#QC7127                                                                                                   | CUSIP: 3133AR4L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      236324 | PA      | $195918.46     | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 09/01/2051#QC6303                                                                                                   | CUSIP: 3133ARAC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      235992 | PA      | $195643.53     | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 10/01/2050#BQ1905                                                                                                   | CUSIP: 3140KMDK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27420 | PA      | $22800.06      | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 02/01/2051#BR2644                                                                                                   | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24030 | PA      | $19981.25      | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2051#BR4722                                                                                                   | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25062 | PA      | $20816.32      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2051#BR4756                                                                                                   | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31804 | PA      | $26416.34      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2051#BR5487                                                                                                   | CUSIP: 3140L4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20997 | PA      | $17440.10      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 05/01/2051#BR6340                                                                                                   | CUSIP: 3140L5BJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       71627 | PA      | $59492.69      | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 11/01/2051#BU5836                                                                                                   | CUSIP: 3140M7PW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      145903 | PA      | $120957.55     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 01/01/2051#CA8440                                                                                                   | CUSIP: 3140QGLW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74455 | PA      | $61911.15      | 0.00%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2051#FM6343                                                                                                   | CUSIP: 3140XABM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      159498 | PA      | $132477.47     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 10/01/2051#FM9080                                                                                                   | CUSIP: 3140XDCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      158845 | PA      | $131686.16     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| IHO VERWALTUNGS GMBH                                                                                        | IHO VERWALTUNGS GMBH PIK VAR 11/15/2031 REGS                                                                                     | CUSIP: N/A<br>LEI: 529900JL0HDVGZMUJF32       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $124894.07     | 0.00%             | 2031-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                                                         | CHENIERE ENERGY INC 5.65% 04/15/2034                                                                                             | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     3864000 | PA      | $4029882.18    | 0.01%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN LLC/JFIN                                                                                      | JEFFERIES FIN LLC/JFIN 6.625% 10/15/2031 144A                                                                                    | CUSIP: 47232MAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       60000 | PA      | $58557.22      | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-R1 LLC                                                                                            | CFMT 2024-R1 LLC 4% 10/25/2054 144A                                                                                              | CUSIP: 12530YAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $144287.91     | 0.00%             | 2054-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                                                                            | WELLS FARGO COML MTG 2024-GRP A TSFR1M+179.132 10/15/2041 144A                                                                   | CUSIP: 95003YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6587000 | PA      | $6587272.70    | 0.01%             | 2041-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                                                                            | WELLS FARGO COML MTG TR 2024-GRP TSFR1M+229.06 10/15/2041 144A                                                                   | CUSIP: 95003YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4700000 | PA      | $4709207.30    | 0.01%             | 2041-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KBC GROUPE SA/NV                                                                                            | KBC GROUPE SA/NV 4.932%/VAR 10/16/2030 144A                                                                                      | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |     8910000 | PA      | $9089772.35    | 0.02%             | 2030-10-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS HOLDINGS LLC                                                                             | EASTERN ENERGY GAS HOLDINGS LLC 5.65% 10/15/2054                                                                                 | CUSIP: 27636AAA0<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |     1580000 | PA      | $1557269.55    | 0.00%             | 2054-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                                                                          | PRPM 2024-RCF6 A1 LLC VAR 10/25/2054 144A                                                                                        | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      249014 | PA      | $245527.88     | 0.00%             | 2064-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PATRICK INDUSTRIES INC                                                                                      | PATRICK INDUSTRIES INC 6.375% 11/01/2032 144A                                                                                    | CUSIP: 703343AH6<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |      250000 | PA      | $256047.25     | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT VAR 11/25/2032                                                                                    | CUSIP: 3137HDJN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       62009 | PA      | $62321.24      | 0.00%             | 2032-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                                                                        | SHELL FINANCE US INC 4% 05/10/2046                                                                                               | CUSIP: 822905AE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       87000 | PA      | $71928.57      | 0.00%             | 2046-05-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                                                                        | SHELL FINANCE US INC 3.75% 09/12/2046                                                                                            | CUSIP: 822905AH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       65000 | PA      | $51602.56      | 0.00%             | 2046-09-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MFA 2024-NPL1 TRUST                                                                                         | MFA 2024-NPL1 TRUST 6.33% 09/25/2054                                                                                             | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      490525 | PA      | $493756.21     | 0.00%             | 2054-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                                                      | STANDARD CHARTERED PLC 5.005%/VAR 10/15/2030 144A                                                                                | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     5900000 | PA      | $6031138.00    | 0.01%             | 2030-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TR 2024-ATRM                                                                         | ATRIUM HOTEL PORTFOLIO TR 2024-ATRM E 9.52014% 11/10/2029 144A                                                                   | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84000 | PA      | $86239.05      | 0.00%             | 2029-11-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TR 2024-ATRM                                                                         | ATRIUM HOTEL PORTFOLIO TR 2024-ATRM 5.58952% 11/10/2029 144A                                                                     | CUSIP: 04963XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      410000 | PA      | $419215.28     | 0.00%             | 2029-11-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                                                        | ROYAL BANK OF CANADA 4.65%/VAR 10/18/2030                                                                                        | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     3805000 | PA      | $3861744.50    | 0.01%             | 2030-10-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                                                        | CLEVELAND-CLIFFS INC 7.375% 05/01/2033 144A                                                                                      | CUSIP: 185899AR2<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      510000 | PA      | $526009.21     | 0.00%             | 2033-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                                                        | CLEVELAND-CLIFFS INC 6.875% 11/01/2029 144A                                                                                      | CUSIP: 185899AQ4<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     1040000 | PA      | $1070007.12    | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2020-3 LTD                                                                          | BAIN CAPITAL CREDIT CLO 2020-3 LTD A1RR TSFR3M+121 10/23/2034 144A                                                               | CUSIP: 05684CAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7300000 | PA      | $7304095.30    | 0.02%             | 2034-10-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                                                      | GREENSKY HOME IMPROVEMENT TRUST 2024-2 5.25% 10/27/2059 144A                                                                     | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1221882 | PA      | $1225256.26    | 0.00%             | 2059-10-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK                                                                                            | NORINCHUKIN BANK 5.094% 10/16/2029 144A                                                                                          | CUSIP: 656029AN5<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    10000000 | PA      | $10231227.00   | 0.02%             | 2029-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA COS GLOBAL FUNDING                                                                          | MUTUAL OF OMAHA COS GLOBAL FUNDING 4.75% 10/15/2029 144A                                                                         | CUSIP: 62829D2E9<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1627748.50    | 0.00%             | 2029-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSTL COMMERCIAL MORTGAGE TRUST 2024-GATE                                                                    | CSTL COMMERCIAL MORTGAGE TRUST 2024-GATE A VAR 11/10/2029 144A                                                                   | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      440000 | PA      | $443202.50     | 0.00%             | 2041-11-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2024-CES2                                                                   | BRAVO RESIDENTIAL FUNDING TRUST 2024-CES2 5.549% 09/25/2054 144A                                                                 | CUSIP: 10570PAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      377386 | PA      | $379386.53     | 0.00%             | 2054-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GAM RE-REMIC TRUST 2021-FRR1                                                                                | GAM RE-REMIC TRUST 2021-FRR1 1D 0% 11/29/2050 144A                                                                               | CUSIP: 364614AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4495603.00    | 0.01%             | 2050-11-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2022-SFR2 TRUST                                                                              | FIRSTKEY HOMES 2022-SFR2 F1 TRUST 4.5% 07/17/2039 144A                                                                           | CUSIP: 33767PAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4000000 | PA      | $3889444.00    | 0.01%             | 2039-07-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST 2024-B                                                                       | MARINER FINANCE ISSUANCE TRUST 2024-BA E 8.8% 11/20/2038 144A                                                                    | CUSIP: 56847GAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4000000 | PA      | $4212356.80    | 0.01%             | 2038-11-20      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                                                      | GREENSKY HOME IMPROVEMENT TRUST 2024-2 A3 5.15% 10/27/2059 144A                                                                  | CUSIP: 39571XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3500000 | PA      | $3566844.40    | 0.01%             | 2059-10-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                                                      | GREENSKY HOME IMPROVEMENT TRUST 2024-2 A4 5.15% 10/27/2059 144A                                                                  | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      124688 | PA      | $126831.11     | 0.00%             | 2059-10-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST 2024-B                                                                       | MARINER FINANCE ISSUANCE TRUST 2024-B 4.91% 11/20/2038 144A                                                                      | CUSIP: 56847GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      792000 | PA      | $806404.90     | 0.00%             | 2038-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                                                      | GREENSKY HOME IMPROVEMENT TRUST 2024-2 5.26% 10/27/2059 144A                                                                     | CUSIP: 39571XAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      758000 | PA      | $767733.78     | 0.00%             | 2059-10-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2024-PURE                                                                      | BX COMMERCIAL MORTGAGE TRUST 2024-PURE CAON+190 11/15/2029 144A                                                                  | CUSIP: 74625PAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |       68106 | PA      | $48857.58      | 0.00%             | 2041-11-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2024-6 LTD                                                                                   | CARLYLE US CLO 2024-6 LTD E TSFR3M+575 10/25/2037 144A                                                                           | CUSIP: 14319QAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      150000 | PA      | $151007.85     | 0.00%             | 2037-10-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 10/01/2054#SD8469                                                                                                 | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7616571 | PA      | $7715612.95    | 0.02%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 04/01/2054#RJ2091                                                                                                 | CUSIP: 3142GSKD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      920673 | PA      | $933508.42     | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 02/01/2053#BX6155                                                                                                   | CUSIP: 3140NAZV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38717 | PA      | $38827.64      | 0.00%             | 2053-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 04/01/2053#BX8230                                                                                                   | CUSIP: 3140NDEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1118884 | PA      | $1123851.36    | 0.00%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST 2024-MH1                                                                             | CASCADE MH ASSET TRUST 2024-MH1 B2 VAR 11/25/2056 144A                                                                           | CUSIP: 14731VAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1450000 | PA      | $1472997.87    | 0.00%             | 2056-11-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST 2024-MH1                                                                             | CASCADE MH ASSET TRUST 2024-MH1 B1 VAR 11/25/2056 144A                                                                           | CUSIP: 14731VAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2123000 | PA      | $2248575.03    | 0.01%             | 2056-11-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 10/01/2054#DC3051                                                                                                   | CUSIP: 3140AQL91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8043443 | PA      | $8037048.38    | 0.02%             | 2054-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2                                                                                            | PIKES PEAK CLO 2 ARR TSFR3M+122 10/11/2034 144A                                                                                  | CUSIP: 72133JAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5000000 | PA      | $4999985.00    | 0.01%             | 2034-10-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2019-I LTD                                                                                     | CIFC FUNDING 2019-I LTD A1R2 TSFR3M+136 10/20/2037 144A                                                                          | CUSIP: 12553DAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      294000 | PA      | $295145.72     | 0.00%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 4                                                                                            | PIKES PEAK CLO 4 ARR TSFR3M+121 07/15/2034 144A                                                                                  | CUSIP: 72132WAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11300000 | PA      | $11314509.20   | 0.03%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY SR INC                                                                                         | ARBOR REALTY SR INC 9% 10/15/2027 144A                                                                                           | CUSIP: 03881NAG2<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3062635.86    | 0.01%             | 2027-10-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| OHA CR FDG 6 LTD / OHA CR FDG 6 LLC                                                                         | OHA CR FDG 6 LTD / OHA CR FDG 6 LLC AR2 TSFR3M+133 10/20/2037 144A                                                               | CUSIP: 67098UAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4087000 | PA      | $4092799.45    | 0.01%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 10/01/2053#CB7297                                                                                                 | CUSIP: 3140QTDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3033150 | PA      | $3123776.11    | 0.01%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 11/01/2054#SD8474                                                                                                   | CUSIP: 3132DWMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    73194173 | PA      | $73107393.72   | 0.17%             | 2054-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 11/01/2052#CB5052                                                                                                   | CUSIP: 3140QQTJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29889 | PA      | $30031.36      | 0.00%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 10/01/2051#FS4269                                                                                                   | CUSIP: 3140XKW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67776 | PA      | $56357.18      | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COLT 2024-6 MORTGAGE LOAN TRUST                                                                             | COLT 2024-6 MORTGAGE LOAN TRUST 5.39% 11/25/2069 144A                                                                            | CUSIP: 19688XAA4<br>LEI: 213800U2X2TO1PQH1O75 | Long             | ABS-CBDO         | CORP              | US        |      760849 | PA      | $765665.48     | 0.00%             | 2069-11-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2022-SFR3 TRUST                                                                              | FIRSTKEY HOMES 2022-SFR3 TRUST 0% 07/17/2038 144A                                                                                | CUSIP: 33768EAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2000000 | PA      | $1918933.00    | 0.00%             | 2038-07-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 4.505%/VAR 10/22/2028                                                                                      | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2979000 | PA      | $3006041.87    | 0.01%             | 2028-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 4.603%/VAR 10/22/2030                                                                                      | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    39347000 | PA      | $39990080.68   | 0.09%             | 2030-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-10                                                                            | ANGEL OAK MORTGAGE TRUST 2024-10 5.348% 10/25/2069 144A                                                                          | CUSIP: 034933AA9<br>LEI: 254900QN92XYN8GJBJ44 | Long             | ABS-CBDO         | CORP              | US        |      529465 | PA      | $532717.76     | 0.00%             | 2069-10-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 4.946%/VAR 10/22/2035                                                                                      | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1525000 | PA      | $1553727.83    | 0.00%             | 2035-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                                                     | JANE STREET GRP/JSG FIN 6.125% 11/01/2032 144A                                                                                   | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1210000 | PA      | $1230916.06    | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 4.692%/VAR 10/23/2030                                                                              | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     7135000 | PA      | $7252008.36    | 0.02%             | 2030-10-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 5.016%/VAR 10/23/2035                                                                              | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     4065000 | PA      | $4128225.75    | 0.01%             | 2035-10-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-INV1                                                                                   | NYMT LOAN TRUST 2024-INV1 5.379% 06/25/2069 144A                                                                                 | CUSIP: 62956XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3070741 | PA      | $3086346.10    | 0.01%             | 2069-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RAIN CITY MORTGAGE TRUST 2024-RTL1                                                                          | RAIN CITY MORTGAGE TRUST 2024-RTL1 6.53% 09/25/2029 144A                                                                         | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      338000 | PA      | $341694.78     | 0.00%             | 2029-09-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST 2024-2                                                                                | TOORAK MORTGAGE TRUST 2024-2 6.329% 10/25/2031 144A                                                                              | CUSIP: 89055KAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      252000 | PA      | $253989.09     | 0.00%             | 2031-10-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2021-15 LTD / ELEVATION CLO 2021-15 LLC                                                       | ELEVATION CLO 2021-15 LTD / ELEVATION CLO 2021-15 LLC A1R2 TSFR3M+130 01/25/2035 144A                                            | CUSIP: 28623VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12500000 | PA      | $12475300.00   | 0.03%             | 2035-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                                              | PNC FINANCIAL SERVICES GRP INC 4.812%/VAR 10/21/2032                                                                             | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |      385000 | PA      | $392820.94     | 0.00%             | 2032-10-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2024-3                                                                                | OPORTUN FUNDING TRUST 2024-3 5.26% 08/15/2029 144A                                                                               | CUSIP: 68377NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      442035 | PA      | $441591.34     | 0.00%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 4.654%/VAR 10/18/2030                                                                                             | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    40360000 | PA      | $40955586.47   | 0.09%             | 2030-10-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                                              | NRG ENERGY INC 6% 02/01/2033 144A                                                                                                | CUSIP: 629377CW0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102119.70     | 0.00%             | 2033-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                                              | NRG ENERGY INC 6.25% 11/01/2034 144A                                                                                             | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      435000 | PA      | $448280.12     | 0.00%             | 2034-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SC GERMANY CONSUMER 2024-2                                                                                  | SC GERMANY CONSUMER 2024-2 D 1MEUR+0 05/14/2038 REGS                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | LU        |      100000 | PA      | $116164.92     | 0.00%             | 2038-05-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CONCORD MUSIC ROYALTIES LLC                                                                                 | CONCORD MUSIC ROYALTIES LLC 5.644% 10/20/2074 144A                                                                               | CUSIP: 20633KAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      163000 | PA      | $164241.34     | 0.00%             | 2074-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROCC 2024-CNTR E                                                                                            | ROCC 2024-CNTR E 8.81906% 11/13/2041 144A                                                                                        | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      346000 | PA      | $365235.94     | 0.00%             | 2041-11-13      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES 2024-B OWNER TRUST                                                                  | NISSAN AUTO RECEIVABLES 2024-B OWNER TRUST 4.34% 03/15/2029                                                                      | CUSIP: 65479WAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1000000 | PA      | $1003604.90    | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SC GERMANY CONSUMER 2024-2                                                                                  | SC GERMANY CONSUMER 2024-2 1MEUR+ 05/14/2038 REGS                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | LU        |      100000 | PA      | $116297.89     | 0.00%             | 2038-05-14      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| HAMLIN PK CLO LTD / HAMLIN PK CLO LLC 2024-1A                                                               | HAMLIN PK CLO LTD / HAMLIN PK CLO LLC 2024-1A A TSFR3M+134 10/20/2037 144A                                                       | CUSIP: 407907AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     3484000 | PA      | $3496005.86    | 0.01%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| THLOG 2024-1X B                                                                                             | THLOG 2024-1X B 3MEUR+205 11/17/2036                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | IE        |       71578 | PA      | $83207.93      | 0.00%             | 2036-11-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 10/01/2031#                                                                                                         | CUSIP: 3140NWLV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5000000 | PA      | $4972253.00    | 0.01%             | 2031-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP                                                       | ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP 9.75% 01/15/2029                                                           | CUSIP: 451102CF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      450000 | PA      | $453357.00     | 0.00%             | 2029-01-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| RCKT MTG TR 2024-CES-8                                                                                      | RCKT MTG TR 2024-CES-8 A1A STEP 11/25/2044 144A                                                                                  | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2816314 | PA      | $2836370.71    | 0.01%             | 2044-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ROCC 2024-CNTR E                                                                                            | ROCC 2024-CNTR D 7.10914% 11/13/2041 144A                                                                                        | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4500000 | PA      | $4717388.25    | 0.01%             | 2041-11-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FDG II                                                                                    | MASSMUTUAL GLOBAL FDG II 4.3% 10/22/2027 144A                                                                                    | CUSIP: 57629W3T5<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    11000000 | PA      | $11070780.38   | 0.03%             | 2027-10-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ACRA TRUST 2024-NQM1                                                                                        | ACRA TRUST 2024-NQM1 5.608% 10/25/2064 144A                                                                                      | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3561514 | PA      | $3588279.39    | 0.01%             | 2064-10-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROCC 2024-CNTR E                                                                                            | ROCC 2024-CNTR A 5.38834% 11/13/2041 144A                                                                                        | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8141372 | PA      | $8396855.58    | 0.02%             | 2041-11-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANC AMER FDG 2015-R3 TR                                                                                    | BANC AMER FDG 2015-R3 TR CSTR 03/27/2036 144A                                                                                    | CUSIP: 05990QAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      291527 | PA      | $243623.29     | 0.00%             | 2036-03-27      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2024-1                                                            | GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2024-1 5.35% 10/20/2046 144A                                                           | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      975664 | PA      | $989774.11     | 0.00%             | 2046-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IMPAC SECD ASSETS CORP SER 2006-3                                                                           | IMPAC SECD ASSETS CORP SER 6-3 STEP 11/25/2036                                                                                   | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      256090 | PA      | $226758.12     | 0.00%             | 2036-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-4                                                                            | TOWD POINT MORTGAGE TRUST 2024-4 A1A 4.3811% 10/27/2064 144A                                                                     | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11774264 | PA      | $11845450.86   | 0.03%             | 2064-10-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024                                                                             | VERUS SECURITIZATION TRUST 2024 5.218% 09/25/2069 144A                                                                           | CUSIP: 924926AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7652484 | PA      | $7703170.70    | 0.02%             | 2069-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2022-SFR2 TRUST                                                                              | FIRSTKEY HOMES 2022-SFR2 TRUST 4.5% 07/17/2039 144A                                                                              | CUSIP: 33767PAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1000000 | PA      | $968639.30     | 0.00%             | 2039-07-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOCA CLO XXV DESIGNATED ACTIVITY CO                                                                        | AVOCA CLO XXV DESIGNATED ACTIVITY CO A 3MEUR+96 10/15/2034 144A                                                                  | CUSIP: N/A<br>LEI: 54930084KZX5P0I22S35       | Long             | ABS-CBDO         | CORP              | IE        |     5000000 | PA      | $5785748.75    | 0.01%             | 2034-10-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2022-SFR2 TRUST                                                                              | FIRSTKEY HOMES 2022-SFR2 TRUST 4.5% 07/17/2039 144A                                                                              | CUSIP: 33767PAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1700000 | PA      | $1627899.26    | 0.00%             | 2039-07-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2022-SFR1 TRUST                                                                              | FIRSTKEY HOMES 2022-SFR1 TRUST 0% 05/19/2039 144A                                                                                | CUSIP: 33768NAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2000000 | PA      | $1839708.40    | 0.00%             | 2039-05-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2022-SFR1 TRUST                                                                              | FIRSTKEY HOMES 2022-SFR1 TRUST 0% 05/19/2039 144A                                                                                | CUSIP: 33768NAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      900000 | PA      | $826108.02     | 0.00%             | 2039-05-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LIFE TIME INC                                                                                               | LIFE TIME INC 6% 11/15/2031 144A                                                                                                 | CUSIP: 53190FAE5<br>LEI: 549300PALKE96VYH4X17 | Long             | DBT              | CORP              | US        |      285000 | PA      | $290638.16     | 0.00%             | 2031-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 4.5% 10/20/2054#MA9963                                                                                                   | CUSIP: 36180AB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8659097 | PA      | $8484749.72    | 0.02%             | 2054-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS 2024-2 ISSUER TRUST                                                                      | STREAM INNOVATIONS 2024-2A C 9.05% 02/15/2045 144A                                                                               | CUSIP: 86324EAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1050000 | PA      | $1105656.93    | 0.00%             | 2045-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| DCLI BIDCO LLC                                                                                              | DCLI BIDCO LLC 7.75% 11/15/2029 144A                                                                                             | CUSIP: 233104AA6<br>LEI: 2549007UUVJTHHNK9T70 | Long             | DBT              | CORP              | US        |     1075000 | PA      | $1056981.28    | 0.00%             | 2029-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 6% 11/01/2054#RJ2748                                                                                                   | CUSIP: 3142GTBS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1513114 | PA      | $1572927.37    | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA BUYER/ATLANTI                                                                                    | CALIFORNIA BUYER/ATLANTI 6.375% 02/15/2032 144A                                                                                  | CUSIP: 13005HAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |      505000 | PA      | $505070.26     | 0.00%             | 2032-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                                                         | ELEVANCE HEALTH INC 4.95% 11/01/2031                                                                                             | CUSIP: 036752BC6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     7265000 | PA      | $7441632.13    | 0.02%             | 2031-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                                                         | ELEVANCE HEALTH INC 5.2% 02/15/2035                                                                                              | CUSIP: 036752BD4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     2590000 | PA      | $2656099.26    | 0.01%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 5.518%/VAR 10/25/2035                                                                                | CUSIP: 06051GMD8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1490000 | PA      | $1539412.32    | 0.00%             | 2035-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3.5% 07/01/2052#FS5486                                                                                                 | CUSIP: 3140XMCY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      507285 | PA      | $474536.59     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 5.5% 07/01/2053#RA9373                                                                                                 | CUSIP: 3133KRMW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2958343 | PA      | $3034716.00    | 0.01%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| APH SOMERSET INVESTOR 2 LLC / APH2 SOMERSET INVESTOR 2 LLC / APH3 SOMERSET INVES                            | APH SOMERSET INVESTOR 2 LLC / APH2 SOMERSET INVESTOR 2 LLC / APH3 SOMERSET INVES 7.875% 11/01/2029 144A                          | CUSIP: 00188QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      375000 | PA      | $378150.00     | 0.00%             | 2029-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 08/01/2054#SD6729                                                                                                 | CUSIP: 3132DUPN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3676349 | PA      | $3616503.91    | 0.01%             | 2054-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.125% 10/31/2031                                                                                                      | CUSIP: 91282CLU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    52500000 | PA      | $53677148.70   | 0.12%             | 2031-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VISTA PT SECURITIZATION TR 2020-2                                                                           | VISTA PT SECURITIZATION TR 2020-2 5.16% 04/25/2065 144A                                                                          | CUSIP: 92838TAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      357200 | PA      | $348401.84     | 0.00%             | 2065-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2014-10R                                                                                        | CSMC SERIES 2014-10R 5.57%/VAR 05/27/2036 144A                                                                                   | CUSIP: 12649BAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      196338 | PA      | $66118.25      | 0.00%             | 2036-05-27      | Variable      | 0.07%                 | No            |                  3 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-4                                                                              | CARMAX AUTO OWNER TRUST 2024-4 4.6% 10/15/2029                                                                                   | CUSIP: 14290DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      600000 | PA      | $605118.18     | 0.00%             | 2029-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA BUYER/ATLANTI                                                                                    | CALIFORNIA BUYER/ATLANTI 5.625% 02/15/2032 REGS                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | GB        |      257000 | PA      | $300674.07     | 0.00%             | 2032-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST 2024-B                                                                       | MARINER FINANCE ISSUANCE TRUST 2024-BA D 6.36% 11/20/2038 144A                                                                   | CUSIP: 56847GAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $103015.16     | 0.00%             | 2038-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HUDSON RIVER TRADING LLC                                                                                    | HUDSON RIVER TRADING TERM B 1LN 03/18/2030                                                                                       | CUSIP: 44413EAJ7<br>LEI: 549300SMOBUC8O5UOE10 | Long             | LON              | CORP              | US        |      341196 | PA      | $342104.00     | 0.00%             | 2030-03-18      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                                                  | TENNESSEE VALLEY AUTHORITY 0% 07/15/2034                                                                                         | CUSIP: 88059EPB4<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |      185000 | PA      | $127598.40     | 0.00%             | 2034-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO V DAC                                                                                    | HAYFIN EMERALD CLO V DAC AR 3MEUR+121 11/17/2037 144A                                                                            | CUSIP: N/A<br>LEI: 549300FO5F55WI5RCR50       | Long             | ABS-CBDO         | CORP              | IE        |    10000000 | PA      | $11603917.69   | 0.03%             | 2037-11-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                                                                     | ACHV ABS TRUST 2024-3AL 5.01% 12/26/2031 144A                                                                                    | CUSIP: 00092KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      337517 | PA      | $340575.57     | 0.00%             | 2031-12-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALMAVIVA-THE ITALIAN INNOVATION CO SPA                                                                      | ALMAVIVA-THE ITALIAN INNOVATION CO SPA 5% 10/30/2030 REGS                                                                        | CUSIP: N/A<br>LEI: 815600A862DA4DD9E211       | Long             | DBT              | CORP              | IT        |      100000 | PA      | $116517.97     | 0.00%             | 2030-10-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED LNS STRUCTURED TRANSACTION TR 144A                                                     | FREDDIE MAC SEASONED LNS STRUC TRANS TR SOFR30A+125 10/25/2034 144A                                                              | CUSIP: 35564CSK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2761731 | PA      | $2800642.52    | 0.01%             | 2034-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                                                                | DNB BANK ASA 4.853%/VAR 11/05/2030 144A                                                                                          | CUSIP: 23341CAE3<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |      900000 | PA      | $920734.27     | 0.00%             | 2030-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                                                        | COLOMBIA REPUBLIC OF 7.75% 11/07/2036                                                                                            | CUSIP: 195325EP6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      200000 | PA      | $210050.00     | 0.00%             | 2036-11-07      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2024-HYB1                                                                            | SEQUOIA MORTGAGE TRUST 2024-HYB1 A1A VAR 11/25/2063 144A                                                                         | CUSIP: 81749EAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6612355 | PA      | $6614268.34    | 0.01%             | 2063-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL2 TRUST                                                                                        | ATLX 2024-RPL2 A1 TRUST 3.85% 04/25/2063 144A                                                                                    | CUSIP: 049919AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10631398 | PA      | $10399701.25   | 0.02%             | 2063-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 10/01/2054#CB9365                                                                                                 | CUSIP: 3140QVMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2328756 | PA      | $2367043.13    | 0.01%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 09/01/2053#FS5757                                                                                                   | CUSIP: 3140XMMF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2828505 | PA      | $2926171.98    | 0.01%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BFLD COML MTG TR 2024-UNIV                                                                                  | BFLD COML MTG TR 2024-UNIV TSFR1M+363.953 11/15/2029 144A                                                                        | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      134000 | PA      | $134046.71     | 0.00%             | 2041-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                                                           | NEWELL BRANDS INC 6.625% 05/15/2032                                                                                              | CUSIP: 651229BE5<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      360000 | PA      | $338991.26     | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                                                           | NEWELL BRANDS INC 6.375% 05/15/2030                                                                                              | CUSIP: 651229BF2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      710000 | PA      | $682290.97     | 0.00%             | 2030-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2024-2 DAC                                                                              | GROSVENOR PLACE CLO 2024-2 DAC A 3MEUR+124 01/15/2039 144A                                                                       | CUSIP: N/A<br>LEI: 635400MCCB6TWMK1AY05       | Long             | ABS-CBDO         | CORP              | IE        |    10000000 | PA      | $11597535.76   | 0.03%             | 2039-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BPR TR 2024-PMDW                                                                                            | BPR TR 2024-PMDW A VAR 11/05/2029 144A                                                                                           | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       40000 | PA      | $41067.94      | 0.00%             | 2041-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BPR COML MTG TR 2024-PK                                                                                     | BPR COML MTG TR 2024-PARK A VAR 11/05/2039 144A                                                                                  | CUSIP: 05593UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $102266.22     | 0.00%             | 2039-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BPR COML MTG TR 2024-PK                                                                                     | BPR COML MTG TR 2024-PARK B VAR 11/05/2039 144A                                                                                  | CUSIP: 05593UAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $514705.85     | 0.00%             | 2039-11-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD                                                                                           | CEDAR FUNDING LTD AR2 TSFR3M+136 10/20/2037 144A                                                                                 | CUSIP: 15033XAU0<br>LEI: 549300ZKTUZSV15HAV29 | Long             | ABS-CBDO         | CORP              | KY        |     4327000 | PA      | $4335571.79    | 0.01%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY CORP                                                                                   | GARDA WORLD SECURITY CORP 8.375% 11/15/2032 144A                                                                                 | CUSIP: 36485MAP4<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $102522.90     | 0.00%             | 2032-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SELF COMMERCIAL MORTGAGE TRUST 2024-STRG                                                                    | SELF COMMERCIAL MORTGAGE TRUST 2024-STRG E TSFR1M+418.849 11/15/2034 144A                                                        | CUSIP: 81631WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      193000 | PA      | $193240.81     | 0.00%             | 2034-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| SELF COMMERCIAL MORTGAGE TRUST 2024-STRG                                                                    | SELF COMMERCIAL MORTGAGE TRUST 2024-STRG F TSFR1M+518.702 11/15/2034 144A                                                        | CUSIP: 81631WAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      155000 | PA      | $154649.48     | 0.00%             | 2034-11-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| BFLD COML MTG TR 2024-UNIV                                                                                  | BFLD COML MTG TR 2024-UNIV A TSFR1M+149.25 11/15/2029 144A                                                                       | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      210000 | PA      | $208564.27     | 0.00%             | 2041-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2024-2 LTD                                                                       | PALMER SQUARE LOAN FUNDING 2024-2 LTD A1N TSFR3M+100 01/15/2033 144A                                                             | CUSIP: 69703RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2045155 | PA      | $2045809.24    | 0.00%             | 2033-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                                                     | HYUNDAI CAP AMER 4.875% 11/01/2027 144A                                                                                          | CUSIP: 44891ADK0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4049781.36    | 0.01%             | 2027-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.5% 11/15/2054                                                                                      | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    51799100 | PA      | $50309875.88   | 0.11%             | 2054-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                                                  | MARSH and MCLENNAN COS INC 4.65% 03/15/2030                                                                                      | CUSIP: 571748CA8<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     5500000 | PA      | $5608472.87    | 0.01%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.25% 11/15/2034                                                                                                       | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   195609500 | PA      | $199995432.74  | 0.45%             | 2034-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                                             | PHILIP MORRIS INTL INC 4.75% 11/01/2031                                                                                          | CUSIP: 718172DP1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3067231.11    | 0.01%             | 2031-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO                                                                                                  | CARVAL CLO A1R TSFR3M+142 10/22/2037 144A                                                                                        | CUSIP: 14686NAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250695.25     | 0.00%             | 2037-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO II LTD                                                                                          | ELMWOOD CLO II LTD A1RR TSFR3M+135 10/20/2037 144A                                                                               | CUSIP: 29001LAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    22750000 | PA      | $22784830.25   | 0.05%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+110 11/25/2054                                                                            | CUSIP: 3136BTMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    40804950 | PA      | $40812384.70   | 0.09%             | 2054-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+55 08/25/2027                                                                             | CUSIP: 3137HHH38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6649173 | PA      | $6647310.25    | 0.02%             | 2027-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR2                                                                | GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR2 SOFR30A+150 01/25/2055 144A                                                         | CUSIP: 36271AAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2593047 | PA      | $2593038.22    | 0.01%             | 2055-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| A and D MTG TR 2024-NQM5                                                                                    | A and D MTG TR 2024-NQM5 6.516% 11/25/2069                                                                                       | CUSIP: 00039KAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      638000 | PA      | $642696.57     | 0.00%             | 2069-11-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-1                                                      | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-2 B2 SOFR30A+135 10/20/2032 144A                                            | CUSIP: 44644NAH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      327438 | PA      | $328383.91     | 0.00%             | 2032-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SELF COMMERCIAL MORTGAGE TRUST 2024-STRG                                                                    | SELF COMMERCIAL MORTGAGE TRUST 2024-STRG A TSFR1M+154.228 11/15/2034 144A                                                        | CUSIP: 81631WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      190000 | PA      | $189999.94     | 0.00%             | 2034-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| A and D MTG TR 2024-NQM5                                                                                    | A and D MTG TR 2024-NQM5 A1 5.699% 11/25/2069                                                                                    | CUSIP: 00039KAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      587165 | PA      | $591316.57     | 0.00%             | 2069-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006-HE5                                                       | BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006-HE5 STEP 06/25/2036                                                            | CUSIP: 07388CAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      205901 | PA      | $204807.20     | 0.00%             | 2036-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2024-1                                                                 | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2024-1 A1 5.735% 07/25/2069 144A                                                            | CUSIP: 24380QAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      581386 | PA      | $586647.42     | 0.00%             | 2069-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H7 MORTGAGE TRUST                                                                                | CROSS 2024-H7 A1 MORTGAGE TRUST 5.585% 11/25/2069 144A                                                                           | CUSIP: 22757CAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1323574 | PA      | $1335809.50    | 0.00%             | 2069-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LUGO FUNDING DAC                                                                                            | LUGO FUNDING DAC 3MEUR+0 05/26/2066 144A                                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |     2799758 | PA      | $3253316.01    | 0.01%             | 2066-05-26      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| RR 34 LTD                                                                                                   | RR 34 LTD A1R TSFR3M+135 10/15/2039 144A                                                                                         | CUSIP: 74988WAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2273000 | PA      | $2279723.53    | 0.01%             | 2039-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GREAT CANADIAN GAMING CORP/RAPTOR LLC                                                                       | GREAT CANADIAN GAMING CORP/RAPTOR LLC 8.75% 11/15/2029 144A                                                                      | CUSIP: 389925AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      188000 | PA      | $189568.48     | 0.00%             | 2029-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIALS INC                                                                               | MARTIN MARIETTA MATERIALS INC 5.15% 12/01/2034                                                                                   | CUSIP: 573284BA3<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |     1445000 | PA      | $1484522.43    | 0.00%             | 2034-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MAREX GROUP PLC                                                                                             | MAREX GROUP PLC 6.404% 11/04/2029                                                                                                | CUSIP: 566539AA0<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |     5900000 | PA      | $6093002.10    | 0.01%             | 2029-11-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                                                        | EDISON INTERNATIONAL 5.25% 03/15/2032                                                                                            | CUSIP: 281020BB2<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     7400000 | PA      | $7408084.35    | 0.02%             | 2032-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                                                        | ONEMAIN FINANCE CORP 6.625% 05/15/2029                                                                                           | CUSIP: 682691AH3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     1430000 | PA      | $1479721.10    | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | CITI SWAP REC 3.753 10/31/29                                                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |     7700000 | NC      | $236902.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | CITI SWAP PAY 3.753 10/31/29                                                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |     7700000 | NC      | $249737.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC FINANCE ISSUANCE TRUST 2024-B                                                                      | REPUBLIC FINANCE ISSUANCE TRUST 2024-B 5.86% 11/20/2037 144A                                                                     | CUSIP: 76042GAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      210000 | PA      | $214925.70     | 0.00%             | 2037-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 08/01/2052#RA7843                                                                                                   | CUSIP: 3133KPWC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7726327 | PA      | $7406893.31    | 0.02%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC FINANCE ISSUANCE TRUST 2024-B                                                                      | REPUBLIC FINANCE ISSUANCE TRUST 2024-B 5.42% 11/20/2037 144A                                                                     | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2996000 | PA      | $3055624.00    | 0.01%             | 2037-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OHACP 2024-17A                                                                                              | OHACP 2024-17A A TSFR3M+132 01/18/2038 144A                                                                                      | CUSIP: 67120MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9030000 | PA      | $9045314.88    | 0.02%             | 2038-01-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EFMT 2024-NQM1                                                                                              | EFMT 2024-NQM1 5.708% 11/25/2069 144A                                                                                            | CUSIP: 26845DAA3<br>LEI: 254900GTI06L3BTCLG55 | Long             | ABS-CBDO         | CORP              | US        |     1086095 | PA      | $1097703.73    | 0.00%             | 2069-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FIGRE TR 2024-SL1                                                                                           | FIGRE TR 2024-SL1 5.748% 07/25/2053 144A                                                                                         | CUSIP: 31684JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1097411 | PA      | $1106052.16    | 0.00%             | 2053-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VEGAS TRUST 2024-TI                                                                                         | VEGAS TRUST 2024-TI A 5.5183% 11/10/2039 144A                                                                                    | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      392000 | PA      | $397408.23     | 0.00%             | 2039-11-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 26 LTD / FLATIRON CLO 26 LLC                                                                   | FLATIRON CLO 26 LTD / FLATIRON CLO 26 LLC A TSFR3M+133 01/15/2038 144A                                                           | CUSIP: 33888AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     3440000 | PA      | $3450505.76    | 0.01%             | 2038-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2024-NQM3                                                                   | BRAVO RESIDENTIAL FUNDING TRUST 2024-NQM3 B1 8.1% 03/25/2064 144A                                                                | CUSIP: 10569LAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $152557.46     | 0.00%             | 2064-03-25      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2024-NQM1                                                                   | BRAVO RESIDENTIAL FUNDING TRUST 2024-NQM1 B1 8.042% 12/01/2063 144A                                                              | CUSIP: 10570FAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $101374.79     | 0.00%             | 2063-12-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2024-INV1                                                                                    | PMT LOAN TRUST 2024-INV1 A3 5.5% 10/25/2059 144A                                                                                 | CUSIP: 73015BAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4435177 | PA      | $4468440.44    | 0.01%             | 2059-10-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 36 LTD / ELMWOOD CLO 36 LLC                                                                     | ELMWOOD CLO 36 LTD / ELMWOOD CLO 36 LLC AR TSFR3M+134 10/20/2037 144A                                                            | CUSIP: 29004MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501159.50     | 0.00%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 09/01/2051#BT9232                                                                                                 | CUSIP: 3140LYHJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      730624 | PA      | $628669.61     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2024-IGLG                                              | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2024-IGLG E VAR 11/05/2041 144A                                             | CUSIP: 46593KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1227000 | PA      | $1234287.52    | 0.00%             | 2039-11-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2024-IGLG                                              | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2024-IGLG VAR 11/05/2041 144A                                               | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2410000 | PA      | $2436480.36    | 0.01%             | 2039-11-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2024-IGLG                                              | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2024-IGLG F VAR 11/05/2041 144A                                             | CUSIP: 46593KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1051000 | PA      | $1057169.58    | 0.00%             | 2039-11-09      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| REGATTA XVI FUNDING LTD                                                                                     | REGATTA XVI FUNDING LTD CR TSFR3M+190 01/15/2033 144A                                                                            | CUSIP: 75888TAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250611.25     | 0.00%             | 2033-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2024-IGLG                                              | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2024-IGLG D VAR 11/05/2041 144A                                             | CUSIP: 46593KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      670000 | PA      | $674212.22     | 0.00%             | 2039-11-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LYRA MUSIC ASSETS DELAWARE LP                                                                               | LYRA MUSIC ASSETS DELAWARE LP 24-2A A2 5.76% 12/22/2064 144A                                                                     | CUSIP: 552339AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      379455 | PA      | $385350.20     | 0.00%             | 2064-12-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 46 LTD                                                                                         | SYMPHONY CLO 46 LTD A2 TSFR3M+159 01/20/2038 144A                                                                                | CUSIP: 87170WAC4<br>LEI: 2549003KA6F4T4Q34J34 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250302.00     | 0.00%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXXVII LTD                                                                      | BENEFIT STREET PARTNERS CLO XXXVII LTD A TSFR3M+135 01/25/2038 144A                                                              | CUSIP: 08182TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      560000 | PA      | $561180.48     | 0.00%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1                                                                       | TESLA SUSTAINABLE ENERGY TRUST 2024-1 5.08% 06/21/2050 144A                                                                      | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3261199 | PA      | $3272613.88    | 0.01%             | 2050-06-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FTA SANTANDER CONSUMO 7                                                                                     | FTA SANTANDER CONSUMO 7 3MEUR+0 07/20/2038 REGS                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | ES        |       71375 | PA      | $83001.03      | 0.00%             | 2038-07-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FTA SANTANDER CONSUMO 7                                                                                     | FTA SANTANDER CONSUMO 7 3 3MEUR+0 07/20/2038 REGS                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | ES        |       71375 | PA      | $83066.71      | 0.00%             | 2038-07-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 11/01/2054#CB9500                                                                                                   | CUSIP: 3140QVRW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      265974 | PA      | $277755.30     | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 11/01/2054#CB9501                                                                                                   | CUSIP: 3140QVRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      724524 | PA      | $755258.20     | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 11/01/2054#CB9502                                                                                                   | CUSIP: 3140QVRY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1827361 | PA      | $1902023.43    | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SYCAMORE TREE CLO 2021-1 LTD                                                                                | SYCAMORE TREE CLO 2021-1 LTD AR TSFR3M+139 01/20/2038 144A                                                                       | CUSIP: 87122VAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      480000 | PA      | $481520.16     | 0.00%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TR II                                                                              | FORD AUTO SECURITIZATION TR II 5.053% 07/15/2028 144A                                                                            | CUSIP: 345214BJ8<br>LEI: 549300OMOD4L2OWKWN21 | Long             | ABS-CBDO         | CORP              | CA        |     2675979 | PA      | $1895993.40    | 0.00%             | 2028-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MTG LN TR 2024-RPL1                                                              | MORGAN STANLEY RESIDENTIAL MTG LN TR 2024-RPL1 A1 4% 06/25/2064                                                                  | CUSIP: 61776YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5222534 | PA      | $5113725.96    | 0.01%             | 2064-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL3 LLC                                                                                          | PRPM 2024-RPL3 A1 LLC 4% 11/25/2054 144A                                                                                         | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7785169 | PA      | $7664077.70    | 0.02%             | 2054-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 5.5% 08/01/2053#RA9626                                                                                                 | CUSIP: 3133KRVT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1711344 | PA      | $1745897.75    | 0.00%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-11                                                                            | ANGEL OAK MORTGAGE TRUST 2024-11 5.7% 08/25/2069 144A                                                                            | CUSIP: 03463QAA4<br>LEI: 2549009VFCBSE99NTJ29 | Long             | ABS-CBDO         | CORP              | US        |     1009707 | PA      | $1019580.72    | 0.00%             | 2069-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BEAR STRNS ASSET BACKED SECS I TR                                                                           | BEAR STRNS ASSET BCKD SEC I TR STEP 12/25/2035                                                                                   | CUSIP: 07387UAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      592774 | PA      | $582882.76     | 0.00%             | 2035-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMSR TRUST                                                                                                  | AMSR TRUST 2023-SFR2G G1 4.5% 08/19/2028                                                                                         | CUSIP: 031928AB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2500000 | PA      | $2156750.00    | 0.00%             | 2028-08-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS TRUST 2024-1B                                                                        | HILTON GRAND VACATIONS TRUST 2024-1B 8.85% 09/15/2039 144A                                                                       | CUSIP: 43283YAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1078168 | PA      | $1106558.30    | 0.00%             | 2039-09-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2017-13 LTD / OCP CLO 2017-13 LLC                                                                   | OCP CLO 2017-13 LTD / OCP CLO 2017-13 LLC AR2 TSFR3M+134 11/26/2037 144A                                                         | CUSIP: 67097LAV8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      860000 | PA      | $861959.94     | 0.00%             | 2037-11-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO VII DESIGNATED ACTIVITY CO                                                                       | ARBOUR CLO VII DESIGNATED ACTIVITY CO BR 3MEUR+205 12/15/2038 144A                                                               | CUSIP: N/A<br>LEI: 635400S59B1EE8UDJW07       | Long             | ABS-CBDO         | CORP              | IE        |     5450000 | PA      | $6326177.76    | 0.01%             | 2038-12-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS 2024-2 ISSUER TRUST                                                                      | STREAM INNOVATIONS 2024-2 A ISSUER TRUST 5.21% 02/15/2045 144A                                                                   | CUSIP: 86324EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3507203 | PA      | $3557057.35    | 0.01%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INV 2024-IND MORTGAGE TRUST                                                                                 | INV 2024-IND A TSFR1M+174.19 11/15/2041 144A                                                                                     | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1500000 | PA      | $1488750.00    | 0.00%             | 2041-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD                                                                                          | ARES XXVII CLO LTD BR3 TSFR3M+165 10/28/2034 144A                                                                                | CUSIP: 00190YBR5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3900000 | PA      | $3902418.00    | 0.01%             | 2034-10-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2024-5                                                                                       | TOWD PT MTG TR 2024-5 A1A VAR 144A                                                                                               | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    13260088 | PA      | $13378064.11   | 0.03%             | 2064-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                                                      | GREENSKY HOME IMPROVEMENT TRUST 2024-2 5.55% 10/27/2059 144A                                                                     | CUSIP: 39571XAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1000000 | PA      | $1010201.10    | 0.00%             | 2059-10-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                                                      | GREENSKY HOME IMPROVEMENT TRUST 2024-2 6.43% 10/27/2059 144A                                                                     | CUSIP: 39571XAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      664000 | PA      | $677058.42     | 0.00%             | 2059-10-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VALLEY STREAM PARK CLO LTD                                                                                  | VALLEY STREAM PARK CLO LTD E1RR TSFR3M+525 01/20/2037 144A                                                                       | CUSIP: 92013BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     1000000 | PA      | $988689.00     | 0.00%             | 2037-01-20      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| WHITEBOX CLO II LTD / WHITEBOX CLO II LLC                                                                   | WHITEBOX CLO II LTD / WHITEBOX CLO II LLC A1R2 TSFR3M+138 10/24/2037 144A                                                        | CUSIP: 96466CAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      911000 | PA      | $913231.95     | 0.00%             | 2037-10-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MCR 2024-HF1 MORTGAGE TRUST                                                                                 | MCR 2024-HF1 A MORTGAGE TRUST TSFR1M+179.3 12/15/2041 144A                                                                       | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1142000 | PA      | $1144498.13    | 0.00%             | 2041-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                                                               | ECHOSTAR CORP PIK VAR 11/30/2030                                                                                                 | CUSIP: 278768AA4<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |      505000 | PA      | $524462.70     | 0.00%             | 2030-11-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                                                    | SOUTH AFRICA REPUBLIC OF 7.95% 11/19/2054 144A                                                                                   | CUSIP: 836205BG8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |      483000 | PA      | $517776.00     | 0.00%             | 2054-11-19      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                                                    | SOUTH AFRICA REPUBLIC OF 7.1% 11/19/2036 144A                                                                                    | CUSIP: 836205BF0<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    10537000 | PA      | $11345714.75   | 0.03%             | 2036-11-19      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                                                                               | LGI HOMES INC 7% 11/15/2032 144A                                                                                                 | CUSIP: 50187TAK2<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |      420000 | PA      | $411462.51     | 0.00%             | 2032-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 5.286%/VAR 11/19/2030                                                                                          | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     2320000 | PA      | $2399730.07    | 0.01%             | 2030-11-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                                                     | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 4.875% 11/19/2027 144A                                                                   | CUSIP: 29449WAR8<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |     8400000 | PA      | $8536392.31    | 0.02%             | 2027-11-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LN TR 2021-A                                                                                 | NELNET STUDENT LN TR 2021-A A2 TSFR1M+114.448 04/20/2062 144A                                                                    | CUSIP: 64035DAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      410000 | PA      | $408525.68     | 0.00%             | 2062-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 11/01/2054#MA5531                                                                                                 | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4505685 | PA      | $4564274.61    | 0.01%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 12/01/2054#SD8493                                                                                                 | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    28110459 | PA      | $28475993.47   | 0.06%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENBW INTERNATIONAL FINANCE BV                                                                               | ENBW INTERNATIONAL FINANCE BV 3.75% 11/20/2035 REGS                                                                              | CUSIP: N/A<br>LEI: 724500CNCIO1ZTJ0X675       | Long             | DBT              | CORP              | NL        |      850000 | PA      | $994116.46     | 0.00%             | 2035-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | RFR EUR ESTRON 2.06280 11/14/24 5Y LCH                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -9300000 | NC      | $6551.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                                                     | MERCEDES-BENZ FINANCE NORTH AMERICA LLC 4.9% 11/15/2027 144A                                                                     | CUSIP: 58769JAZ0<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $2135652.44    | 0.00%             | 2027-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNP PARIBAS 5.906%/VAR 11/19/2035 144A                                                                                           | CUSIP: 09659T2D2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     1945000 | PA      | $2034406.38    | 0.00%             | 2035-11-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KINBN 2024-RPL2A A                                                                                          | KINBN 2024-RPL2A A STEP 01/24/2063 144A                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |     2041008 | PA      | $2367138.45    | 0.01%             | 2063-01-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                                                       | MOLINA HEALTHCARE INC 6.25% 01/15/2033 144A                                                                                      | CUSIP: 60855RAM2<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |     1430000 | PA      | $1433241.81    | 0.00%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP                                                       | ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP 10% 11/15/2029 144A                                                        | CUSIP: 451102CK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      285000 | PA      | $285712.50     | 0.00%             | 2029-11-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-2                                                                           | VERUS SECURITIZATION TRUST 2023-2 VAR 03/25/2068 144A                                                                            | CUSIP: 92539DAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      676000 | PA      | $675403.36     | 0.00%             | 2068-03-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BUCKHORN PARK CLO LTD                                                                                       | BUCKHORN PARK CLO LTD ARR TSFR3M+107 07/18/2034 144A                                                                             | CUSIP: 118382BA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      280000 | PA      | $280073.08     | 0.00%             | 2034-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ELLUCIAN HOLDINGS INC                                                                                       | ELLUCIAN HOLDINGS INC 6.5% 12/01/2029 144A                                                                                       | CUSIP: 289178AA3<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | DBT              | CORP              | US        |       60000 | PA      | $60819.24      | 0.00%             | 2029-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMMC CDO                                                                                                    | AMMC CDO AR TSFR3M+120 01/20/2035 144A                                                                                           | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5200000 | PA      | $5200000.00    | 0.01%             | 2035-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUSTRIES INC                                                                           | HUNTINGTON INGALLS INDUSTRIES INC 5.353% 01/15/2030                                                                              | CUSIP: 446413BA3<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |     5600000 | PA      | $5804038.02    | 0.01%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DOWSON 2024-1 PLC                                                                                           | DOWSON 2024-1 E PLC SONIO+395 08/20/2031 REGS                                                                                    | CUSIP: N/A<br>LEI: 635400IRBWDPWKGK1C24       | Long             | ABS-CBDO         | CORP              | GB        |      372000 | PA      | $497206.18     | 0.00%             | 2031-08-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                                                         | DOMINION ENERGY INC 6.625%/VAR 05/15/2055                                                                                        | CUSIP: 25746UDV8<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      995000 | PA      | $1029740.43    | 0.00%             | 2055-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| EL SALVADOR REPUBLIC OF                                                                                     | EL SALVADOR REPUBLIC OF 9.65% 11/21/2054 144A                                                                                    | CUSIP: 283875CG5<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |      823000 | PA      | $928488.03     | 0.00%             | 2054-11-21      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| DOWSON 2024-1 PLC                                                                                           | DOWSON 2024-1 F PLC SONIO+695 08/20/2031 REGS                                                                                    | CUSIP: N/A<br>LEI: 635400IRBWDPWKGK1C24       | Long             | ABS-CBDO         | CORP              | GB        |      544000 | PA      | $729399.56     | 0.00%             | 2031-08-20      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                                                                    | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    29200000 | PA      | $29211406.10   | 0.07%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                                                                             | BX TR 2021-ACNT TSFR1M+136.448 11/15/2038 144A                                                                                   | CUSIP: 05609QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      546113 | PA      | $545743.43     | 0.00%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TR 2023-3                                                                              | VERUS SECURITIZATION TR 2023-3 B1 VAR 03/25/2068 144A                                                                            | CUSIP: 92539GAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1210000 | PA      | $1211407.47    | 0.00%             | 2068-03-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| RFM REREMIC TRUST 2022-FRR1                                                                                 | RFM REREMIC TRUST 2022-FRR1 CK64 0% 03/01/2050 144A                                                                              | CUSIP: 74971BBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4549687.50    | 0.01%             | 2050-03-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SWITCH ABS ISSUER LLC                                                                                       | SWITCH ABS ISSUER LLC 24-2A A2 5.436% 06/25/2054 144A                                                                            | CUSIP: 871044AE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2665000 | PA      | $2671334.97    | 0.01%             | 2054-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | RFR EUR ESTRON 2.05630 11/18/24 5Y LCH                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -6100000 | NC      | $5787.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS STRUCTURED PRODS TR 2007 EMX1                                                                  | BEAR STEARNS STR PR TR 07 EMX1 STEP 03/25/2037 144A                                                                              | CUSIP: 07402LAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1615045 | PA      | $1453123.66    | 0.00%             | 2037-03-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TRIMARAN CAVU 2024-1 LTD                                                                                    | TRIMARAN CAVU 2024-1 LTD A TSFR3M+138 01/25/2038 144A                                                                            | CUSIP: 895971AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      350000 | PA      | $350431.55     | 0.00%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2024-VIS2                                                                   | JP MORGAN MORTGAGE TRUST SERIES 2024-VIS2 CSTR 11/25/2064 144A                                                                   | CUSIP: 46658DAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      201000 | PA      | $204667.08     | 0.00%             | 2064-11-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                                                                           | ILIAD HOLDING SAS 7% 04/15/2032 144A                                                                                             | CUSIP: 449691AG9<br>LEI: 9695009BGMXB527HV965 | Long             | DBT              | CORP              | FR        |      120000 | PA      | $123700.08     | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPERATING LLC                                                                                  | CHARTER COMMUNICATIONS TERM B5 1LN 12/15/2031                                                                                    | CUSIP: 16117LCE7<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |      385646 | PA      | $384574.27     | 0.00%             | 2031-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 3% 01/15/2048                                                                                     | CUSIP: 3137FEQ29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1892077 | PA      | $1545228.54    | 0.00%             | 2048-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TGS ASA                                                                                                     | TGS ASA 8.5% 01/15/2030 144A                                                                                                     | CUSIP: 87243KAA7<br>LEI: 549300NUPLAXPB0WYH90 | Long             | DBT              | CORP              | NO        |      290000 | PA      | $300692.58     | 0.00%             | 2030-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                                                    | LLOYDS BANKING GROUP PLC FRN SOFRINDX+106 11/26/2028                                                                             | CUSIP: 539439BB4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    10050000 | PA      | $10103265.00   | 0.02%             | 2028-11-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                                                    | LLOYDS BANKING GROUP PLC 5.087%/VAR 11/26/2028                                                                                   | CUSIP: 53944YBC6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    10050000 | PA      | $10230973.57   | 0.02%             | 2028-11-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LN MGMT US CLO 11 LTD                                                                            | GOLDENTREE LN MGMT US CLO 11 LTD AR TSFR3M+108 10/20/2034 144A                                                                   | CUSIP: 38138KAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249760.25     | 0.00%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HOMES 2024-NQM2 TR                                                                                          | HOMES 2024-NQM2 TRUST 5.717% 10/25/2069 144A                                                                                     | CUSIP: 43761CAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4773533 | PA      | $4825850.96    | 0.01%             | 2069-10-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                                                    | VISTRA OPERATIONS CO LLC 5.05% 12/30/2026 144A                                                                                   | CUSIP: 92840VAT9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     1850000 | PA      | $1866004.35    | 0.00%             | 2026-12-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| METHANEX US OPERATIONS INC                                                                                  | METHANEX US OPERATIONS INC 6.25% 03/15/2032 144A                                                                                 | CUSIP: 59151LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      215000 | PA      | $220753.40     | 0.00%             | 2032-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VOLOFIN FINANCE DESIGNATED ACTIVITY CO                                                                      | VOLOFIN FINANCE DESIGNATED ACTIVITY CO 5.935% 06/15/2037 144A                                                                    | CUSIP: 92873RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1539130 | PA      | $1571917.11    | 0.00%             | 2037-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MCR 2024-HTL MORTGAGE TRUST                                                                                 | MCR 2024-HTL MORTGAGE TRUST TSFR1M+240.75 02/15/2037 144A                                                                        | CUSIP: 55286PAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      396401 | PA      | $396400.39     | 0.00%             | 2037-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST                                                                          | REGIONAL MANAGEMENT ISSUANCE TRUST 5.11% 12/15/2033 144A                                                                         | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      125000 | PA      | $125944.56     | 0.00%             | 2033-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                                            | GMF FLOORPLAN OWNER REVOLVING TR 4.73% 11/15/2029 144A                                                                           | CUSIP: 361886DQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3610000 | PA      | $3660890.89    | 0.01%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+130 11/25/2054                                                                            | CUSIP: 3137HHFL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      846713 | PA      | $849567.90     | 0.00%             | 2054-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                                               | APPLOVIN CORP 5.125% 12/01/2029                                                                                                  | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     5323000 | PA      | $5444965.26    | 0.01%             | 2029-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                                               | APPLOVIN CORP 5.375% 12/01/2031                                                                                                  | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    13755000 | PA      | $14310346.16   | 0.03%             | 2031-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                                               | APPLOVIN CORP 5.95% 12/01/2054                                                                                                   | CUSIP: 03831WAE8<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     1480000 | PA      | $1487896.17    | 0.00%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UPGRADE RECEIVABLES TRUST 2024-1A                                                                           | UPGRADE RECEIVABLES TRUST 2024-1A 5.37% 02/18/2031 144A                                                                          | CUSIP: 91533NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       35615 | PA      | $35628.85      | 0.00%             | 2031-02-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                                                    | VISTRA OPERATIONS CO LLC 5.7% 12/30/2034 144A                                                                                    | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     1677000 | PA      | $1732453.36    | 0.00%             | 2034-12-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENESIS SALES FIN MASTER TR                                                                                 | GENESIS SALES FINANCE MASTER TRUST 5.87% 12/20/2032 144A                                                                         | CUSIP: 37186XAX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7400000 | PA      | $7473846.82    | 0.02%             | 2032-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                                                                         | STATE ST BK and TR CO BOSTON 4.782% 11/23/2029                                                                                   | CUSIP: 857449AE2<br>LEI: 571474TGEMMWANRLN572 | Long             | DBT              | CORP              | US        |     4550000 | PA      | $4691297.43    | 0.01%             | 2029-11-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES6                                                                         | TOWD POINT MORTGAGE TRUST 2024-CES6 5.725% 11/25/2064 144A                                                                       | CUSIP: 891947AA1<br>LEI: 25490024AP9UCHO22G82 | Long             | ABS-CBDO         | CORP              | US        |     8636161 | PA      | $8730466.38    | 0.02%             | 2064-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 6.298% 05/01/2029                                                                                                      | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     3871000 | PA      | $4117007.82    | 0.01%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 6.388% 05/01/2031                                                                                                      | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1417000 | PA      | $1541718.16    | 0.00%             | 2031-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 6.528% 05/01/2034                                                                                                      | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1517000 | PA      | $1686871.35    | 0.00%             | 2034-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 6.259% 05/01/2027                                                                                                      | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      524000 | PA      | $538318.25     | 0.00%             | 2027-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                                                   | BOEING CO 7.008% 05/01/2064                                                                                                      | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     2743000 | PA      | $3141041.34    | 0.01%             | 2064-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WORLDLINE SA/FRANCE                                                                                         | WORLDLINE SA/FRANCE 5.25% 11/27/2029 REGS                                                                                        | CUSIP: N/A<br>LEI: 549300CJMQNCA0U4TS33       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $100132.17     | 0.00%             | 2029-11-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                                                          | EXPAND ENERGY CORP 5.7% 01/15/2035                                                                                               | CUSIP: 165167DH7<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     8511000 | PA      | $8839053.94    | 0.02%             | 2035-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                                                                                            | DT MIDSTREAM INC 5.8% 12/15/2034 144A                                                                                            | CUSIP: 23345MAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7125000 | PA      | $7426911.83    | 0.02%             | 2034-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FDG II                                                                                | PRINCIPAL LIFE GLOBAL FDG II 4.95% 11/27/2029 144A                                                                               | CUSIP: 74256LFB0<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |     7500000 | PA      | $7684269.00    | 0.02%             | 2029-11-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CWABS INC                                                                                                   | CWABS INC 2005-3 MF3 VAR 08/25/2035                                                                                              | CUSIP: 126673ZX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1179789 | PA      | $925338.23     | 0.00%             | 2035-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6.5% 06/01/2054#SD5521                                                                                                 | CUSIP: 3132DTD23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      983125 | PA      | $1039702.60    | 0.00%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6.5% 09/01/2054#SD6620                                                                                                 | CUSIP: 3132DUK97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1181759 | PA      | $1250136.23    | 0.00%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 11/01/2053#SD6961                                                                                                   | CUSIP: 3132DUWW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1162270 | PA      | $1179415.66    | 0.00%             | 2053-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.125% 11/30/2029                                                                                                      | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      800000 | PA      | $816687.50     | 0.00%             | 2029-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROJECT ALPHA INTERMEDIATE HOLDING INC                                                                      | QLIK TERM B 1LN 10/26/2030                                                                                                       | CUSIP: 74339DAN8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      458134 | PA      | $457465.53     | 0.00%             | 2030-10-26      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.25% 11/30/2026                                                                                                       | CUSIP: 91282CLY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11817300 | PA      | $11886172.64   | 0.03%             | 2026-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.125% 11/30/2031                                                                                                      | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    33481000 | PA      | $34230398.86   | 0.08%             | 2031-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THE BAHA TRUST                                                                                              | THE BAHA TRUST 24-MAR B VAR 12/10/2029 144A                                                                                      | CUSIP: 05493XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      337000 | PA      | $352417.75     | 0.00%             | 2041-12-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| COMM 2024-CBM MORTGAGE TRUST                                                                                | COMM 2024-CBM MORTGAGE TRUST VAR 12/10/2041 144A                                                                                 | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      110000 | PA      | $112397.62     | 0.00%             | 2041-12-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2024-VIS1                                                                   | JP MORGAN MORTGAGE TRUST SERIES 2024-VIS1 VAR 07/25/2064 144A                                                                    | CUSIP: 465970AF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      163000 | PA      | $164127.70     | 0.00%             | 2064-07-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| SHR TR 2024-LXRY                                                                                            | SHR TR 2024-LXRY TSFR1M+245 10/15/2041 144A                                                                                      | CUSIP: 784234AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      847000 | PA      | $847889.01     | 0.00%             | 2041-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OHA CR FDG 4 LTD / OHA CR FDG 4 LLC                                                                         | OHA CR FDG 4 LTD / OHA CR FDG 4 LLC AR2 TSFR3M+129 01/22/2038 144A                                                               | CUSIP: 67098DBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5150000 | PA      | $5159537.80    | 0.01%             | 2038-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| THE BAHA TRUST                                                                                              | THE BAHA TRUST 6.17072% 12/10/2041 144A                                                                                          | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4302000 | PA      | $4469970.73    | 0.01%             | 2041-12-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| THE BAHA TRUST                                                                                              | THE BAHA TRUST CSTR 12/10/2029 144A                                                                                              | CUSIP: 05493XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      827000 | PA      | $864207.14     | 0.00%             | 2041-12-10      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CAFL 2024-RTL1 ISSUER LLC                                                                                   | CAFL 2024-RTL1 ISSUER LLC STEP 11/28/2031 144A                                                                                   | CUSIP: 12770DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1307000 | PA      | $1318458.47    | 0.00%             | 2031-11-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                                   | VERIZON COMMUNICATIONS INC SNR S ICE                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |     7000000 | NC      | $9229.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 5.211%/VAR 12/03/2035                                                                                     | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     8647000 | PA      | $8930324.75    | 0.02%             | 2035-12-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                                            | ABN AMRO BANK NV 4.988%/VAR 12/03/2028 144A                                                                                      | CUSIP: 00084DBD1<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     1100000 | PA      | $1117843.91    | 0.00%             | 2028-12-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MARICOPA CNTY AZ IND DEV AU ED                                                                              | MARICOPA AZ IND 7.375% 10/1/2029                                                                                                 | CUSIP: 56681NJD0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     4950000 | PA      | $5205981.33    | 0.01%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 6.75%/VAR PERP                                                                                                     | CUSIP: 172967PR6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EP               | CORP              | US        |     1385000 | PA      | $1395629.15    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC FDG 2018-I LTD / CIFC FDG 2018-I LLC                                                                   | CIFC FDG 2018-I LTD / CIFC FDG 2018-I LLC BR TSFR3M+170 01/18/2038 144A                                                          | CUSIP: 17181NAG9<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501391.00     | 0.00%             | 2038-01-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                                                      | CONOCOPHILLIPS CO 4.7% 01/15/2030                                                                                                | CUSIP: 20826FBJ4<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |      760000 | PA      | $776518.55     | 0.00%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                                                                                        | HEIMSTADEN BOSTAD AB 6.25%/VAR PERP REGS                                                                                         | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | DBT              | CORP              | SE        |      135000 | PA      | $163074.65     | 0.00%             | 2199-12-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| REGATTA 30 FDG LTD / REGATTA 30 FDG LLC                                                                     | REGATTA 30 FDG LTD / REGATTA 30 FDG LLC A1 TSFR3M+132 01/25/2038 144A                                                            | CUSIP: 75903UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250357.75     | 0.00%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XLI LTD                                                                                           | MAGNETITE XLI LTD A TSFR3M+129 01/25/2038 144A                                                                                   | CUSIP: 55956AAA3<br>LEI: 529900IDXPZZY6034K03 | Long             | ABS-CBDO         | CORP              | KY        |     2869000 | PA      | $2873283.42    | 0.01%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HIH TRUST 2024-61P                                                                                          | HIH TRUST 2024-61P C TSFR1M+284.1 10/15/2041 144A                                                                                | CUSIP: 40444VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      197051 | PA      | $197543.39     | 0.00%             | 2041-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM1                                                                                              | PRPM 2024-NQM1 B1 VAR 12/25/2068 144A                                                                                            | CUSIP: 693977AE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      224000 | PA      | $225962.62     | 0.00%             | 2068-12-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED BANK NEW YORK BRANCH                                                                     | STANDARD CHARTERED BANK NEW YORK BRH 4.853% 12/03/2027                                                                           | CUSIP: 85325X2B1<br>LEI: RILFO74KP1CM8P6PCT96 | Long             | DBT              | CORP              | US        |    13800000 | PA      | $14084978.69   | 0.03%             | 2027-12-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                                                               | COMMSCOPE INC 9.5% 12/15/2031 144A                                                                                               | CUSIP: 20338MAA0<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |      170000 | PA      | $172458.20     | 0.00%             | 2031-12-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 6% 09/01/2038#MA5145                                                                                                   | CUSIP: 31418EWF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      365003 | PA      | $379249.32     | 0.00%             | 2038-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KSL COMMERCIAL MORTGAGE TRUST 2024-HT2                                                                      | KSL COMMERCIAL MORTGAGE TRUST 2024-HT2 A TSFR1M+154.239 12/15/2039 144A                                                          | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      523319 | PA      | $523155.29     | 0.00%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 11/01/2036#FM9724                                                                                                   | CUSIP: 3140XDYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89324 | PA      | $82719.02      | 0.00%             | 2036-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC                                                             | MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC ARR TSFR3M+108 07/15/2034 144A                                                   | CUSIP: 55820BAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4233000 | PA      | $4235235.02    | 0.01%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UCB SA                                                                                                      | UCB SA 4.25% 03/20/2030 REGS                                                                                                     | CUSIP: N/A<br>LEI: 2138008J191VLSGY5A09       | Long             | DBT              | CORP              | BE        |     2100000 | PA      | $2519322.76    | 0.01%             | 2030-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASMODEE GROUP AB                                                                                            | ASMODEE GROUP AB FRN 3MEUR+375 12/15/2029 144A                                                                                   | CUSIP: N/A<br>LEI: 636700G5993BBAFDYD02       | Long             | DBT              | CORP              | SE        |      470588 | PA      | $551614.99     | 0.00%             | 2029-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ASMODEE GROUP AB                                                                                            | ASMODEE GROUP AB 5.75% 12/15/2029 144A                                                                                           | CUSIP: N/A<br>LEI: 636700G5993BBAFDYD02       | Long             | DBT              | CORP              | SE        |     1120000 | PA      | $1365095.40    | 0.00%             | 2029-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL FUNDING                                                                              | PROTECTIVE LIFE GLOBAL FUNDING 4.772% 12/09/2029 144A                                                                            | CUSIP: 74368CCA0<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    12700000 | PA      | $12972959.45   | 0.03%             | 2029-12-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                                          | ALLY FINL INC 5.543%/VAR 01/17/2031                                                                                              | CUSIP: 02005NBW9<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     8200000 | PA      | $8366039.75    | 0.02%             | 2031-01-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WISCONSIN PUBLIC SERVICE CORP                                                                               | WISCONSIN PUBLIC SERVICE CORP 4.55% 12/01/2029                                                                                   | CUSIP: 976843BQ4<br>LEI: 549300BJRHJVYNUMQZ30 | Long             | DBT              | CORP              | US        |     2450000 | PA      | $2497107.60    | 0.01%             | 2029-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                                          | ALLY FINL INC T5Y+NA 01/17/2040                                                                                                  | CUSIP: 02005NBY5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100471.79     | 0.00%             | 2040-01-17      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AI AQUA MERGER SUB INC                                                                                      | CULLIGAN TERM B 1LN 07/31/2028                                                                                                   | CUSIP: 00132UAP9<br>LEI: 5493005QMH1D47U26R45 | Long             | LON              | CORP              | US        |       97729 | PA      | $97969.58      | 0.00%             | 2028-07-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2021-10 LTD                                                                                  | CARLYLE US CLO 2021-10 LTD A1R TSFR3M+131 01/20/2038 144A                                                                        | CUSIP: 14316YAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3508000 | PA      | $3511869.32    | 0.01%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 10/01/2054#CB9320                                                                                                 | CUSIP: 3140QVLA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      573780 | PA      | $590565.57     | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 09/01/2054#RJ2412                                                                                                 | CUSIP: 3142GSVE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      549315 | PA      | $563839.36     | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 04/01/2052#SD6932                                                                                                   | CUSIP: 3132DUVZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1190342 | PA      | $981615.54     | 0.00%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SAGARD-HALSEYPOINT CLO 8 LTD                                                                                | SAGARD-HALSEYPOINT CLO 8 LTD A1 TSFR3M+139 01/30/2038 144A                                                                       | CUSIP: 78662AAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250648.25     | 0.00%             | 2038-01-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                                             | CVS HEALTH CORP 7%/VAR 03/10/2055                                                                                                | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     1750000 | PA      | $1839888.75    | 0.00%             | 2055-03-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF OK                                                                                     | PUBLIC SERVICE CO OF OK 5.2% 01/15/2035                                                                                          | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |     1155000 | PA      | $1174029.70    | 0.00%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                                             | CVS HEALTH CORP 6.75%/VAR 12/10/2054                                                                                             | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      655000 | PA      | $678800.74     | 0.00%             | 2054-12-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                                                      | SAMMONS FINANCIAL GROUP GLOBAL FUNDING 5.1% 12/10/2029 144A                                                                      | CUSIP: 79587J2A0<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |    12900000 | PA      | $13286609.13   | 0.03%             | 2029-12-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                                                 | AVOLON HOLDINGS FUNDING LTD 5.15% 01/15/2030 144A                                                                                | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     2033000 | PA      | $2069491.76    | 0.00%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                                           | IRON MOUNTAIN INC 6.25% 01/15/2033 144A                                                                                          | CUSIP: 46284VAQ4<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |       60000 | PA      | $61348.98      | 0.00%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CWABS ASSET BACKED CTFS TR SER 2006 14                                                                      | CWABS AST BKD CTF TR SER 06 14 STEP 02/25/2037                                                                                   | CUSIP: 23243LAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      368736 | PA      | $391757.68     | 0.00%             | 2037-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-GPA3                                                                                    | BX COML MTG TR 2024-GPA3 A TSFR1M+149.25 12/15/2029 144A                                                                         | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1377363 | PA      | $1368259.09    | 0.00%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOLDINGS CORP                                                                                   | RENAISSANCE LEARNING TERM B 1LN 4/5/2030                                                                                         | CUSIP: 75972JAK0<br>LEI: 549300UKKEC0Y6TXNF09 | Long             | LON              | CORP              | US        |      561335 | PA      | $484993.59     | 0.00%             | 2030-04-05      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| HEXION HOLDINGS CORPORATION                                                                                 | HEXION TERM 1LN 03/15/2029                                                                                                       | CUSIP: 00217XAE6<br>LEI: 549300LBB370MUHGLV84 | Long             | LON              | CORP              | US        |      193446 | PA      | $188044.73     | 0.00%             | 2029-03-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP LLC                                                                                       | JANE STREET TERM B 1LN 12/15/2031                                                                                                | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |      262006 | PA      | $259273.16     | 0.00%             | 2031-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2024-36 LTD / OCP CLO 2024-36 LLC                                                                   | OCP CLO 2024-36 LTD / OCP CLO 2024-36 LLC B1 TSFR3M+170 10/16/2037 144A                                                          | CUSIP: 67570EAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     1238000 | PA      | $1240979.87    | 0.00%             | 2037-10-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TRESTLES CLO III LTD                                                                                        | TRESTLES CLO III LTD A1R TSFR3M+139 10/20/2037 144A                                                                              | CUSIP: 89532TAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      280000 | PA      | $281093.40     | 0.00%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITYCON TREASURY BV                                                                                         | CITYCON TREASURY BV 5% 03/11/2030 REGS                                                                                           | CUSIP: N/A<br>LEI: 549300WAE0CGQ0IE1H63       | Long             | DBT              | CORP              | NL        |      200000 | PA      | $222969.01     | 0.00%             | 2030-03-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTH WEST WATER FINANCE PLC                                                                                | SOUTH WEST WATER FINANCE PLC 5.75% 12/11/2032 REGS                                                                               | CUSIP: N/A<br>LEI: 213800OV68U446W4NV89       | Long             | DBT              | CORP              | GB        |      125000 | PA      | $171702.30     | 0.00%             | 2032-12-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2024-6 LTD / CARLYLE US CLO 2024-6 LLC                                                       | CARLYLE US CLO 2024-6 LTD / CARLYLE US CLO 2024-6 LLC B TSFR3M+170 10/25/2037 144A                                               | CUSIP: 14319PAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1890000 | PA      | $1897843.50    | 0.00%             | 2037-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                                                          | COTERRA ENERGY INC 5.9% 02/15/2055                                                                                               | CUSIP: 127097AN3<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |     1098000 | PA      | $1069459.91    | 0.00%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                                                          | COTERRA ENERGY INC 5.4% 02/15/2035                                                                                               | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |     7700000 | PA      | $7854823.36    | 0.02%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 12/01/2054#CB9668                                                                                                 | CUSIP: 3140QVW67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3052383 | PA      | $3102566.95    | 0.01%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                                                    | AES CORP 6.95%/VAR 07/15/2055                                                                                                    | CUSIP: 00130HCL7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97551.91      | 0.00%             | 2055-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY885799 12/15/56 S                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      600000 | NC      | $-8130.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY885799 12/15/56 S                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1000000 | NC      | $-13550.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FONTAINEBLEAU MIAMI BEACH BEACH MTG TR 2024-FBLU                                                            | FONTAINEBLEAU MIAMI BEACH BEACH MTG TR 2024-FBLU TSFR1M+570 12/15/2029 144A                                                      | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      137000 | PA      | $138172.04     | 0.00%             | 2039-12-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC1 TRUST                                                                                       | PRKCM 2023-AFC1 TRUST VAR 02/25/2058 144A                                                                                        | CUSIP: 693981AE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      757000 | PA      | $754891.23     | 0.00%             | 2058-02-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/ FIN CORP                                                                                 | GENESIS ENERGY LP/ FIN CORP 8% 05/15/2033                                                                                        | CUSIP: 37185LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $103165.70     | 0.00%             | 2033-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                                                            | UWM HOLDINGS LLC 6.625% 02/01/2030 144A                                                                                          | CUSIP: 903522AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      305000 | PA      | $309941.61     | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTAIL MTG LN TR 2024-NQM3                                                                         | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM3 7.173624% 11/25/2064 144A                                                          | CUSIP: 647910AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      259000 | PA      | $264902.43     | 0.00%             | 2064-11-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                                                    | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM A TSFR1M+139.27 12/15/2039 144A                                                 | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5360000 | PA      | $5359996.78    | 0.01%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                                                    | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 2024-DPM B TSFR1M+179.21 12/15/2029 144A                                               | CUSIP: 87231EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1306000 | PA      | $1305998.82    | 0.00%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                                                    | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM C TSFR1M+219.158 12/15/2039 144A                                                | CUSIP: 87231EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      962000 | PA      | $963200.67     | 0.00%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                                   | AT+T INC SNR S* ICE 12/20/2025                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |    11000000 | NC      | $-72599.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VELOCITY COML CAP LN TR 2024-6                                                                              | VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2024-6 VAR 12/25/2054 144A                                                                | CUSIP: 92261BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      430606 | PA      | $432256.49     | 0.00%             | 2054-12-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VELOCITY COML CAP LN TR 2024-6                                                                              | VELOCITY COML CAP LN TR 2024-6 M4 VAR 12/25/2054 144A                                                                            | CUSIP: 92261BAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      194396 | PA      | $196438.18     | 0.00%             | 2054-12-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| VELOCITY COML CAP LN TR 2024-6                                                                              | VELOCITY COML CAP LN TR 2024-6 VAR 12/25/2054 144A                                                                               | CUSIP: 92261BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      171584 | PA      | $172172.72     | 0.00%             | 2054-12-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKES FDG LLC                                                                                        | JERSEY MIKES FDG LLC 5.636% 02/15/2055 144A                                                                                      | CUSIP: 476681AD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3806238 | PA      | $3890345.07    | 0.01%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-GPA3                                                                                    | BX COML MTG TR 2024-GPA3 TSFR1M+164.233 12/15/2039 144A                                                                          | CUSIP: 123910AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      116386 | PA      | $116494.42     | 0.00%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                                          | VICI PROPERTIES LP 5.125% 11/15/2031                                                                                             | CUSIP: 925650AH6<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     1677000 | PA      | $1700537.87    | 0.00%             | 2031-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VEGAS 2024-GCS                                                                                              | VEGAS 2024-GCS D VAR 07/10/2036 144A                                                                                             | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1100000 | PA      | $1091923.91    | 0.00%             | 2036-07-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VEGAS 2024-GCS                                                                                              | VEGAS 2024-GCS C VAR 07/10/2036 144A                                                                                             | CUSIP: 92254BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      490000 | PA      | $494586.55     | 0.00%             | 2036-07-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                                                   | TORONTO DOMINION BANK 4.568% 12/17/2026                                                                                          | CUSIP: 89115A3A8<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    11000000 | PA      | $11070206.40   | 0.03%             | 2026-12-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVR CHC LP                                                                                                  | CVR ENERGY TERM B 1LN 12/30/2027                                                                                                 | CUSIP: 12663SAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      337119 | PA      | $337540.63     | 0.00%             | 2027-12-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 12/01/2054#DB4845                                                                                                   | CUSIP: 3140AEL31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4925852 | PA      | $4924630.25    | 0.01%             | 2054-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GALLAGHER (ARTHUR J.) and CO                                                                                | GALLAGHER (ARTHUR J.) and CO 4.6% 12/15/2027                                                                                     | CUSIP: 04316JAK5<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     8800000 | PA      | $8885141.41    | 0.02%             | 2027-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GALLAGHER (ARTHUR J.) and CO                                                                                | GALLAGHER (ARTHUR J.) and CO 4.85% 12/15/2029                                                                                    | CUSIP: 04316JAL3<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     4455000 | PA      | $4552628.87    | 0.01%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                                                                          | CNO GLOBAL FUNDING 4.875% 12/10/2027 144A                                                                                        | CUSIP: 18977W2G4<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |     3500000 | PA      | $3541516.79    | 0.01%             | 2027-12-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| J P MORGAN SEASONED MTG TR 2024-1                                                                           | J P MORGAN SEASONED MTG TR 2024-1 4.482731% 10/25/2054 144A                                                                      | CUSIP: 61777HAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3149187 | PA      | $3050721.24    | 0.01%             | 2063-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ORL 2024-GLKS MTG TR                                                                                        | ORL 2024-GLKS A MTG TR TSFR1M+149.25 12/15/2039 144A                                                                             | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      280000 | PA      | $280230.36     | 0.00%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC                                                                                                | ACRISURE TERM B6 1LN 11/06/2030                                                                                                  | CUSIP: 00488PAV7<br>LEI: 549300R0Z1Q47XRTGO22 | Long             | LON              | CORP              | US        |        4962 | PA      | $4955.06       | 0.00%             | 2030-11-06      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ABG INTERMEDIATE HLDGS 2 LLC                                                                                | AUTHENTIC BRANDS TERM B1 1LN 12/21/2028                                                                                          | CUSIP: 00076VBL3<br>LEI: 54930020NXD0RJB64985 | Long             | LON              | CORP              | US        |      173397 | PA      | $173624.43     | 0.00%             | 2028-12-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| RFMSI SERIES 2006-SA4 TRUST                                                                                 | RFMSI SERIES 2006-SA4 2A1 TRUST VAR 11/25/2036                                                                                   | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       59580 | PA      | $49734.20      | 0.00%             | 2036-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 01/01/2055#SD8492                                                                                                   | CUSIP: 3132DWNH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    23078776 | PA      | $23044201.74   | 0.05%             | 2055-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 01/01/2055#MA5584                                                                                                 | CUSIP: 31418FF28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8456426 | PA      | $8284413.87    | 0.02%             | 2055-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 08/01/2051#FS2041                                                                                                   | CUSIP: 3140XHHT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      188995 | PA      | $155027.53     | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 01/01/2055#SD8494                                                                                                 | CUSIP: 3132DWNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    19673827 | PA      | $19929656.01   | 0.05%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| M and T BANK CORP                                                                                           | M and T BANK CORP 5.385%/VAR 01/16/2036                                                                                          | CUSIP: 55261FAV6<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |      876000 | PA      | $893350.20     | 0.00%             | 2036-01-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CLDCD 2024-2A A2                                                                                            | CLDCD 2024-2A A2 5.781% 11/22/2049 144A                                                                                          | CUSIP: 102104AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5270000 | PA      | $5303174.65    | 0.01%             | 2049-11-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA O2 VENDOR FINANCING NOTES V DAC                                                                | VIRGIN MEDIA O2 VENDOR FINANCING NOTES V DAC 7.875% 03/15/2032 REGS                                                              | CUSIP: N/A<br>LEI: 635400ASSEVCXAPVGC36       | Long             | DBT              | CORP              | IE        |      235000 | PA      | $314781.60     | 0.00%             | 2032-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AMEREN MISSOURI SECURITIZATION FUNDING I LLC                                                                | AMEREN MISSOURI SECURITIZATION FUNDING I LLC 4.85% 10/01/2041                                                                    | CUSIP: 023940AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5106483 | PA      | $5217466.07    | 0.01%             | 2041-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SWEPCO STORM RECOVERY FUNDING LLC                                                                           | SWEPCO STORM RECOVERY FUNDING LLC 4.88% 09/01/2041                                                                               | CUSIP: 870696AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8315341 | PA      | $8459421.79    | 0.02%             | 2041-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2020-2 LTD / VOYA CLO 2020-2 LLC                                                                   | VOYA CLO 2020-2 LTD/LLC A1RR TSFR3M+131 01/20/2038 144A                                                                          | CUSIP: 92918HAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1927000 | PA      | $1931277.94    | 0.00%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES9                                                                               | RCKT MORTGAGE TRUST 2024-CES9 STEP 12/25/2044 144A                                                                               | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2686347 | PA      | $2711384.52    | 0.01%             | 2044-12-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OWN EQUIPMENT FUND I LLC                                                                                    | OWN EQUIPMENT FUND I LLC 5.7% 12/20/2032 144A                                                                                    | CUSIP: 69121NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2085072 | PA      | $2091516.96    | 0.00%             | 2032-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TECHNIMARK HOLDINGS LLC                                                                                     | TECHNIMARK HOLDINGS TERM B 1LN 4/14/2031                                                                                         | CUSIP: 87854HAD8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      568702 | PA      | $557089.28     | 0.00%             | 2031-04-14      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MCAFEE CORP                                                                                                 | MCAFEE TERM 1LN 03/01/2029                                                                                                       | CUSIP: 57906HAF4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | LON              | CORP              | US        |       44669 | PA      | $41167.12      | 0.00%             | 2029-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL RE-REMIC TRUST 2024-FRR2                                                                              | BAMLL RE-REMIC TRUST 2024-FRR2 VAR 07/27/2050 144A                                                                               | CUSIP: 05493UAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3661430.40    | 0.01%             | 2050-07-27      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BAMLL RE-REMIC TRUST 2024-FRR3                                                                              | BAMLL RE-REMIC TRUST 2024-FRR3 VAR 01/27/2050 144A                                                                               | CUSIP: 054988AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $2776913.10    | 0.01%             | 2050-01-27      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | RFR USD SOFR-3.76473 12/17/24 30Y LCH                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -5900000 | NC      | $204491.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                                   | BARCLAYS BANKL PLC SNR SE ICE 12/20/2025                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |    10600000 | NC      | $-65658.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2024-NQM3 TR                                                                                            | MFA 2024-NQM3 M1 TR VAR 12/25/2069 144A                                                                                          | CUSIP: 55287GAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1470588 | PA      | $1498420.05    | 0.00%             | 2069-12-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST INC                                                                                 | STARWOOD PPTY TR INC 6.5% 07/01/2030 144A                                                                                        | CUSIP: 85571BBD6<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |      245000 | PA      | $255762.85     | 0.00%             | 2030-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST                                                                                    | BEAR STEARNS ALT-A TRUST 2004-8 M2 STEP 09/25/2034                                                                               | CUSIP: 07386HKV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      986779 | PA      | $967499.15     | 0.00%             | 2034-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 11/20/2054#MB0024                                                                                                   | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    23796531 | PA      | $23317397.04   | 0.05%             | 2054-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5% 11/20/2054#MB0025                                                                                                     | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    19563423 | PA      | $19571798.54   | 0.04%             | 2054-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5.5% 12/20/2054#MB0092                                                                                                   | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2334158 | PA      | $2360108.40    | 0.01%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 6% 07/01/2039#SB1215                                                                                                   | CUSIP: 3132CXK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7748580 | PA      | $8036488.82    | 0.02%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ATOS SE                                                                                                     | ATOS SE STEP 12/18/2029 REGS                                                                                                     | CUSIP: N/A<br>LEI: 5493001EZOOA66PTBR68       | Long             | DBT              | CORP              | FR        |      266090 | PA      | $351380.43     | 0.00%             | 2029-12-18      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN HOLDING AB                                                                 | SAMHALLSBYGGNADSBOLAGET I NORDEN HOLDING AB 2.25% 07/12/2027 REGS                                                                | CUSIP: N/A<br>LEI: 636700JPED0N9T4ET363       | Long             | DBT              | CORP              | SE        |      400000 | PA      | $436274.48     | 0.00%             | 2027-07-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.375% 12/31/2029                                                                                                      | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      800000 | PA      | $824406.25     | 0.00%             | 2029-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.5% 12/31/2031                                                                                                        | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    54278600 | PA      | $56585440.50   | 0.13%             | 2031-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6% 12/20/2054#MB0093                                                                                                     | CUSIP: 3618N5C72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7568580 | PA      | $7712844.04    | 0.02%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2023-NQM6                                                                          | BRAVO RESIDENTIAL FDG TR 2023-NQM6 VAR 09/25/2063 144A                                                                           | CUSIP: 10569DAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      231000 | PA      | $232442.32     | 0.00%             | 2063-09-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | RFR USDSOFR-3.89548 12-23-24-30* LCH                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -24961000 | NC      | $300600.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BABSON CLO LTD/CAYMAN ISLANDS                                                                               | BABSON CLO LTD/CAYMAN ISLANDS A1R2 TSFR3M+126 01/15/2038 144A                                                                    | CUSIP: 06762LAR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3908000 | PA      | $3910985.71    | 0.01%             | 2038-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TRIMARAN CAVU 2019-1 LTD / TRIMARAN CAVU 2019-1 LLC                                                         | TRIMARAN CAVU 2019-1 LTD / TRIMARAN CAVU 2019-1 LLC A1R TSFR3M+119 01/20/2037 144A                                               | CUSIP: 89624CDG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    16000000 | PA      | $15958432.00   | 0.04%             | 2037-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXVIII LTD                                                                                        | MAGNETITE XXVIII LTD A1RR TSFR3M+124 01/15/2038 144A                                                                             | CUSIP: 55955LAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5256000 | PA      | $5259311.28    | 0.01%             | 2038-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | CITI SWAP REC 4.01 12/20/29                                                                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |     2500000 | NC      | $91377.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | CITI SWAP PAY 4.01 12/20/29                                                                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |     2500000 | NC      | $72234.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                                         | PETROLEOS MEXICANOS 7.5% 03/20/2026 144A                                                                                         | CUSIP: N/A<br>LEI: 549300CAZKPF4HKMPX17       | Long             | DBT              | CORP              | MX        |     1392000 | PA      | $1383300.00    | 0.00%             | 2026-03-20      | Fixed         | 0.07%                 | No            |                  3 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                                                    | IHEARTCOMMUNICATIONS INC 10.875% 05/01/2030 144A                                                                                 | CUSIP: 45174HBL0<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |      133088 | PA      | $109522.85     | 0.00%             | 2030-05-01      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                                                    | IHEARTCOMMUNICATIONS INC 7.75% 08/15/2030 144A                                                                                   | CUSIP: 45174HBM8<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |      113030 | PA      | $96495.55      | 0.00%             | 2030-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                                                    | IHEARTCOMMUNICATIONS INC 9.125% 05/01/2029 144A                                                                                  | CUSIP: 45174HBJ5<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |      465193 | PA      | $430452.39     | 0.00%             | 2029-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| KELSO INDUSTRIES LLC                                                                                        | KELSO TERM 1LN 12/30/2029                                                                                                        | CUSIP: 48825CAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      198420 | PA      | $197923.87     | 0.00%             | 2029-12-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| KELSO INDUSTRIES LLC                                                                                        | KELSO TERM DD 1LN 12/30/2029                                                                                                     | CUSIP: 48825CAC9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       18064 | PA      | $18019.16      | 0.00%             | 2029-12-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 03/01/2051#SD2903                                                                                                   | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1535230 | PA      | $1262669.23    | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+ 01/25/2055                                                                               | CUSIP: 3137HJ2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2796838 | PA      | $2802594.82    | 0.01%             | 2055-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+ 01/25/2055                                                                               | CUSIP: 3137HHWA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     4300596 | PA      | $4299486.01    | 0.01%             | 2055-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 11/01/2051#FS9599                                                                                                 | CUSIP: 3140XRUZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      377115 | PA      | $328497.51     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/01/2052#FS9729                                                                                                 | CUSIP: 3140XRY33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      962122 | PA      | $834477.79     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFSP 2024-AHP1 MTG TR                                                                                       | CFSP 2024-AHP1 A MTG TR 6.5% 04/15/2037                                                                                          | CUSIP: 15723BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      570814 | PA      | $554011.77     | 0.00%             | 2037-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOPHOS INTERMEDIATE II LTD                                                                                  | SOPHOS TERM B 1LN 03/05/2027                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | GB        |       99534 | PA      | $99522.87      | 0.00%             | 2027-03-05      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 5.875% 11/07/2029                                                                                       | CUSIP: 345397G49<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    12775000 | PA      | $13068889.90   | 0.03%             | 2029-11-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2020-IV LTD                                                                                    | CIFC FUNDING 2020-IV LTD A1R TSFR3M+130 01/15/2040 144A                                                                          | CUSIP: 12562RAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      680000 | PA      | $680836.40     | 0.00%             | 2040-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AGL CLO 35 LTD                                                                                              | AGL CLO 35 LTD A1 TSFR3M+134 01/21/2038 144A                                                                                     | CUSIP: 00852KAA2<br>LEI: 254900LDCU83O7QV9777 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250516.25     | 0.00%             | 2038-01-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                                                    | GENERAL MTRS FINL CO INC 5.9% 01/07/2035                                                                                         | CUSIP: 37045XFC5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      355000 | PA      | $371501.46     | 0.00%             | 2035-01-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FDG II                                                                                | PRINCIPAL LIFE GLOBAL FDG II 4.8% 01/09/2028 144A                                                                                | CUSIP: 74256LFC8<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    11500000 | PA      | $11654965.61   | 0.03%             | 2028-01-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                                                          | CREDIT AGRICOLE SA 5.862%/VAR 01/09/2036 144A                                                                                    | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |      945000 | PA      | $1002173.81    | 0.00%             | 2036-01-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                                                      | SAMMONS FINANCIAL GROUP GLOBAL FUNDING 5.05% 01/10/2028 144A                                                                     | CUSIP: 79587J2B8<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |     4200000 | PA      | $4266290.83    | 0.01%             | 2028-01-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 1.5% 08/25/2050                                                                                   | CUSIP: 3136BJTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      242709 | PA      | $202992.25     | 0.00%             | 2050-08-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 1.75% 02/25/2052                                                                                  | CUSIP: 3137H5WR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2882952 | PA      | $2590156.28    | 0.01%             | 2052-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                                          | MITSUBISHI UFJ FIN GRP INC 5.197%/VAR 01/16/2031                                                                                 | CUSIP: 606822DG6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    11700000 | PA      | $12108786.53   | 0.03%             | 2031-01-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 5.05% 04/15/2030                                                                                                    | CUSIP: 11135FCF6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      720000 | PA      | $745642.16     | 0.00%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 5.2% 04/15/2032                                                                                                     | CUSIP: 11135FCG4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1837000 | PA      | $1920386.17    | 0.00%             | 2032-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                                                | MEXICO UNITED MEXICAN STATES 6% 05/13/2030                                                                                       | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     4310000 | PA      | $4528732.50    | 0.01%             | 2030-05-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                                                | MEXICO UNITED MEXICAN STATES 6.875% 05/13/2037                                                                                   | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    11400000 | PA      | $12283500.00   | 0.03%             | 2037-05-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL FDG                                                                                | JACKSON NATL LIFE GLOBAL FDG 5.35% 01/13/2030 144A                                                                               | CUSIP: 46849LVE8<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |     6100000 | PA      | $6326229.18    | 0.01%             | 2030-01-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CRH SMW FINANCE DAC                                                                                         | CRH SMW FINANCE DAC 5.125% 01/09/2030                                                                                            | CUSIP: 12704PAB4<br>LEI: 54930044475SH442C864 | Long             | DBT              | CORP              | IE        |     2175000 | PA      | $2242758.30    | 0.01%             | 2030-01-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                                                     | SAUDI ARABIA KINGDOM OF 5.125% 01/13/2028 144A                                                                                   | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    18400000 | PA      | $18814000.00   | 0.04%             | 2028-01-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 5.45% 03/01/2035                                                                                   | CUSIP: 842400JG9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      365000 | PA      | $372801.31     | 0.00%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                                            | SOCIETE GENERALE FRANCE 5.5%/VAR 04/13/2029 144A                                                                                 | CUSIP: 83368RCC4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     4316000 | PA      | $4420317.72    | 0.01%             | 2029-04-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNP PARIBAS 5.786%/VAR 01/13/2033 144A                                                                                           | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    17320000 | PA      | $18269626.68   | 0.04%             | 2033-01-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 6.5% 01/01/2055#RJ3308                                                                                                 | CUSIP: 3142GTVA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1626568 | PA      | $1709372.62    | 0.00%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SARL / JBS USA FOOD CO / JBS USA FOODS GROUP                                                    | JBS USA LUX SARL / JBS USA FOOD CO / JBS USA FOODS GROUP 5.95% 04/20/2035 144A                                                   | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1275000 | PA      | $1347726.00    | 0.00%             | 2035-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 01/01/2055#CB9828                                                                                                 | CUSIP: 3140QV4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      980828 | PA      | $1036659.97    | 0.00%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 05/01/2054#SD7570                                                                                                   | CUSIP: 3132DVMT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3352560 | PA      | $3494776.47    | 0.01%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                                                         | SUMITOMO MITSUI FINL GRP INC 5.24% 04/15/2030                                                                                    | CUSIP: 86562MDS6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    10000000 | PA      | $10404216.00   | 0.02%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                                                                              | COMMERZBANK AG 3.625%/VAR 01/14/2032 REGS                                                                                        | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |      200000 | PA      | $235953.42     | 0.00%             | 2032-01-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NCL CORP LTD                                                                                                | NCL CORP LTD 6.75% 02/01/2032 144A                                                                                               | CUSIP: 62886HBR1<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |      605000 | PA      | $614014.50     | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                                                     | BPCE SA 6.293%/VAR 01/14/2036 144A                                                                                               | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      450000 | PA      | $485715.11     | 0.00%             | 2036-01-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                                                          | BANCO SANTANDER SA 6.033% 01/17/2035                                                                                             | CUSIP: 05964HBK0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     1000000 | PA      | $1082416.78    | 0.00%             | 2035-01-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                                                     | BPCE SA 5.876%/VAR 01/14/2031 144A                                                                                               | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     9300000 | PA      | $9739305.87    | 0.02%             | 2031-01-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WAND NEWCO 3 INC                                                                                            | CALIBER COLLISION TERM B 1LN 01/30/2031                                                                                          | CUSIP: 93369PAM6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | LON              | CORP              | US        |       63427 | PA      | $63420.92      | 0.00%             | 2031-01-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| RED VENTURES LLC                                                                                            | RED VENTURES TERM B5 1LN 3/3/2030                                                                                                | CUSIP: 75703UAL9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      235918 | PA      | $220260.06     | 0.00%             | 2030-03-04      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                                                 | CHENIERE ENERGY PARTNERS LP 5.75% 08/15/2034                                                                                     | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     4056000 | PA      | $4247152.71    | 0.01%             | 2034-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                                            | SOCIETE GENERALE FRANCE 6.1%/VAR 04/13/2033 144A                                                                                 | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     1520000 | PA      | $1612331.34    | 0.00%             | 2033-04-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AT and T REIGN II MULTI-PROPERTY LEASE-BACKED PASS-THROUGH TRUST                                            | AT and T REIGN II MULTI-PROPERTY LEASE-BACKED PASS-THROUGH TRUST 6.088% 12/15/2044 144A                                          | CUSIP: 046912AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1390000 | PA      | $1425592.06    | 0.00%             | 2044-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                                              | DEUTSCHE BANK AG NEW YORK BNCH 5.373%/VAR 01/10/2029                                                                             | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |      945000 | PA      | $965031.91     | 0.00%             | 2029-01-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                                                | NOVELIS CORP 6.875% 01/30/2030 144A                                                                                              | CUSIP: 670001AL0<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |      700000 | PA      | $725353.30     | 0.00%             | 2030-01-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                                                        | FRONTIER TERM B 1LN 07/01/2031                                                                                                   | CUSIP: 35906EAU4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      100899 | PA      | $100741.83     | 0.00%             | 2031-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| STAR 2025-SFR5 TRUST                                                                                        | STAR 2025-SFR5 TRUST TSFR1M+245 02/17/2042 144A                                                                                  | CUSIP: 85520CAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1083333 | PA      | $1084006.51    | 0.00%             | 2042-02-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                                             | SANTANDER UK GROUP HOLDINGS PLC 5.694%/VAR 04/15/2031                                                                            | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      255000 | PA      | $267025.85     | 0.00%             | 2031-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO                                                        | DSG TopCo                                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |       34138 | NS      | $130850.95     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| DEUTSCHE LUFTHANSA A G                                                                                      | DEUTSCHE LUFTHANSA A G EUAMDB05+NA 01/15/2055 REGS                                                                               | CUSIP: N/A<br>LEI: 529900PH63HYJ86ASW55       | Long             | DBT              | CORP              | DE        |      200000 | PA      | $241143.24     | 0.00%             | 2055-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                                                                         | JAPAN GOVERNMENT OF 2.3% 12/20/2054                                                                                              | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   534250000 | PA      | $2771957.35    | 0.01%             | 2054-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS NET LLC                                                                                      | DIAMOND SPORTS TERM EXIT 1LN 01/02/2028                                                                                          | CUSIP: 25277EAB8<br>LEI: 549300MPO5H6LGX4RJ82 | Long             | LON              | CORP              | US        |      233225 | PA      | $150040.80     | 0.00%             | 2028-01-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LA POSTE                                                                                                    | LA POSTE EUAMDB05+NA PERP REGS                                                                                                   | CUSIP: N/A<br>LEI: 9695000YG7TR7PAP0L59       | Long             | EP               | CORP              | FR        |      100000 | PA      | $120152.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP                                                                                           | CLARIOS TERM B 1LN 01/28/2032                                                                                                    | CUSIP: N/A<br>LEI: 549300474L1ZLXZY2P98       | Long             | LON              | CORP              | US        |      720000 | PA      | $722023.20     | 0.00%             | 2032-01-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BOOST NEWCO BORROWER LLC                                                                                    | WORLDPAY TERM B 1LN 01/31/2031                                                                                                   | CUSIP: 92943EAG1<br>LEI: 254900S8RE1OL7TTCU64 | Long             | LON              | CORP              | US        |      212179 | PA      | $212497.29     | 0.00%             | 2031-01-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WASTE PRO USA INC                                                                                           | WASTE PRO USA INC 7% 02/01/2033 144A                                                                                             | CUSIP: 94107JAC7<br>LEI: 549300BY1QXU5BI3UF28 | Long             | DBT              | CORP              | US        |      180000 | PA      | $187218.90     | 0.00%             | 2033-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                                                   | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 6.75% 02/15/2030 144A                                                                  | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      530000 | PA      | $550924.40     | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                                                    | COOPERATIEVE RABOBANK UA 5.71%/VAR 01/21/2033 144A                                                                               | CUSIP: 74977RDU5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      628000 | PA      | $665922.56     | 0.00%             | 2033-01-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MOTABILITY OPERATIONS GROUP PLC                                                                             | MOTABILITY OPERATIONS GRP PLC 3.625% 01/22/2033 REGS                                                                             | CUSIP: N/A<br>LEI: AZ3NL8JCZDCNUXFWI720       | Long             | DBT              | CORP              | GB        |      375000 | PA      | $437324.31     | 0.00%             | 2033-01-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIRIUS REAL ESTATE LTD                                                                                      | SIRIUS REAL ESTATE LTD 4% 01/22/2032 REGS                                                                                        | CUSIP: N/A<br>LEI: 213800NURUF5W8QSK566       | Long             | DBT              | CORP              | GG        |      300000 | PA      | $348023.58     | 0.00%             | 2032-01-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORLANDO HEALTH OBLIGATED GRP                                                                                | ORLANDO HEALTH OBLIGATED GRP 5.475% 10/01/2035                                                                                   | CUSIP: 686514AP5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1745000 | PA      | $1830812.63    | 0.00%             | 2035-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GREAT OUTDOORS GROUP LLC                                                                                    | BASS PRO TERM B 1LN 01/23/2032                                                                                                   | CUSIP: 07014QAP6<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |      257570 | PA      | $258085.31     | 0.00%             | 2032-01-23      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| IVANHOE MINE LTD                                                                                            | IVANHOE MINE LTD 7.875% 01/23/2030 144A                                                                                          | CUSIP: 46579RAE4<br>LEI: 5299006XZISURYIA4G32 | Long             | DBT              | CORP              | CA        |      130000 | PA      | $133402.36     | 0.00%             | 2030-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 5.244%/VAR 01/24/2031                                                                                     | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2318000 | PA      | $2408615.63    | 0.01%             | 2031-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-3 LTD                                                                          | BAIN CAPITAL CREDIT CLO 2019-3 LTD ARR TSFR3M+103 10/21/2034 144A                                                                | CUSIP: 05683TBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $998577.00     | 0.00%             | 2034-10-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 6.02%/VAR 01/24/2036                                                                                               | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1264559.41    | 0.00%             | 2036-01-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 4.915%/VAR 01/24/2029                                                                                      | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    10317000 | PA      | $10514336.77   | 0.02%             | 2029-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 5.14%/VAR 01/24/2031                                                                                       | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3430000 | PA      | $3558188.26    | 0.01%             | 2031-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 5.502%/VAR 01/24/2036                                                                                      | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1716000 | PA      | $1812792.88    | 0.00%             | 2036-01-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 6.85%/VAR PERP                                                                                     | CUSIP: 38141GC28<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EP               | CORP              | US        |     1160000 | PA      | $1203196.08    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 5.587%/VAR 01/18/2036                                                                                             | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      855000 | PA      | $902515.78     | 0.00%             | 2036-01-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 5.23%/VAR 01/15/2031                                                                                              | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     4395000 | PA      | $4545846.46    | 0.01%             | 2031-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK NA SALT LAKE                                                                              | MORGAN STANLEY BK NA SALT LAKE 5.016%/VAR 01/12/2029                                                                             | CUSIP: 61690DK72<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1018898.25    | 0.00%             | 2029-01-12      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 4% 12/01/2054#FA0227                                                                                              | CUSIP: 3140W0HD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11878165 | PA      | $11401927.99   | 0.03%             | 2054-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5% 01/20/2055#MB0146                                                                                                     | CUSIP: 3618N5EU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    10193622 | PA      | $10194800.79   | 0.02%             | 2055-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK NA SALT LAKE                                                                              | MORGAN STANLEY BK NA SALT LAKE FRN SOFR+90 01/12/2029                                                                            | CUSIP: 61690DK64<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |     6000000 | PA      | $6015983.88    | 0.01%             | 2029-01-12      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GREEN LAKES PARK CLO LLC                                                                                    | GREEN LAKES PARK CLO LLC ARR TSFR3M+118 01/25/2038 144A                                                                          | CUSIP: 39310AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4445000 | PA      | $4440515.00    | 0.01%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                                                                               | MODIVCARE TERM 1LN 1/12/2026                                                                                                     | CUSIP: 60783LAD2<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | LON              | CORP              | US        |      426537 | PA      | $174880.08     | 0.00%             | 2026-01-12      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 5.162%/VAR 01/24/2031                                                                                | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3270000 | PA      | $3391869.79    | 0.01%             | 2031-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMWINS GROUP INC                                                                                            | AMWINS TERM 1LN 1/30/2032                                                                                                        | CUSIP: 03234TBA5<br>LEI: 549300SJE7MUB8NMRG61 | Long             | LON              | CORP              | US        |      223212 | PA      | $223696.69     | 0.00%             | 2032-01-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL1 TRUST                                                                                        | PRET 2025-RPL1 TRUST 4% 07/25/2069 144A                                                                                          | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2025632 | PA      | $1975748.47    | 0.00%             | 2069-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENESYS CLOUD SERVICES HOLDINGS II LLC                                                                      | GENESYS TERM B 1LN 01/30/2032                                                                                                    | CUSIP: 39479UAY9<br>LEI: 549300CVRD4OUCPHWQ42 | Long             | LON              | CORP              | US        |      121902 | PA      | $119997.41     | 0.00%             | 2032-01-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO                                                        | MAIN STREET SPORTS GROUP WT 06/30/2026                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |       63385 | NS      | $30.42         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CIFC FDG 2018-IV LTD / CIFC FDG 2018-IV LLC                                                                 | CIFC FDG 2018-IV LTD / CIFC FDG 2018-IV LLC AR TSFR3M+122 01/17/2038 144A                                                        | CUSIP: 17181TAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2500000 | PA      | $2503602.50    | 0.01%             | 2038-01-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KAPLA HOLDING                                                                                               | KAPLA HOLDING 5% 04/30/2031 REGS                                                                                                 | CUSIP: N/A<br>LEI: 894500PJ28XTH66K4X83       | Long             | DBT              | CORP              | FR        |      150000 | PA      | $176491.94     | 0.00%             | 2031-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DIME                                                                                          | BX TRUST 2025-DIME A TSFR1M+115 02/15/2035 144A                                                                                  | CUSIP: 05613UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4360000 | PA      | $4351498.00    | 0.01%             | 2035-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 5.207%/VAR 01/28/2031                                                                              | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1321000 | PA      | $1368638.11    | 0.00%             | 2031-01-28      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 5.536%/VAR 01/28/2036                                                                              | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      760000 | PA      | $796391.14     | 0.00%             | 2036-01-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| RCKT MTG TR 2025 CES1                                                                                       | RCKT MTG TR 2025 CES1 5.653% 01/25/2045 144A                                                                                     | CUSIP: 749427AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3068865 | PA      | $3102086.48    | 0.01%             | 2045-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY885799 12/15/56 S                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1800000 | NC      | $-24391.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONTOURGLOBAL PWR HLDGS S A                                                                                 | CONTOURGLOBAL PWR HLDGS S A 5% 02/28/2030 REGS                                                                                   | CUSIP: N/A<br>LEI: 549300O5AGIFK0PQ1516       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $118642.02     | 0.00%             | 2030-02-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONTOURGLOBAL PWR HLDGS S A                                                                                 | CONTOURGLOBAL PWR HLDGS S A 6.75% 02/28/2030 144A                                                                                | CUSIP: 21220LAB9<br>LEI: 549300O5AGIFK0PQ1516 | Long             | DBT              | CORP              | LU        |      200000 | PA      | $205750.00     | 0.00%             | 2030-02-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ONCOR ELEC DELIVERY CO LLC                                                                                  | ONCOR ELEC DELIVERY CO LLC 4.65% 11/01/2029                                                                                      | CUSIP: 68233JCW2<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     2305000 | PA      | $2351097.51    | 0.01%             | 2029-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40 LTD                                                                          | OCTAGON INVESTMENT PARTNERS 40 LTD BRR TSFR3M+155 01/20/2035 144A                                                                | CUSIP: 67592BBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4800000 | PA      | $4785172.80    | 0.01%             | 2035-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ASCEND LEARNING LLC                                                                                         | ASCEND LEARNING TERM B 1LN 12/11/2028                                                                                            | CUSIP: 04349HAN4<br>LEI: 549300T466HKRLVCD610 | Long             | LON              | CORP              | US        |      253737 | PA      | $253679.11     | 0.00%             | 2028-12-11      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NEXUS BUYER LLC                                                                                             | INTRAFI TERM B 1LN 07/31/2031                                                                                                    | CUSIP: 65343UAH5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      173690 | PA      | $171435.19     | 0.00%             | 2031-07-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                                                     | PHILIPPINES REPUBLIC OF 5.5% 02/04/2035                                                                                          | CUSIP: 718286DG9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     2790000 | PA      | $2960887.50    | 0.01%             | 2035-02-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | OIS CAD CAONREPO-3.00000 01/23/25 9Y* LC                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -14000000 | NC      | $-131271.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2025-1                                                                             | ANGEL OAK MORTGAGE TRUST 2025-1 5.691% 01/25/2070 144A                                                                           | CUSIP: 034934AA7<br>LEI: 254900HC0S1X9R2JZB30 | Long             | ABS-CBDO         | CORP              | US        |      555678 | PA      | $560579.58     | 0.00%             | 2070-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H1 MORTGAGE TRUST                                                                                | CROSS 2025-H1 MORTGAGE TRUST 6.48% 02/25/2070 144A                                                                               | CUSIP: 22758NAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      162000 | PA      | $164184.36     | 0.00%             | 2070-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40 LTD                                                                          | OCTAGON INVESTMENT PARTNERS 40 LTD A1RR TSFR3M+104 01/20/2035 144A                                                               | CUSIP: 67592BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6300000 | PA      | $6299968.50    | 0.01%             | 2035-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H1 MORTGAGE TRUST                                                                                | CROSS 2025-H1 MORTGAGE TRUST 5.735% 02/25/2070 144A                                                                              | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1426390 | PA      | $1440683.21    | 0.00%             | 2070-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY885799 12/15/56 S                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1500000 | NC      | $-20325.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 06/01/2052#SD4958                                                                                                   | CUSIP: 3132DSQK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       72238 | PA      | $59254.81      | 0.00%             | 2052-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 11/01/2050#QB5148                                                                                                   | CUSIP: 3133ABWH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17735 | PA      | $14558.54      | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2019-2 LTD                                                                                          | TCW CLO 2019-2 LTD A1R2 TSFR3M+127 01/20/2038 144A                                                                               | CUSIP: 87242BBG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250397.25     | 0.00%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 09/01/2051#FS5803                                                                                                   | CUSIP: 3140XMNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51895 | PA      | $42568.20      | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 2% 11/01/2051#FA0376                                                                                              | CUSIP: 3140W0M28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      651798 | PA      | $535061.14     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1                                                    | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1 6.496% 11/25/2069 144A                                                  | CUSIP: 617932AF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      128000 | PA      | $129612.95     | 0.00%             | 2069-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1                                                    | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1 A1 5.738% VAR 11/25/2069 144A                                           | CUSIP: 617932AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      494820 | PA      | $501750.63     | 0.00%             | 2069-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BLACKHAWK NETWORK HOLDINGS INC                                                                              | BLACKHAWK NETWORK TERM B 1LN 03/12/2029                                                                                          | CUSIP: 09238FAM3<br>LEI: 549300LFU3K8UIR03132 | Long             | LON              | CORP              | US        |      223972 | PA      | $224644.08     | 0.00%             | 2029-03-12      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| POST ROAD EQUIPMENT FINANCE 2025-1 LLC                                                                      | POST ROAD EQUIPMENT FINANCE 2025-1 LLC 4.9% 05/15/2031 144A                                                                      | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5302506 | PA      | $5339303.68    | 0.01%             | 2031-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 12/01/2054#SD8495                                                                                                   | CUSIP: 3132DWNL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4458174 | PA      | $4564396.78    | 0.01%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXIX                                                                            | BENEFIT STREET PARTNERS CLO XXIX AR TSFR3M+118 01/25/2038 144A                                                                   | CUSIP: 08186EAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      500000 | PA      | $499250.00     | 0.00%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 2.5% 04/01/2052#FA0349                                                                                            | CUSIP: 3140W0L78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1216389 | PA      | $1055772.10    | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AREIT 2025-CRE10 LTD                                                                                        | AREIT 2025-CRE10 LTD A TSFR1M+138.794 12/17/2029 144A                                                                            | CUSIP: 00193DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      133000 | PA      | $132999.49     | 0.00%             | 2029-12-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2025-CRE8 ISSUER LLC                                                                               | LOANCORE 2025-CRE8 ISSUER LLC A TSFR1M+138.504 08/17/2042 144A                                                                   | CUSIP: 53947FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      143000 | PA      | $142910.97     | 0.00%             | 2042-08-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2025-1                                                            | GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2025-1 5.38% 02/20/2049 144A                                                           | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2203688 | PA      | $2238417.64    | 0.01%             | 2049-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2025-1                                                            | GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2025-1 6.27% 02/20/2049 144A                                                           | CUSIP: 38237EAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       28913 | PA      | $29376.41      | 0.00%             | 2049-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                                         | GSCOFI SWAP CZ030008 12/17/57 B                                                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      300000 | NC      | $28458.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AASET 2025-1 LTD / AASET 2025-1 LLC                                                                         | AASET 2025-1 LTD / AASET 2025-1 LLC 5.943% 02/16/2050 144A                                                                       | CUSIP: 00258PAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2047524 | PA      | $2088243.04    | 0.00%             | 2050-02-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 6% 07/01/2039#FS8581                                                                                                   | CUSIP: 3140XQRB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2152542 | PA      | $2232522.21    | 0.01%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION LLC                                                                                | FIRSTENERGY TRANSMISSION LLC 5% 01/15/2035                                                                                       | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     1824000 | PA      | $1837350.07    | 0.00%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROUP INC                                                                               | SINCLAIR TELEVISION GROUP INC 8.125% 02/15/2033 144A                                                                             | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |      260000 | PA      | $270860.20     | 0.00%             | 2033-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                                                                                 | SEVERN TRENT WATER UTIL FIN 3.875% 08/04/2035 REGS                                                                               | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |      425000 | PA      | $493310.93     | 0.00%             | 2035-08-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARINGS LN PARTNERS CLO LTD 2 / BARINGS LN PARTNERS CLO 2 LLC                                               | BARINGS LN PARTNERS CLO LTD 2 / BARINGS LN PARTNERS CLO 2 LLC CR TSFR3M+165 01/20/2034 144A                                      | CUSIP: 06763BAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4500000 | PA      | $4491184.50    | 0.01%             | 2034-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| RAD CLO 21 LTD                                                                                              | RAD CLO 21 LTD A1R TSFR3M+107 01/25/2037 144A                                                                                    | CUSIP: 750099AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249500.00     | 0.00%             | 2037-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                                                         | AMERICAN EXPRESS CO 5.085%/VAR 01/30/2031                                                                                        | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    11600000 | PA      | $11996003.47   | 0.03%             | 2031-01-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                                                       | QUIKRETE HOLDINGS INC 6.375% 03/01/2032 144A                                                                                     | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |     2380000 | PA      | $2471380.10    | 0.01%             | 2032-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                                                       | QUIKRETE HOLDINGS INC 6.75% 03/01/2033 144A                                                                                      | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |      240000 | PA      | $249896.88     | 0.00%             | 2033-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 6.5%/VAR PERP                                                                                              | CUSIP: 48128AAJ2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EP               | CORP              | US        |      245000 | PA      | $253039.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                                                   | EGYPT (ARAB) REPUBLIC OF 9.45% 02/04/2033 144A                                                                                   | CUSIP: 03846JAG5<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      200000 | PA      | $220360.00     | 0.00%             | 2033-02-04      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXVI LTD / MAGNETITE XXVI LLC                                                                     | MAGNETITE XXVI LTD / MAGNETITE XXVI LLC AR2 TSFR3M+115 01/25/2038 144A                                                           | CUSIP: 55954YAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3261000 | PA      | $3258345.55    | 0.01%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                                               | CARNIVAL CORP 6.125% 02/15/2033 144A                                                                                             | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |      720000 | PA      | $741664.08     | 0.00%             | 2033-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP 12/17/57 B                                                                                                           | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      400000 | NC      | $-224.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP 12/17/57 B                                                                                                           | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      200000 | NC      | $-112.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 04/01/2052#FS8195                                                                                                   | CUSIP: 3140XQC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      527667 | PA      | $433162.23     | 0.00%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                                         | GSCOFI SWAP CZ030008 12/17/57 B                                                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      400000 | NC      | $37944.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NY COMMERCIAL MORTGAGE TRUST 2025-299P                                                                      | NY COMMERCIAL MORTGAGE TRUST 2025-299P B VAR 02/10/2035 144A                                                                     | CUSIP: 62957FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       61000 | PA      | $64128.93      | 0.00%             | 2047-02-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                                                      | MPT OPER PARTNERSHIP LP/CORP 8.5% 02/15/2032 144A                                                                                | CUSIP: 55342UAQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       75000 | PA      | $79258.80      | 0.00%             | 2032-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| PRIMO BRANDS CORP                                                                                           | PRIMO BRANDS TERM B 1LN 03/31/2028                                                                                               | CUSIP: 89678QAD8<br>LEI: 254900J0WS4AXV2LAX55 | Long             | LON              | CORP              | US        |       46557 | PA      | $46635.58      | 0.00%             | 2028-03-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| RAND PARENT LLC                                                                                             | ATLAS AIR TERM B 1LN 03/18/2030                                                                                                  | CUSIP: 75223LAD8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       64837 | PA      | $64863.91      | 0.00%             | 2030-03-18      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CZ030008 12/17/57 B                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      200000 | NC      | $18972.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2052#FS9872                                                                                                   | CUSIP: 3140XR6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      676075 | PA      | $561539.31     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT SOFR30A+125 01/20/2055                                                                            | CUSIP: 38385BZM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      432062 | PA      | $434125.61     | 0.00%             | 2055-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF1 LLC                                                                                          | PRPM 2025-RCF1 A1 LLC VAR 02/25/2055 144A                                                                                        | CUSIP: 74390RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      864573 | PA      | $859082.73     | 0.00%             | 2055-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+120 12/25/2053                                                                            | CUSIP: 3136BUU65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     7982379 | PA      | $8019192.60    | 0.02%             | 2053-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+120 02/25/2055                                                                                | CUSIP: 3136BUZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     7875080 | PA      | $7907928.89    | 0.02%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 12/01/2054#MA5554                                                                                                   | CUSIP: 31418FE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1760423 | PA      | $1802368.09    | 0.00%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TC ZIRAAT BANKASI AS                                                                                        | TC ZIRAAT BANKASI AS 7.25% 02/04/2030 144A                                                                                       | CUSIP: 90014TAM3<br>LEI: 213800K5KTZFSUS8MR51 | Long             | DBT              | CORP              | TR        |      207000 | PA      | $214031.79     | 0.00%             | 2030-02-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                                                                            | CUSIP: 3137HJAP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     9064212 | PA      | $9092365.94    | 0.02%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2025-NQM1                                                                      | BARCLAYS MORTGAGE LOAN TRUST 2025-NQM1 A1 5.664% 01/25/2065 144A                                                                 | CUSIP: 06744WAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2744277 | PA      | $2777849.03    | 0.01%             | 2065-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN CR ACCEP RECEIVABLES TR 2025-1                                                                     | AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2025-1 D 5.54% 08/12/2031 144A                                                      | CUSIP: 02528DAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2850000 | PA      | $2883119.57    | 0.01%             | 2031-08-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 23 LTD                                                                                            | AIMCO CLO 23 LTD A TSFR3M+113 04/20/2038 144A                                                                                    | CUSIP: 00901JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      385650 | PA      | $385634.57     | 0.00%             | 2038-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 6.125% 08/03/2065                                                                                                    | CUSIP: 68389XDC6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1194000 | PA      | $1113845.97    | 0.00%             | 2065-08-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 6% 08/03/2055                                                                                                        | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     3122000 | PA      | $2900622.54    | 0.01%             | 2055-08-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 4.8% 08/03/2028                                                                                                      | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    13720000 | PA      | $13854494.28   | 0.03%             | 2028-08-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP                                                                                                | STRYKER CORP 5.2% 02/10/2035                                                                                                     | CUSIP: 863667BM2<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |     1750000 | PA      | $1815466.68    | 0.00%             | 2035-02-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ADIENT GLOBAL HOLDINGS LTD                                                                                  | ADIENT GLOBAL HOLDINGS LTD 7.5% 02/15/2033 144A                                                                                  | CUSIP: 00687YAD7<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |      135000 | PA      | $139763.21     | 0.00%             | 2033-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIGOR INC                                                    | DIRECTV FINANCING LLC / CO-OBLIGOR INC 10% 02/15/2031 144A                                                                       | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $99332.89      | 0.00%             | 2031-02-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1                                                               | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1 A1 VAR 01/25/2065 144A                                                             | CUSIP: 64832DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1247972 | PA      | $1273803.52    | 0.00%             | 2065-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1                                                               | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1 M1 VAR 01/25/2065 144A                                                             | CUSIP: 64832DAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      322972 | PA      | $334701.89     | 0.00%             | 2065-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CIM TR 2025-I1                                                                                              | CIM TRUST 2025-I1 5.798% 10/25/2069 144A                                                                                         | CUSIP: 12571DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4374789 | PA      | $4424683.94    | 0.01%             | 2069-10-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CIM TR 2025-I1                                                                                              | CIM TR 2025-I1 CSTR 10/25/2069 144A                                                                                              | CUSIP: 12571DAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      690000 | PA      | $701207.05     | 0.00%             | 2069-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                                         | GSCOFI SWAP CZ030008 12/17/57 B                                                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      200000 | NC      | $18972.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                                                                            | CUSIP: 3137HJWY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2422198 | PA      | $2433341.94    | 0.01%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP CZ030008 12/17/57 B                                                                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      100000 | NC      | $9486.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 2025-RPL1 PT 4.02446% 01/25/2064 144A                                                             | CUSIP: 362954AR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     9212139 | PA      | $7864129.45    | 0.02%             | 2064-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                                           | GOVERNMENT NAT MTG AS REMIC PT 2025-RPL1 SA 0% 01/25/2064 144A                                                                   | CUSIP: 362954AH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       10536 | PA      | $10396.19      | 0.00%             | 2064-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT PARTNERS VII LTD                                                                                 | OHA CREDIT PARTNERS VII LTD AR4 TSFR3M+114 02/20/2038 144A                                                                       | CUSIP: 67102QBK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3159000 | PA      | $3149526.16    | 0.01%             | 2038-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 6% 09/20/2054#MA9907                                                                                                     | CUSIP: 36180AAG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      923285 | PA      | $941172.54     | 0.00%             | 2054-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                                         | ALEXANDRIA REAL EST EQUITS INC 5.5% 10/01/2035                                                                                   | CUSIP: 015271BE8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     4230000 | PA      | $4317165.96    | 0.01%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2025-1 LLC                                                                       | PEAC SOLUTIONS RECEIVABLES 2025-1 LLC 4.94% 10/20/2028 144A                                                                      | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1415000 | PA      | $1423594.43    | 0.00%             | 2028-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RFM REREMIC TRUST 2022-FRR1                                                                                 | RFM REREMIC TRUST 2022-FRR1 0% 03/28/2049 144A                                                                                   | CUSIP: 74971BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3895587.20    | 0.01%             | 2049-03-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FS RIALTO 2025-FL10 ISSUER LLC                                                                              | FS RIALTO 2025-FL10 ISSUER LLC A TSFR1M+138.505 08/19/2042 144A                                                                  | CUSIP: 30340KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      110000 | PA      | $109966.20     | 0.00%             | 2042-08-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OAKTREE CLO 2021-2 LTD                                                                                      | OAKTREE CLO 2021-2 LTD AR TSFR3M+97 01/15/2035 144A                                                                              | CUSIP: 67389BAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249386.25     | 0.00%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                                                      | MPT OPER PARTNERSHIP LP/CORP 7% 02/15/2032 REGS                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |      100000 | PA      | $120534.22     | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                                                        | CLEVELAND-CLIFFS INC 7.5% 09/15/2031 144A                                                                                        | CUSIP: 185899AS0<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      330000 | PA      | $345127.53     | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+ 09/25/2054                                                                                   | CUSIP: 3136BUW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1470451 | PA      | $1474873.74    | 0.00%             | 2054-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+125 10/25/2054                                                                            | CUSIP: 3137HJQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2247994 | PA      | $2257016.08    | 0.01%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                                                                            | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1240811 | PA      | $1239826.06    | 0.00%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                                                  | HESS MIDSTREAM PARTNERS LP 5.875% 03/01/2028 144A                                                                                | CUSIP: 428102AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      285000 | PA      | $289795.98     | 0.00%             | 2028-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+115 02/25/2055                                                                                | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1400130 | PA      | $1402449.56    | 0.00%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+140 02/25/2055                                                                                | CUSIP: 3136BUWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2133134 | PA      | $2147351.05    | 0.00%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF 2025-7 DF SOFR30A+140 09/25/2054                                                                      | CUSIP: 3136BUWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2241469 | PA      | $2253300.11    | 0.01%             | 2054-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2018-15 LTD                                                                                         | OCP CLO 2018-15 LTD AR TSFR3M+125 01/20/2038 144A                                                                                | CUSIP: 67112KAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2189000 | PA      | $2188908.06    | 0.00%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 40 LTD                                                                                         | SYMPHONY CLO 40 LTD AR TSFR3M+131 01/05/2038 144A                                                                                | CUSIP: 871989AP4<br>LEI: 25490001HYY3IX1I5Z32 | Long             | ABS-CBDO         | CORP              | BM        |      420000 | PA      | $420785.40     | 0.00%             | 2038-01-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL1 TRUST                                                                                        | PRET 2025-NPL1 TRUST 6.063% 02/25/2055 144A                                                                                      | CUSIP: 74143VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8070102 | PA      | $8081762.07    | 0.02%             | 2055-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2024-38 LTD / OCP CLO 2024-38 LLC                                                                   | OCP CLO 2024-38 LTD / OCP CLO 2024-38 LLC A TSFR3M+133 01/21/2038 144A                                                           | CUSIP: 67120KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250466.00     | 0.00%             | 2038-01-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                                                       | FOUNDRY JV HOLDCO LLC 5.5% 01/25/2031 144A                                                                                       | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     3535000 | PA      | $3676102.07    | 0.01%             | 2031-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                                                       | FOUNDRY JV HOLDCO LLC 5.9% 01/25/2033 144A                                                                                       | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      966000 | PA      | $1020225.24    | 0.00%             | 2033-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SILVER PT CLO 7 LTD / SILVER PT CLO 7 LLC                                                                   | SILVER PT CLO 7 LTD / SILVER PT CLO 7 LLC A1 TSFR3M+136 01/15/2038 144A                                                          | CUSIP: 82808UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250594.50     | 0.00%             | 2038-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                                                       | FOUNDRY JV HOLDCO LLC 6.2% 01/25/2037 144A                                                                                       | CUSIP: 350930AJ2<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      634000 | PA      | $675907.58     | 0.00%             | 2037-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                                            | ALTRIA GROUP INC 5.625% 02/06/2035                                                                                               | CUSIP: 02209SBT9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     1732000 | PA      | $1806602.87    | 0.00%             | 2035-02-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                                                | NEXTERA ENERGY CAP HLDGS INC 6.375%/VAR 08/15/2055                                                                               | CUSIP: 65339KDE7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      350000 | PA      | $363274.45     | 0.00%             | 2055-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| X CORP                                                                                                      | TWITTER TERM B1 1LN 10/26/2029                                                                                                   | CUSIP: 90184NAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      660770 | PA      | $642929.23     | 0.00%             | 2029-10-26      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                                                                                       | FREEDOM MORTGAGE HOLD 8.375% 04/01/2032 144A                                                                                     | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |      580000 | PA      | $609249.40     | 0.00%             | 2032-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                                                             | PENNYMAC FINANCIAL SERVICES INC 6.875% 02/15/2033 144A                                                                           | CUSIP: 70932MAF4<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104085.80     | 0.00%             | 2033-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SAAVI ENERGIA SARL                                                                                          | SAAVI ENERGIA SARL 8.875% 02/10/2035 144A                                                                                        | CUSIP: 78518PAA3<br>LEI: 254900A2V0IO8K56UH35 | Long             | DBT              | CORP              | LU        |      470000 | PA      | $503196.10     | 0.00%             | 2035-02-10      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| OT MIDCO INC                                                                                                | OT MIDCO INC 10% 02/15/2030 144A                                                                                                 | CUSIP: 68877AAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       55000 | PA      | $21796.63      | 0.00%             | 2030-02-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 02/01/2055#CB9985                                                                                                   | CUSIP: 3140QWCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      476227 | PA      | $497917.31     | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 02/01/2055#CB9989                                                                                                   | CUSIP: 3140QWC34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2877706 | PA      | $2993484.10    | 0.01%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 2.5% 01/01/2052#FA0375                                                                                            | CUSIP: 3140W0MZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1720942 | PA      | $1480794.22    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CZ030008 12/17/57 B                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      900000 | NC      | $85375.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DTI HOLDCO INC                                                                                              | EPIQ TERM B 1LN 04/26/2029                                                                                                       | CUSIP: 23358EAK5<br>LEI: 549300QQVMUL3P8XVJ27 | Long             | LON              | CORP              | US        |      102827 | PA      | $95771.41      | 0.00%             | 2029-04-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WH BORROWER LLC                                                                                             | WHP TERM B 1LN 02/20/2032                                                                                                        | CUSIP: 92942LAG6<br>LEI: 2549009H920CQUE3R944 | Long             | LON              | CORP              | US        |      259350 | PA      | $259552.29     | 0.00%             | 2032-02-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                                                | NEXTERA ENERGY CAP HLDGS INC 6.5%/VAR 08/15/2055                                                                                 | CUSIP: 65339KDF4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      265000 | PA      | $280391.47     | 0.00%             | 2055-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS CO NJ                                                                                     | NATIONAL FUEL GAS CO NJ 5.5% 03/15/2030                                                                                          | CUSIP: 636180BT7<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |     3800000 | PA      | $3934427.93    | 0.01%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                                                                                          | POLAND REPUBLIC OF 5.375% 02/12/2035                                                                                             | CUSIP: 857524AH5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      285000 | PA      | $296744.85     | 0.00%             | 2035-02-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MTG TR 2023-1                                                                                     | ANGEL OAK MORTGAGE TRUST 2023-1 4.75% 09/26/2067 144A                                                                            | CUSIP: 03465WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      906823 | PA      | $903395.81     | 0.00%             | 2067-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                                                 | IMPERIAL BRANDS FINANCE PLC 3.875% 02/12/2034 REGS                                                                               | CUSIP: N/A<br>LEI: 2138008L3B3MCG1DFS50       | Long             | DBT              | CORP              | GB        |      550000 | PA      | $630917.97     | 0.00%             | 2034-02-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2025-1                                                               | VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2025-1 M3 VAR 02/25/2055 144A                                                             | CUSIP: 922955AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      160794 | PA      | $162972.66     | 0.00%             | 2055-02-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2025-1                                                               | VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2025-1 M4 VAR 02/25/2055 144A                                                             | CUSIP: 922955AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      160794 | PA      | $162830.52     | 0.00%             | 2055-02-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                                          | TURKEY REPUBLIC OF 7.125% 02/12/2032                                                                                             | CUSIP: 900123DP2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      200000 | PA      | $210800.00     | 0.00%             | 2032-02-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.625% 02/15/2055                                                                                    | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    31338000 | PA      | $31080890.51   | 0.07%             | 2055-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.625% 02/15/2035                                                                                                      | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    49585000 | PA      | $52093286.98   | 0.12%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.25% 02/15/2028                                                                                                       | CUSIP: 91282CMN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    29703000 | PA      | $30174808.39   | 0.07%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+153 07/25/2054                                                                            | CUSIP: 3136BSMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1761470 | PA      | $1777451.98    | 0.00%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 6.95%/VAR PERP                                                                                                     | CUSIP: 17327CAV5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EP               | CORP              | US        |      623000 | PA      | $637721.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOMES 2025-NQM1 M1                                                                                          | HOMES 2025-NQM1 M1 VAR 01/25/2070 144A                                                                                           | CUSIP: 43761DAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      600000 | PA      | $607842.00     | 0.00%             | 2070-01-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2025-1                                                               | VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2025-1 6.03% 02/25/2055 144A                                                              | CUSIP: 922955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1351247 | PA      | $1367196.29    | 0.00%             | 2055-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 04/01/2050#SD0516                                                                                                   | CUSIP: 3132DMSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2470507 | PA      | $2224866.39    | 0.01%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 03/01/2050#SD0517                                                                                                   | CUSIP: 3132DMSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2467678 | PA      | $2222318.72    | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+145 11/25/2053                                                                            | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     3645112 | PA      | $3681742.63    | 0.01%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SWCH COML MTG TR 2025-DATA                                                                                  | SWCH COML MTG TR 2025-DATA TSFR1M+144.29 03/15/2042 144A                                                                         | CUSIP: 78489CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4650000 | PA      | $4607913.78    | 0.01%             | 2042-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CRM1                                                                         | TOWD POINT MORTGAGE TRUST 2025-CRM1 5.799% 01/25/2065 144A                                                                       | CUSIP: 891946AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3322734 | PA      | $3365228.13    | 0.01%             | 2065-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUMMER BC HOLDCO B SARL                                                                                     | SUMMER BC HOLDCO B SARL FRN 3MEUR+425 02/15/2030 REGS                                                                            | CUSIP: N/A<br>LEI: 984500NRF59D5DB9B654       | Long             | DBT              | CORP              | LU        |      311000 | PA      | $341510.02     | 0.00%             | 2030-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 6 / PIKES PEAK CLO 6 LLC                                                                     | PIKES PEAK CLO 6 / PIKES PEAK CLO 6 LLC DRR TSFR3M+250 05/18/2034 144A                                                           | CUSIP: 72132YBE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      935000 | PA      | $932727.02     | 0.00%             | 2034-05-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| C and W SENIOR FINANCE LTD                                                                                  | C and W SENIOR FINANCE LTD 9% 01/15/2033 144A                                                                                    | CUSIP: 12665MAA0<br>LEI: 213800CG16G1YMJRCG10 | Long             | DBT              | CORP              | KY        |      295000 | PA      | $306530.67     | 0.00%             | 2033-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| STAR LEASING CO LLC                                                                                         | STAR LEASING CO LLC 7.625% 02/15/2030 144A                                                                                       | CUSIP: 854938AA5<br>LEI: 549300WXKNX4PT3HSN71 | Long             | DBT              | CORP              | US        |     3060000 | PA      | $2923355.39    | 0.01%             | 2030-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| INCORA TOP HOLDCO LLC                                                                                       | INCORA TOP HOLDCO LLC                                                                                                            | CUSIP: 45338U101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        3391 | NS      | $77721.72      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| OCTAGON INVESTMENT PARTNRS 51 LTD                                                                           | OCTAGON INVESTMENT PARTNRS 51 LTD BR TSFR3M+150 07/20/2034 144A                                                                  | CUSIP: 675943AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4200000 | PA      | $4201785.00    | 0.01%             | 2034-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRM5 TR 2025-PRM5                                                                                           | PRM5 TR 2025-PRM5 D VAR 02/10/2028 144A                                                                                          | CUSIP: 693980AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35000 | PA      | $34974.94      | 0.00%             | 2033-03-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                                                                            | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3910007 | PA      | $3924272.90    | 0.01%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 27 LTD                                                                                             | AMMC CLO 27 LTD A2R TSFR3M+135 01/20/2037 144A                                                                                   | CUSIP: 00173UAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4820000 | PA      | $4784303.08    | 0.01%             | 2037-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                                                                                | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2824371 | PA      | $2836998.63    | 0.01%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CYRUSONE DATA CENTERS ISSUER I LLC                                                                          | CYRUSONE DATA CENTERS ISSUER I LLC 5.91% 02/20/2050 144A                                                                         | CUSIP: 23284BAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2590000 | PA      | $2638479.62    | 0.01%             | 2050-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAMLL TRUST 2025-ASHF                                                                                       | BAMLL TRUST 2025-ASHF E TSFR1M+525 02/15/2040 144A                                                                               | CUSIP: 05494CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $300028.14     | 0.00%             | 2042-02-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| CITADEL FINANCE LLC                                                                                         | CITADEL FINANCE LLC 5.9% 02/10/2030 144A                                                                                         | CUSIP: 17287HAD2<br>LEI: 549300BQL283NCR7P163 | Long             | DBT              | CORP              | US        |     1750000 | PA      | $1779277.17    | 0.00%             | 2030-02-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                                                | ING GROEP NV 3%/VAR 08/17/2031 REGS                                                                                              | CUSIP: N/A<br>LEI: 549300NYKK9MWM7GGW15       | Long             | DBT              | CORP              | NL        |      400000 | PA      | $461886.60     | 0.00%             | 2031-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                                                    | SNAP INC 6.875% 03/01/2033 144A                                                                                                  | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |      580000 | PA      | $597478.30     | 0.00%             | 2033-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL TRUST 2025-ASHF                                                                                       | BAMLL TRUST 2025-ASHF TSFR1M+185 02/15/2040 144A                                                                                 | CUSIP: 05494CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      746000 | PA      | $745999.78     | 0.00%             | 2042-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-2                                                                               | SEQUOIA MORTGAGE TRUST 2025-2 A5 VAR 03/25/2055 144A                                                                             | CUSIP: 816935AE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1776229 | PA      | $1782406.68    | 0.00%             | 2055-03-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| X CORP                                                                                                      | X TERM 1LN 10/26/2029                                                                                                            | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      458045 | PA      | $453656.85     | 0.00%             | 2029-10-26      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                                                                           | UNITED KINGDOM G.B. and N.IRELAND 4.5% 03/07/2035 REGS                                                                           | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    50000000 | PA      | $66428109.67   | 0.15%             | 2035-03-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNP PARIBAS 3.945%/VAR 02/18/2037 REGS                                                                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | DBT              | CORP              | FR        |      400000 | PA      | $465144.72     | 0.00%             | 2037-02-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                                            | ISRAEL STATE OF 5.375% 02/19/2030                                                                                                | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     4461000 | PA      | $4614801.67    | 0.01%             | 2030-02-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                                                                            | CUSIP: 3137HJEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1367086 | PA      | $1369396.32    | 0.00%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HLDGS INC                                                                                     | ZIMMER BIOMET HLDGS INC 5.5% 02/19/2035                                                                                          | CUSIP: 98956PBC5<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |      855000 | PA      | $893661.74     | 0.00%             | 2035-02-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO I LTD                                                                                           | BBAM US CLO I LTD D1R TSFR3M+300 03/30/2038 144A                                                                                 | CUSIP: 054978AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      125000 | PA      | $124560.00     | 0.00%             | 2038-03-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 09/01/2051#QC7480                                                                                                   | CUSIP: 3133ASJZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       29877 | PA      | $28987.41      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 11/01/2051#QD1244                                                                                                   | CUSIP: 3133AXLZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33165 | PA      | $32167.25      | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 02/01/2052#QD6619                                                                                                   | CUSIP: 3133B4K87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15736 | PA      | $15257.95      | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 02/01/2052#QD7533                                                                                                   | CUSIP: 3133B5LN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13634 | PA      | $13219.68      | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 04/01/2052#QE0889                                                                                                   | CUSIP: 3133B97A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17396 | PA      | $16856.15      | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 04/01/2052#QE0547                                                                                                   | CUSIP: 3133B9TC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18518 | PA      | $17943.73      | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 06/01/2052#QE5393                                                                                                   | CUSIP: 3133BE7E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19175 | PA      | $18580.19      | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 07/01/2052#QE5493                                                                                                   | CUSIP: 3133BFC65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21807 | PA      | $21130.33      | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4% 08/01/2052#QE8192                                                                                                   | CUSIP: 3133BJC59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16916 | PA      | $16391.52      | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 11/01/2051#BU3339                                                                                                   | CUSIP: 3140M4V96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18457 | PA      | $17901.60      | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 09/01/2051#CB1703                                                                                                   | CUSIP: 3140QL3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82364 | PA      | $79885.50      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 01/01/2052#CB2695                                                                                                   | CUSIP: 3140QM7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77986 | PA      | $75614.97      | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 11/01/2051#CB2189                                                                                                   | CUSIP: 3140QMNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106776 | PA      | $103562.90     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 12/01/2051#CB2460                                                                                                   | CUSIP: 3140QMWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60041 | PA      | $58233.95      | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 02/01/2052#CB2924                                                                                                   | CUSIP: 3140QNHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51044 | PA      | $49491.47      | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 09/01/2052#CB4669                                                                                                   | CUSIP: 3140QQFK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      136291 | PA      | $132061.90     | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 2.5% 06/01/2052#FA0543                                                                                            | CUSIP: 3140W0S97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1586167 | PA      | $1376723.01    | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3.5% 11/01/2052#SD5845                                                                                                 | CUSIP: 3132DTP61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2841903 | PA      | $2637128.35    | 0.01%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                                                  | TENNESSEE VALLEY AUTHORITY 5.25% 02/01/2055                                                                                      | CUSIP: 880591FC1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |     1440000 | PA      | $1460996.58    | 0.00%             | 2055-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FONTAINEBLEAU MIAMI BEACH BEACH MTG TR 2024-FBLU                                                            | FONTAINEBLEAU MIAMI BEACH BEACH MTG TR 2024-FBLU A TSFR1M+145 12/15/2039 144A                                                    | CUSIP: 34461WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1930000 | PA      | $1932401.89    | 0.00%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO I LTD                                                                                           | BBAM US CLO I LTD AR TSFR3M+120 03/30/2038 144A                                                                                  | CUSIP: 054978AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249253.75     | 0.00%             | 2038-03-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BARRY CALLEBAUT SVCS NV                                                                                     | BARRY CALLEBAUT SVCS NV 4.25% 08/19/2031 REGS                                                                                    | CUSIP: N/A<br>LEI: 213800R1F1EJYM4ICO85       | Long             | DBT              | CORP              | BE        |      400000 | PA      | $477290.80     | 0.00%             | 2031-08-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LXXI LTD                                                                               | MADISON PARK FUNDING LXXI LTD A1 TSFR3M+114 04/23/2038 144A                                                                      | CUSIP: 55817DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2880000 | PA      | $2877822.72    | 0.01%             | 2038-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                                            | BERRY GLOBAL INC 5.8% 06/15/2031                                                                                                 | CUSIP: 08576BAB8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     6820000 | PA      | $7221366.96    | 0.02%             | 2031-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                                            | BERRY GLOBAL INC 5.65% 01/15/2034                                                                                                | CUSIP: 08576PAQ4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2096737.12    | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                                                       | GOVERNMENT NAT MTG ASSN HECM TSFR1M+74.448 10/20/2069                                                                            | CUSIP: 38380LH22<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     9346628 | PA      | $9353265.57    | 0.02%             | 2069-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AGL CLO 37 LTD                                                                                              | AGL CLO 37 LTD A1 TSFR3M+124 04/22/2038 144A                                                                                     | CUSIP: 00121MAA3<br>LEI: 254900AZNZG3U1TNSN78 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250125.00     | 0.00%             | 2038-04-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                                                                             | GEN DIGITAL INC 6.25% 04/01/2033 144A                                                                                            | CUSIP: 668771AM0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |      590000 | PA      | $607127.70     | 0.00%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANCE CORP                                                                                      | CREDIT ACCEPTANCE CORP 6.625% 03/15/2030 144A                                                                                    | CUSIP: 225310AS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $99273.05      | 0.00%             | 2030-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GILEAD AVIATION LLC                                                                                         | GILEAD AVIATION LLC 0% 03/15/2050 144A                                                                                           | CUSIP: 37556TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4781590 | PA      | $4878059.51    | 0.01%             | 2050-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INCORA TOP HOLDCO LLC                                                                                       | INCORA TOP HOLDCO LLC CONV 6% 01/31/2033                                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               | CORP              | US        |       73384 | PA      | $66992.15      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| SINCLAIR TELEVISION GROUP INC                                                                               | SINCLAIR TELEVISION GROUP INC 4.375% 12/31/2032 144A                                                                             | CUSIP: 829259BF6<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |      118000 | PA      | $91450.00      | 0.00%             | 2032-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.75% 02/15/2045                                                                                                       | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15510000 | PA      | $15754767.19   | 0.04%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | USTN TII 2.375% 02/15/2055                                                                                                       | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10260000 | PA      | $10313708.10   | 0.02%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC                                                               | CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC ARR TSFR3M+120 01/25/2038 144A                                                     | CUSIP: 15033TBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3215000 | PA      | $3214884.26    | 0.01%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-NQM1 TRUST                                                                                        | PRPM 2025-NQM1 M1A TRUST 6.645% 11/25/2069 144A                                                                                  | CUSIP: 74391EAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      662810 | PA      | $676272.73     | 0.00%             | 2069-11-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC                                                                     | ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC A1R TSFR3M+118 04/20/2038 144A                                                           | CUSIP: 01749WAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     4331000 | PA      | $4314789.07    | 0.01%             | 2038-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                                                                                  | LEIDOS INC 5.4% 03/15/2032                                                                                                       | CUSIP: 52532XAK1<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |      987000 | PA      | $1030968.52    | 0.00%             | 2032-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-NQM1 TRUST                                                                                        | PRPM 2025-NQM1 A1 TRUST VAR 11/25/2069 144A                                                                                      | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1360193 | PA      | $1374077.40    | 0.00%             | 2069-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                                                          | BX Trust 2025-ROIC VAR 03/15/2030 144A                                                                                           | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13625857 | PA      | $13600308.60   | 0.03%             | 2030-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                                                          | BX TRUST 2025-ROIC B TSFR1M+149.33 03/15/2030 144A                                                                               | CUSIP: 05593VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1455324 | PA      | $1451689.34    | 0.00%             | 2030-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                                                          | BX TRUST 2025-ROIC C TSFR1M+169 03/15/2030 144A                                                                                  | CUSIP: 05593VAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2051001 | PA      | $2045878.41    | 0.00%             | 2030-03-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                                                          | BX TRUST 2025-ROIC TSFR1M+294.129 03/15/2030 144A                                                                                | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      722183 | PA      | $717674.27     | 0.00%             | 2030-03-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2025-1 LTD                                                                       | PALMER SQUARE LOAN FUNDING 2025-1 LTD A1 TSFR3M+80 02/15/2033 144A                                                               | CUSIP: 69704CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3446866 | PA      | $3436870.56    | 0.01%             | 2033-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2025-2                                                                             | ANGEL OAK MORTGAGE TRUST 2025-2 A1 5.637% 02/25/2070 144A                                                                        | CUSIP: 03466QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1323839 | PA      | $1334514.86    | 0.00%             | 2070-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                                                          | CREDIT AGRICOLE SA 5.875%/VAR PERP REGS                                                                                          | CUSIP: N/A<br>LEI: 969500TJ5KRTCJQWXH05       | Long             | EP               | CORP              | FR        |      100000 | PA      | $118547.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF                                                                              | BRAZIL FEDERATIVE REPUBLIC OF 6.625% 03/15/2035                                                                                  | CUSIP: 105756CL2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      985000 | PA      | $1018490.00    | 0.00%             | 2035-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                                               | CARNIVAL CORP 5.75% 03/15/2030 144A                                                                                              | CUSIP: 143658BY7<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |      850000 | PA      | $873601.95     | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC 7.625%/VAR PERP                                                                                                     | CUSIP: 06738EDC6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | EP               | CORP              | GB        |      315000 | PA      | $332479.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 5.2% 04/01/2030                                                                                               | CUSIP: 29273VBD1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     5700000 | PA      | $5897247.65    | 0.01%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 5.25% 03/01/2030                                                                                                         | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      145000 | PA      | $150144.80     | 0.00%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                                                               | DTE ENERGY CO 5.2% 04/01/2030                                                                                                    | CUSIP: 233331BN6<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |     3900000 | PA      | $4033259.06    | 0.01%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                                                    | BHP BILLITON FIN USA LTD 5.3% 02/21/2035                                                                                         | CUSIP: 055451BL1<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |      355000 | PA      | $369509.49     | 0.00%             | 2035-02-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 5.75% 03/01/2035                                                                                                         | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     1704000 | PA      | $1799341.15    | 0.00%             | 2035-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                                                       | FLORIDA PWR and LT CO 5.8% 03/15/2065                                                                                            | CUSIP: 341081GZ4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      518000 | PA      | $543107.27     | 0.00%             | 2065-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST 2024-CES3                                                                  | VISTA POINT SECURITIZATION TRUST 2024-CES3 STEP 01/25/2055 144A                                                                  | CUSIP: 92841WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4867333 | PA      | $4899439.17    | 0.01%             | 2055-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                                                    | BHP BILLITON FIN USA LTD 5.125% 02/21/2032                                                                                       | CUSIP: 055451BK3<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |     3269000 | PA      | $3391271.65    | 0.01%             | 2032-02-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARLSBERG BREWERIES A/S                                                                                     | CARLSBERG BREWERIES A/S 3.25% 02/28/2032 REGS                                                                                    | CUSIP: N/A<br>LEI: 5493008YL42784DMWN61       | Long             | DBT              | CORP              | DK        |      215000 | PA      | $249041.65     | 0.00%             | 2032-02-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                                                    | BHP BILLITON FIN USA LTD 5% 02/21/2030                                                                                           | CUSIP: 055451BJ6<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |     1330000 | PA      | $1374581.31    | 0.00%             | 2030-02-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                                                  | FIRST QUANTUM MINERALS LTD 8% 03/01/2033 144A                                                                                    | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     1335000 | PA      | $1406126.26    | 0.00%             | 2033-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ALTDE 2025-1 TR                                                                                             | ALTDE 2025-1 TR 5.9% 08/15/2050 144A                                                                                             | CUSIP: 00166NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2804806 | PA      | $2875765.33    | 0.01%             | 2050-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC                                      | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 6.25% 03/15/2033 144A                                     | CUSIP: 01309QAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      125000 | PA      | $129438.88     | 0.00%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC 5.086%/VAR 02/25/2029                                                                                               | CUSIP: 06738ECX1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1600000 | PA      | $1630235.04    | 0.00%             | 2029-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                                              | FHLMC REMI 30YR 6% 03/01/2055#RJ3645                                                                                             | CUSIP: 3142GUBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1301083 | PA      | $1353429.24    | 0.00%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SCLP 2025-1                                                                                                 | SCLP 2025-1 4.8% 02/27/2034 144A                                                                                                 | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1337276 | PA      | $1341637.93    | 0.00%             | 2034-02-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 39 LTD                                                                                          | ELMWOOD CLO 39 LTD A1 TSFR3M+114 04/17/2038 144A                                                                                 | CUSIP: 289910AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    15250000 | PA      | $15224075.00   | 0.03%             | 2038-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED UTILITIES WATER FINANCE PLC                                                                          | UNITED UTILITIES WATER FINANCE PLC 3.5% 02/27/2033 REGS                                                                          | CUSIP: N/A<br>LEI: 213800313INX42GDLR44       | Long             | DBT              | CORP              | GB        |      170000 | PA      | $196701.20     | 0.00%             | 2033-02-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2025-NQM2                                                                          | BRAVO RESIDENTIAL FDG TR 2025-NQM2 A1 VAR 11/25/2064 144A                                                                        | CUSIP: 10569NAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4443580 | PA      | $4486466.92    | 0.01%             | 2064-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 01/01/2055#SL0307                                                                                                 | CUSIP: 31427MKV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2248711 | PA      | $2318709.53    | 0.01%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+120 02/25/2055                                                                                | CUSIP: 3136BUVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     3101405 | PA      | $3114569.87    | 0.01%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM3 TR                                                                                            | OBX 2025-NQM3 A1 TR VAR 12/01/2064 144A                                                                                          | CUSIP: 67448YAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      312586 | PA      | $315631.84     | 0.00%             | 2064-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CLOVER CLO 2019-1 LTD.                                                                                      | CLOVER CLO 2019-1 LTD 19-1A ARR TSFR3M+100 04/18/2035 144A                                                                       | CUSIP: 102875AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3981000 | PA      | $3982238.09    | 0.01%             | 2035-04-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2021-1 LTD                                                                                | PALMER SQUARE CLO 2021-1 LTD A1AR TSFR3M+115 04/20/2038 144A                                                                     | CUSIP: 69701WAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3000000 | PA      | $3001314.00    | 0.01%             | 2038-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                                                                            | CIFC FUNDING LTD A1A2 TSFR3M+99 01/17/2035 144A                                                                                  | CUSIP: 12552FBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4300000 | PA      | $4298744.40    | 0.01%             | 2035-01-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV1                                                                                              | EFMT 2025-INV1 A1 VAR 03/25/2070 144A                                                                                            | CUSIP: 26846XAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      356174 | PA      | $359441.57     | 0.00%             | 2070-03-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TR 2025-VLT6                                                                                             | BX TR 2025-VLT6 A TSFR1M+144.32 03/15/2030 144A                                                                                  | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      275000 | PA      | $274141.67     | 0.00%             | 2042-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SCLP 2025-1                                                                                                 | SCLP 2025-1 B 5.12% 02/27/2034 144A                                                                                              | CUSIP: 83406YAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      239000 | PA      | $242048.66     | 0.00%             | 2034-02-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BDS 2025-FL14 LLC                                                                                           | BDS 2025-FL14 LLC AS TSFR1M+157.139 10/21/2042 144A                                                                              | CUSIP: 072921AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3150000 | PA      | $3151689.66    | 0.01%             | 2042-10-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TEXAS COML MTG TR 2025-TWR                                                                                  | TEXAS COML MTG TR 2025-TWR B TSFR1M+159.272 04/15/2042 144A                                                                      | CUSIP: 88231WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3300000 | PA      | $3294848.37    | 0.01%             | 2042-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                                                                         | AFFIRM MASTER TRUST 5.13% 02/15/2033 144A                                                                                        | CUSIP: 00833BAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      156000 | PA      | $157152.25     | 0.00%             | 2033-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                                                                         | AFFIRM MASTER TRUST 4.99% 02/15/2033 144A                                                                                        | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1491000 | PA      | $1503109.16    | 0.00%             | 2033-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROC MORTGAGE TRUST 2025-RTL1                                                                                | ROC MORTGAGE TRUST 2025-RTL1 A1 STEP 02/25/2040 144A                                                                             | CUSIP: 77119RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1700000 | PA      | $1713973.66    | 0.00%             | 2040-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 6.15% 03/01/2055                                                                                     | CUSIP: 694308KV8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      761000 | PA      | $770927.66     | 0.00%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2025-VIS1                                                                          | JP MORGAN MORTGAGE TRUST 2025-VIS1 6.412% 08/25/2055 144A                                                                        | CUSIP: 46659BAF9<br>LEI: 529900CBDGTUOOQONB64 | Long             | ABS-CBDO         | CORP              | US        |      220000 | PA      | $222656.46     | 0.00%             | 2055-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                                            | LPL HOLDINGS INC 5.2% 03/15/2030                                                                                                 | CUSIP: 50212YAL8<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    10200000 | PA      | $10449896.33   | 0.02%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XVIII LTD                                                                                  | MARBLE POINT CLO XVIII LTD A1R2 TSFR3M+121 03/15/2038 144A                                                                       | CUSIP: 566076BA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    15750000 | PA      | $15717224.25   | 0.04%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                                            | GEORGIA POWER CO 4.85% 03/15/2031                                                                                                | CUSIP: 373334LA7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      632000 | PA      | $651167.61     | 0.00%             | 2031-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC/MD                                                                               | MARRIOTT INTERNATIONAL INC/MD 5.5% 04/15/2037                                                                                    | CUSIP: 571903BU6<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     3410000 | PA      | $3522108.25    | 0.01%             | 2037-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY885799 12/15/56 S                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1900000 | NC      | $-25746.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                                                      | WESCO DISTRIBUTION INC 6.375% 03/15/2033 144A                                                                                    | CUSIP: 95081QAS3<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |      285000 | PA      | $298071.81     | 0.00%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WEX INC                                                                                                     | WEX INC 6.5% 03/15/2033 144A                                                                                                     | CUSIP: 96208TAD6<br>LEI: T9M5IGROL1TL1G5OV478 | Long             | DBT              | CORP              | US        |      250000 | PA      | $254978.75     | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                                                                                     | KEYCORP 5.121%/VAR 04/04/2031                                                                                                    | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |     1025000 | PA      | $1054051.81    | 0.00%             | 2031-04-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 4.786%/VAR 03/04/2029                                                                                              | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1415000 | PA      | $1435003.08    | 0.00%             | 2029-03-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                                                     | BANK OF NOVA SCOTIA 3.375%/VAR 03/05/2033 REGS                                                                                   | CUSIP: N/A<br>LEI: L3I9ZG2KFGXZ61BMYR72       | Long             | DBT              | CORP              | CA        |      760000 | PA      | $886202.71     | 0.00%             | 2033-03-05      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| METRO AG                                                                                                    | METRO AG 4% 03/05/2030 REGS                                                                                                      | CUSIP: N/A<br>LEI: 5299006EQ03K3SSUYS12       | Long             | DBT              | CORP              | DE        |      205000 | PA      | $247339.67     | 0.00%             | 2030-03-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC FRN SOFR+103 03/03/2029                                                                                        | CUSIP: 404280ET2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     5000000 | PA      | $5012312.95    | 0.01%             | 2029-03-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 5.13%/VAR 03/03/2031                                                                                           | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      610000 | PA      | $626870.81     | 0.00%             | 2031-03-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KENYA REPUBLIC OF                                                                                           | KENYA REPUBLIC OF 9.5% 03/05/2036 144A                                                                                           | CUSIP: 491798AN4<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      532000 | PA      | $538384.00     | 0.00%             | 2036-03-05      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| LAST MILE LOGISTICS PAN EURO FINANCE DAC                                                                    | LAST MILE LOGISTICS PAN EURO FINANCE DAC 3MEUR+270 08/17/2033 REGS                                                               | CUSIP: N/A<br>LEI: 635400NOPX1IKIAX7N90       | Long             | ABS-MBS          | CORP              | IE        |      176734 | PA      | $204280.55     | 0.00%             | 2033-08-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+140 03/25/2055                                                                            | CUSIP: 3137HKBM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     8188527 | PA      | $8231078.25    | 0.02%             | 2055-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF 9 FG SOFR30A+135 03/25/2055                                                                           | CUSIP: 3136BVEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      308886 | PA      | $310574.39     | 0.00%             | 2055-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+135 01/25/2055                                                                            | CUSIP: 3137HKE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3417662 | PA      | $3436664.10    | 0.01%             | 2055-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | SCDS:(BRKHEC) SWAP/CDSWAP 1.56197 09/29/2027                                                                                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |      465000 | NC      | $-365.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF 25-18 FM SOFR30A+ 09/25/2054                                                                          | CUSIP: 3136BVKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     8843613 | PA      | $8855401.44    | 0.02%             | 2054-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF 5513 MF GT SOFR30A+ 11/25/2054                                                                       | CUSIP: 3137HKEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    17511876 | PA      | $17530174.46   | 0.04%             | 2054-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                                                    | GENERAL MTRS FINL CO INC 5.05% 04/04/2028                                                                                        | CUSIP: 37045XFE1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     4804000 | PA      | $4890781.95    | 0.01%             | 2028-04-04      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP CY885799 12/15/56 S                                                                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     2400000 | NC      | $-32521.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                                              | MCDONALDS CORP 4.95% 03/03/2035                                                                                                  | CUSIP: 58013MGA6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     1575000 | PA      | $1609694.10    | 0.00%             | 2035-03-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF 2025-18 MA 0.5% 09/25/2054                                                                            | CUSIP: 3136BVLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     6148417 | PA      | $5339585.02    | 0.01%             | 2054-09-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| OLIN CORP                                                                                                   | OLIN CORP 6.625% 04/01/2033 144A                                                                                                 | CUSIP: 680665AN6<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |      290000 | PA      | $288063.18     | 0.00%             | 2033-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST 2025                                                                                 | JOHN DEERE OWNER TRUST 2025 4.23% 03/15/2028 REGS                                                                                | CUSIP: 47800DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1662660 | PA      | $1665019.45    | 0.00%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                                                                | ARI FLEET LEASE TRUST 2025-A 4.38% 01/17/2034 144A                                                                               | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      320000 | PA      | $320847.26     | 0.00%             | 2034-01-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1                                                 | GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.52% 10/15/2027 144A                                                | CUSIP: 39154GAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5000000 | PA      | $5014938.00    | 0.01%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY885799 12/15/56 S                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     5700000 | NC      | $-77238.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                                                                                     | NEW FORTRESS ENERGY TERM B 1LN 10/30/2028                                                                                        | CUSIP: N/A<br>LEI: 254900EICTYTCHA5X705       | Long             | LON              | CORP              | US        |      328350 | PA      | $146490.07     | 0.00%             | 2028-10-30      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| SILVER POINT CLO 8 LTD                                                                                      | SILVER POINT CLO 8 LTD A1 TSFR3M+121 04/15/2038 144A                                                                             | CUSIP: 827918AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250095.00     | 0.00%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SCG COML MTG TR 2025-DLFN                                                                                   | SCG COML MTG TR 2025-DLFN TSFR1M+295 03/15/2035 144A                                                                             | CUSIP: 78398EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      199000 | PA      | $198006.17     | 0.00%             | 2035-03-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                                                | SYNOPSYS INC 4.85% 04/01/2030                                                                                                    | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7151017.79    | 0.02%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                                                | SYNOPSYS INC 5% 04/01/2032                                                                                                       | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     3700000 | PA      | $3795960.31    | 0.01%             | 2032-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                                                | SYNOPSYS INC 5.7% 04/01/2055                                                                                                     | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |      750000 | PA      | $751824.40     | 0.00%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                                                  | HUMANA INC 5.55% 05/01/2035                                                                                                      | CUSIP: 444859CD2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     2650000 | PA      | $2719737.00    | 0.01%             | 2035-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                                         | SYNCHRONY FINANCIAL 5.45%/VAR 03/06/2031                                                                                         | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     1783000 | PA      | $1824011.67    | 0.00%             | 2031-03-06      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                                                                           | CHORD ENERGY CORP 6.75% 03/15/2033 144A                                                                                          | CUSIP: 674215AN8<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |      185000 | PA      | $190966.62     | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALUMINA LTD                                                                                                 | ALUMINA LTD 6.375% 09/15/2032 144A                                                                                               | CUSIP: 02220AAB3<br>LEI: 2138002VD9MW2WT8HR38 | Long             | DBT              | CORP              | AU        |      575000 | PA      | $598601.45     | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                                         | COLUMBIA PIPELINES OPERATING CO LLC 5.962% 02/15/2055 144A                                                                       | CUSIP: 19828TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      160000 | PA      | $159420.42     | 0.00%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WALKER and DUNLOP INC                                                                                       | WALKER and DUNLOP INC 6.625% 04/01/2033 144A                                                                                     | CUSIP: 93148PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      120000 | PA      | $123340.56     | 0.00%             | 2033-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST 2024-1                                                                   | REGIONAL MANAGEMENT ISSUANCE TRUST 2024-1 D 7.46% 07/15/2036 144A                                                                | CUSIP: 758983AD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $103111.81     | 0.00%             | 2036-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                                                    | DUKE ENERGY PROGRESS LLC 5.55% 03/15/2055                                                                                        | CUSIP: 26442UAV6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |       66000 | PA      | $66227.83      | 0.00%             | 2055-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                                                    | DUKE ENERGY PROGRESS LLC 5.05% 03/15/2035                                                                                        | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     2467000 | PA      | $2527542.20    | 0.01%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO 16 LTD                                                                    | GOLDENTREE LOAN MANAGEMENT US CLO 16 LTD ARR TSFR3M+112 01/20/2038 144A                                                          | CUSIP: 38090AAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $249990.00     | 0.00%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ADLER FINANCING SARL                                                                                        | ADLER FINANCING SARL PIK VAR 12/31/2028                                                                                          | CUSIP: N/A<br>LEI: 213800BAQB59IVKP7S93       | Long             | DBT              | CORP              | LU        |      265162 | PA      | $334240.70     | 0.00%             | 2028-12-31      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| AGL CORE CLO 38 LTD                                                                                         | AGL CORE CLO 38 LTD A1 TSFR3M+124 01/22/2038 144A                                                                                | CUSIP: 00852QAA9<br>LEI: 254900ZPMRHE5M6S8F18 | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270210.06     | 0.00%             | 2038-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                                                        | ONEMAIN FINANCE CORP 6.75% 03/15/2032                                                                                            | CUSIP: 682691AJ9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |       60000 | PA      | $61322.28      | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW GOLD INC                                                                                                | NEW GOLD INC 6.875% 04/01/2032 144A                                                                                              | CUSIP: 644535AJ5<br>LEI: 5493005G0GNCHP0H6L96 | Long             | DBT              | CORP              | CA        |      550000 | PA      | $584940.95     | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                                              | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3704                                                                                           | CUSIP: 3142GUDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1007721 | PA      | $1064847.23    | 0.00%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                                              | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3700                                                                                           | CUSIP: 3142GUDE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      287069 | PA      | $304867.90     | 0.00%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                                              | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3703                                                                                           | CUSIP: 3142GUDH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      900165 | PA      | $951757.08     | 0.00%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 03/01/2055#CC0116                                                                                                   | CUSIP: 3140Y6DW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1510704 | PA      | $1573844.20    | 0.00%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 03/01/2055#CC0136                                                                                                 | CUSIP: 3140Y6EJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2278724 | PA      | $2407902.08    | 0.01%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GAEA MTG LN TR 2025-A                                                                                       | GAEA MTG LN TR 2025-A A VAR 02/25/2030 144A                                                                                      | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      141836 | PA      | $139162.64     | 0.00%             | 2030-02-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| KKR CLO 35 LTD                                                                                              | KKR CLO 35 LTD AR TSFR3M+120 01/20/2038 144A                                                                                     | CUSIP: 48254LAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249850.00     | 0.00%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON CORP                                                                                          | FIRST HORIZON CORP 5.514%/VAR 03/07/2031                                                                                         | CUSIP: 320517AE5<br>LEI: TF3RXI1ZB1TQ30H9JV10 | Long             | DBT              | CORP              | US        |     1365000 | PA      | $1415479.22    | 0.00%             | 2031-03-07      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                                                       | CELANESE US HLDGS LLC 6.75% 04/15/2033                                                                                           | CUSIP: 15089QBA1<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      495000 | PA      | $492618.57     | 0.00%             | 2033-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                                                    | MARS INC 5% 03/01/2032 144A                                                                                                      | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    18060000 | PA      | $18664409.32   | 0.04%             | 2032-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                                                    | MARS INC 5.2% 03/01/2035 144A                                                                                                    | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     9843000 | PA      | $10183737.39   | 0.02%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                                                    | MARS INC 5.65% 05/01/2045 144A                                                                                                   | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      305000 | PA      | $312085.14     | 0.00%             | 2045-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                                                    | MARS INC 4.8% 03/01/2030 144A                                                                                                    | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     5860000 | PA      | $6002873.95    | 0.01%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                                                       | CELANESE US HLDGS LLC 6.5% 04/15/2030                                                                                            | CUSIP: 15089QAZ7<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      215000 | PA      | $214659.63     | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2025-BHR5                                            | J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2025-BHR5 A TSFR1M+169.3 03/15/2040 144A                                  | CUSIP: 46649WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      173552 | PA      | $173551.43     | 0.00%             | 2040-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                                                                         | AXON ENTERPRISE INC 6.125% 03/15/2030 144A                                                                                       | CUSIP: 05464CAC5<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |      345000 | PA      | $355615.65     | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                                                                         | AXON ENTERPRISE INC 6.25% 03/15/2033 144A                                                                                        | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |      145000 | PA      | $150543.64     | 0.00%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                                                                                    | ACADIA HEALTHCARE CO INC 7.375% 03/15/2033 144A                                                                                  | CUSIP: 00404AAQ2<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |      220000 | PA      | $224194.96     | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLUB CAP PARTNERS CLO 77B LTD                                                                              | GOLUB CAP PARTNERS CLO 77B LTD A1 TSFR3M+125 01/25/2038 144A                                                                     | CUSIP: 38180QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      515422 | PA      | $516054.42     | 0.00%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SIGNAL PEAK CLO 14 LTD                                                                                      | SIGNAL PEAK CLO 14 LTD A TSFR3M+130 01/22/2038 144A                                                                              | CUSIP: 82667FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250613.25     | 0.00%             | 2038-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                                                         | DOMINION ENERGY INC 5% 06/15/2030                                                                                                | CUSIP: 25746UDW6<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     3800000 | PA      | $3914258.44    | 0.01%             | 2030-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NRM FHT1 EXCESS OWNER LLC                                                                                   | NRM FHT1 EXCESS OWNER LLC 6.545% 03/25/2032 144A                                                                                 | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4027382 | PA      | $4091310.32    | 0.01%             | 2032-03-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.875% 03/15/2028                                                                                                      | CUSIP: 91282CMS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      459000 | PA      | $462890.74     | 0.00%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEER HOLDING III BV                                                                                         | ACTION TERM B5B 1LN 07/01/2031                                                                                                   | CUSIP: N/A<br>LEI: 7245002S0K5Q59JCVQ03       | Long             | LON              | CORP              | NL        |      448811 | PA      | $450094.59     | 0.00%             | 2031-07-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                                                      | DIAMONDBACK ENERGY INC 5.55% 04/01/2035                                                                                          | CUSIP: 25278XBC2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     5275000 | PA      | $5453835.53    | 0.01%             | 2035-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LAKESIDE PK CLO LTD / LAKESIDE PK CLO LLC                                                                   | LAKESIDE PK CLO LTD / LLC A TSFR3M+115 04/15/2038 144A                                                                           | CUSIP: 51218YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2529000 | PA      | $2527631.81    | 0.01%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                                                     | MNGT SWAP CZ030007 12/17/57 B                                                                                                    | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      100000 | NC      | $16707.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY EATON VANCE CLO 2025-21 LTD / LLC                                                            | MORGAN STANLEY EATON VANCE CLO 2025-21 LTD / LLC A1 TSFR3M+117 04/15/2038 144A                                                   | CUSIP: 617921AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4173000 | PA      | $4162154.37    | 0.01%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                                           | EURO-BUXL 30Y BND FUT DEC25 UBZ5                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         -15 | NC      | $-4029.09      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                                           | EURO-BOBL FUTURE DEC25 OEZ5                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          -6 | NC      | $-1874.85      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                                           | EURO-BUND FUTURE DEC25 RXZ5                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         -54 | NC      | $-5390.44      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                                           | EURO-BUND FUTURE DEC25 RXZ5                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         155 | NC      | $107452.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                                           | EURO-SCHATZ FUT DEC25 DUZ5                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          -1 | NC      | $111.19        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK N Y CITY TRANSITIONALFIN AUTH REV                                                                  | NEW YORK AUTH 2.69% 5/1/2033                                                                                                     | CUSIP: 64972JRH3<br>LEI: 5493003476LG35QAKM08 | Long             | DBT              | MUN               | US        |      530000 | PA      | $476446.36     | 0.00%             | 2033-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORP                                                                               | NEW SOUTH WALES TREASURY CORP 5.25% 02/24/2038 REGS                                                                              | CUSIP: N/A<br>LEI: TC7LRO17HPNPLTAV0H77       | Long             | DBT              | NUSS              | AU        |     2825000 | PA      | $1827386.14    | 0.00%             | 2038-02-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARAMARK INTERNATIONAL FINANCE SARL                                                                          | ARAMARK INTERNATIONAL FINANCE SARL 4.375% 04/15/2033 REGS                                                                        | CUSIP: N/A<br>LEI: 5493006HLPNGDDC12P30       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $115777.68     | 0.00%             | 2033-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY TRANSITIONALFIN AUTH REV                                                                  | NEW YORK AUTH 2.69% 5/1/2033                                                                                                     | CUSIP: 64972JRV2<br>LEI: 5493003476LG35QAKM08 | Long             | DBT              | MUN               | US        |     1485000 | PA      | $1329117.77    | 0.00%             | 2033-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                                                      | STANDARD CHARTERED PLC 3.864%/VAR 03/17/2033 REGS                                                                                | CUSIP: N/A<br>LEI: U4LOSYZ7YG4W3S5F2G91       | Long             | DBT              | CORP              | GB        |      245000 | PA      | $289822.03     | 0.00%             | 2033-03-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| RCI BANQUE S A                                                                                              | RCI BANQUE S A 4.75%/VAR 03/24/2037 REGS                                                                                         | CUSIP: N/A<br>LEI: 96950001WI712W7PQG45       | Long             | DBT              | CORP              | FR        |      500000 | PA      | $585149.45     | 0.00%             | 2037-03-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                                                 | WAYFAIR LLC 7.75% 09/15/2030 144A                                                                                                | CUSIP: 94419NAB3<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |      645000 | PA      | $687425.52     | 0.00%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SWITCH ABS ISSUER LLC                                                                                       | SWITCH ABS ISSUER LLC 2025-1A A2 5.036% 03/25/2055 144A                                                                          | CUSIP: 871044AL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3470000 | PA      | $3433949.13    | 0.01%             | 2055-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FOUNDATION FINANCE TRUST 2025-1                                                                             | FOUNDATION FINANCE TRUST 2025-1A A 4.95% 04/15/2050 144A                                                                         | CUSIP: 35040WAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      207699 | PA      | $210448.85     | 0.00%             | 2050-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                                                | ROCKIES EXPRESS PIPELINE LLC 6.75% 03/15/2033 144A                                                                               | CUSIP: 77340RAU1<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      650000 | PA      | $681970.90     | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XXIX LTD / MADISON PK FDG XXIX LLC                                                           | MADISON PK FDG XXIX LTD / MADISON PK FDG XXIX LLC A1R2 TSFR3M+118 03/25/2038 144A                                                | CUSIP: 55820CAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    23220000 | PA      | $23179388.22   | 0.05%             | 2038-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                                                      | EXTRA SPACE STORAGE LP 5.4% 06/15/2035                                                                                           | CUSIP: 30225VAU1<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |      183000 | PA      | $188509.53     | 0.00%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-2                                                                           | VERUS SECURITIZATION TRUST 2025-2 5.307% 03/25/2070 144A                                                                         | CUSIP: 92540VAA3<br>LEI: 213800TTP1CNX4WER720 | Long             | ABS-CBDO         | CORP              | US        |     3658152 | PA      | $3679129.60    | 0.01%             | 2070-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                                                     | ENTERGY MISSISSIPPI LLC 5.8% 04/15/2055                                                                                          | CUSIP: 29366WAG1<br>LEI: FKUZOUT82DOBGXFS6K20 | Long             | DBT              | CORP              | US        |      222000 | PA      | $228377.12     | 0.00%             | 2055-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                                                                               | MODIVCARE INC PIK STEP 10/01/2029 144A                                                                                           | CUSIP: 60783XAC8<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | DBT              | CORP              | US        |     1115100 | PA      | $11151.00      | 0.00%             | 2029-10-01      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                                         | AMERICAN TOWER CORP 4.9% 03/15/2030                                                                                              | CUSIP: 03027XCN8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     1235000 | PA      | $1263764.66    | 0.00%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                                         | AMERICAN TOWER CORP 5.35% 03/15/2035                                                                                             | CUSIP: 03027XCP3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     1069000 | PA      | $1102010.68    | 0.00%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                                            | BAT CAPITAL CORP 5.35% 08/15/2032                                                                                                | CUSIP: 05526DCB9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     3350000 | PA      | $3495046.02    | 0.01%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                                            | BAT CAPITAL CORP 5.625% 08/15/2035                                                                                               | CUSIP: 05526DCC7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1275000 | PA      | $1336840.82    | 0.00%             | 2035-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                                                                                       | RIO TINTO FIN USA PLC 5.25% 03/14/2035                                                                                           | CUSIP: 76720AAU0<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |      540000 | PA      | $560220.21     | 0.00%             | 2035-03-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                                                        | EDISON INTERNATIONAL 6.25% 03/15/2030                                                                                            | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     9050000 | PA      | $9459598.29    | 0.02%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 11/01/2054#DC5738                                                                                                 | CUSIP: 3140ATLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2735873 | PA      | $2780853.60    | 0.01%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 09/01/2054#DC3245                                                                                                 | CUSIP: 3140AQTB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4911794 | PA      | $4975664.12    | 0.01%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 04/01/2055#MA5673                                                                                                 | CUSIP: 31418FJT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5120227 | PA      | $5186807.47    | 0.01%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 5.5% 02/01/2055#FA0608                                                                                            | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2508471 | PA      | $2541089.68    | 0.01%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 02/01/2055#MA5614                                                                                                 | CUSIP: 31418FGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2823599 | PA      | $2860315.18    | 0.01%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESSEX WATER SERVS FIN PLC                                                                                  | WESSEX WATER SERVS FIN PLC 6.125% 09/19/2034 REGS                                                                                | CUSIP: N/A<br>LEI: 213800B9BFRCA1YMEI57       | Long             | DBT              | CORP              | GB        |      320000 | PA      | $435436.88     | 0.00%             | 2034-09-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SIG COMBIBLOC PURCHASECO SARL                                                                               | SIG COMBIBLOC PURCHASECO SARL 3.75% 03/19/2030 REGS                                                                              | CUSIP: N/A<br>LEI: 549300Q95MWZB4BXB866       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $117440.06     | 0.00%             | 2030-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2025-RP1                                                                                | CITIGROUP MTG LN TR 2025-RP1 B1 VAR 01/25/2064 144A                                                                              | CUSIP: 17332HAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      161766 | PA      | $98900.09      | 0.00%             | 2064-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2025-RP1                                                                                | CITIGROUP MORTGAGE LOAN TRUST 2025-RP1 A1 VAR 01/25/2064 144A                                                                    | CUSIP: 17332HAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8716998 | PA      | $8272923.97    | 0.02%             | 2064-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2025-RP1                                                                                | CITIGROUP MORTGAGE LOAN TRUST 25-RP1 SA VAR 01/25/2064 144A                                                                      | CUSIP: 17332HAM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       18854 | PA      | $16685.40      | 0.00%             | 2064-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2025-RP1                                                                                | CITIGROUP MTG LN TR 2025-RP1 B2 VAR 01/25/2064 144A                                                                              | CUSIP: 17332HAH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      102463 | PA      | $54716.14      | 0.00%             | 2064-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO LTD                                                                                           | MAGNETITE CLO LTD A1 TSFR3M+115 04/15/2038 144A                                                                                  | CUSIP: 55956CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2446000 | PA      | $2445899.71    | 0.01%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2025-RP1                                                                                | CITIGROUP MORTGAGE LOAN TRUST 2025-RP1 A2 VAR 01/25/2064 144A                                                                    | CUSIP: 17332HAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      404415 | PA      | $308253.32     | 0.00%             | 2064-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2025-RP1                                                                                | CITIGROUP MTG LN TR 2025-RP1 B3 VAR 01/25/2064 144A                                                                              | CUSIP: 17332HAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      129413 | PA      | $59223.40      | 0.00%             | 2064-01-25      | Variable      | 0.04%                 | No            |                  3 | On Loan: No      |
| CITIGROUP MTG LN TR 2025-RP1                                                                                | CITIGROUP MTG LN TR 2025-RP1 3.701119% 01/25/2064 144A                                                                           | CUSIP: 17332HAK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      123021 | PA      | $44193.91      | 0.00%             | 2064-01-25      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| CITIGROUP MTG LN TR 2025-RP1                                                                                | CITIGROUP MORTGAGE LOAN TRUST 2025-RP1 M1 VAR 01/25/2064 144A                                                                    | CUSIP: 17332HAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      345112 | PA      | $249711.69     | 0.00%             | 2064-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2025-RP1                                                                                | CITIGROUP MORTGAGE LOAN TRUST 2025-RP1 M2 VAR 01/25/2064 144A                                                                    | CUSIP: 17332HAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      215665 | PA      | $142752.24     | 0.00%             | 2064-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2025-RP1                                                                                | CITIGROUP MORTGAGE LOAN TRUST 2025-RP1 VAR 01/25/2064 144A                                                                       | CUSIP: 17332HAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10199277 | PA      | $1019.93       | 0.00%             | 2064-01-25      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| PBF HLDG CO LLC / PBF FIN CORP                                                                              | PBF HLDG CO LLC / PBF FIN CORP 9.875% 03/15/2030 144A                                                                            | CUSIP: 69318FAM0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      405000 | PA      | $425732.98     | 0.00%             | 2030-03-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                                                    | AES CORP 5.8% 03/15/2032                                                                                                         | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2568597.18    | 0.01%             | 2032-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                                                                   | STELLANTIS FINANCE US INC 5.75% 03/18/2030 144A                                                                                  | CUSIP: 85855CAK6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |      340000 | PA      | $349137.86     | 0.00%             | 2030-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INC                                                                                       | WILLIAMS SCOTSMAN INC 6.625% 04/15/2030 144A                                                                                     | CUSIP: 96949VAN3<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |      240000 | PA      | $247821.84     | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                                                     | MNGT SWAP CZ030008 12/17/57 B                                                                                                    | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      200000 | NC      | $18972.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL1 LLC                                                                                          | PRPM 2025-RPL1 A1 LLC 4% 03/25/2055 144A                                                                                         | CUSIP: 74390WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3142112 | PA      | $3096875.65    | 0.01%             | 2055-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                                              | EUROPEAN UNION 3.375% 12/12/2035 REGS                                                                                            | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | LU        |     1195000 | PA      | $1421577.66    | 0.00%             | 2035-12-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALSTRIA OFFICE REIT-AG                                                                                      | ALSTRIA OFFICE REIT-AG 5.5% 03/20/2031 REGS                                                                                      | CUSIP: N/A<br>LEI: 529900QIJIGPI0DRL085       | Long             | DBT              | CORP              | DE        |      200000 | PA      | $237871.75     | 0.00%             | 2031-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL1 LLC                                                                                          | PRPM 2025-RPL1 A2 4% 03/25/2055 144A                                                                                             | CUSIP: 74390WAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      621000 | PA      | $584522.83     | 0.00%             | 2055-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL1 LLC                                                                                          | PRPM 2025-RPL1 A3 4% 03/25/2055 144A                                                                                             | CUSIP: 74390WAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      366000 | PA      | $340379.96     | 0.00%             | 2055-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL1 LLC                                                                                          | PRPM 2025-RPL1 M1A 4% 03/25/2055 144A                                                                                            | CUSIP: 74390WAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      357000 | PA      | $334254.64     | 0.00%             | 2055-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL1 LLC                                                                                          | PRPM 2025-RPL1 M1B 4% 03/25/2055 144A                                                                                            | CUSIP: 74390WAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      126000 | PA      | $115345.45     | 0.00%             | 2055-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO 5.25% 03/15/2030                                                                                   | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3491604.33    | 0.01%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNA 8 LLC                                                                                                   | FNA 8 LLC 2025-1 A VAR 03/15/2045 144A                                                                                           | CUSIP: 30340WAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      541509 | PA      | $545713.03     | 0.00%             | 2045-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2025-R1                                                                                           | CIM TRUST 2025-R1 5% 02/25/2099 144A                                                                                             | CUSIP: 12575LAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4935991 | PA      | $4912893.45    | 0.01%             | 2099-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | FSWP: JPY 0.997500 3/12/2027 FTO                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -1769432663 | NC      | $-12662.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | FSWP: JPY 1.026500 03/12/2027 FTO                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -4330130334 | NC      | $-39439.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6.5% 12/01/2053#SD4621                                                                                                 | CUSIP: 3132DSD25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      344477 | PA      | $363364.38     | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6.5% 01/01/2054#SD4622                                                                                                 | CUSIP: 3132DSD33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      875490 | PA      | $921276.69     | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 12/01/2053#FS6525                                                                                                 | CUSIP: 3140XNHB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      365107 | PA      | $385125.69     | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 6.5% 07/01/2054#FA0028                                                                                            | CUSIP: 3140W0A62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      482080 | PA      | $507291.53     | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 08/01/2054#FS8620                                                                                                 | CUSIP: 3140XQSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      685626 | PA      | $723218.48     | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/01/2051#CB0443                                                                                                 | CUSIP: 3140QKP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2843469 | PA      | $2468005.68    | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | FSWP: JPY 1.018460 3/12/2027 FTO                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -4011480789 | NC      | $-34349.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER MTG ASSET RECEIVABLE TR 2025-NQM1                                                                 | SANTANDER MTG ASSET RECEIVABLE TR 2025-NQM1 A1 VAR 01/25/2065 144A                                                               | CUSIP: 80262BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1752731 | PA      | $1765179.51    | 0.00%             | 2065-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WEST TR 2025-ROSE                                                                                           | WEST TRUST 2025-ROSE VAR 04/10/2030 144A                                                                                         | CUSIP: 955909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      156000 | PA      | $159056.34     | 0.00%             | 2035-04-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOGETHER ASSET BACKED SECURITISATION 2025-CRE-1 PLC                                                         | TOGETHER ASSET BACKED SECURITISATION 2025-CRE-1 PLC SONIO+150 01/15/2057 REGS                                                    | CUSIP: N/A<br>LEI: 635400IHLPBPFA2IVG30       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $132986.12     | 0.00%             | 2057-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                                                          | BMW US CAPITAL LLC FRN SOFRINDX+92 03/21/2028 144A                                                                               | CUSIP: 05565ECX1<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3019830.00    | 0.01%             | 2028-03-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                                                          | BMW US CAPITAL LLC 5.05% 03/21/2030 144A                                                                                         | CUSIP: 05565ECY9<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |     8300000 | PA      | $8547765.29    | 0.02%             | 2030-03-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                                                     | SANTANDER HLDGS USA INC 5.473%/VAR 03/20/2029                                                                                    | CUSIP: 80282KBN5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     7900000 | PA      | $8067477.00    | 0.02%             | 2029-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ONCOR ELEC DELIVERY CO LLC                                                                                  | ONCOR ELEC DELIVERY CO LLC 5.35% 04/01/2035 144A                                                                                 | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     1745000 | PA      | $1816325.48    | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LN TR 2025-A                                                                                 | NELNET STUDENT LN TR 2025-AA A1B SOFR30A+110 03/15/2057 144A                                                                     | CUSIP: 64033XAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      903974 | PA      | $900619.84     | 0.00%             | 2057-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TAURS 2025-UK2X                                                                                             | TAURS 2025-UK2X SONIO+250 02/18/2035 REGS                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |      143928 | PA      | $190841.45     | 0.00%             | 2035-02-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TAURS 2025-UK2X                                                                                             | TAURS 2025-UK2X SONIO+320 02/18/2035 REGS                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |      315119 | PA      | $418564.08     | 0.00%             | 2035-02-18      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NATGASOLINE LLC                                                                                             | NATGASOLINE TERM B 1LN 03/29/2030                                                                                                | CUSIP: 63232EAD9<br>LEI: 549300OHXDYMQYZOWC24 | Long             | LON              | CORP              | US        |       67126 | PA      | $67406.30      | 0.00%             | 2030-03-29      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| CELSIUS HOLDINGS INC                                                                                        | CELSIUS TERM B 1LN 04/01/2032                                                                                                    | CUSIP: 15118XAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      140071 | PA      | $140771.30     | 0.00%             | 2032-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NAKED JUICE LLC                                                                                             | TROPICANA TERM EXCH FLSO FL20 01/24/2029                                                                                         | CUSIP: 62984CAM5<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |      385278 | PA      | $275200.54     | 0.00%             | 2029-01-24      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NAKED JUICE LLC                                                                                             | TROPICANA TERM EXCH FLTO FL30 PIK 01/24/2030                                                                                     | CUSIP: 62984CAN3<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |       81092 | PA      | $30055.28      | 0.00%             | 2030-01-24      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY562349 11/18/64 B                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      300000 | NC      | $45945.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NAKED JUICE LLC                                                                                             | TROPICANA TERM FLFO 01/24/2029                                                                                                   | CUSIP: 62984CAK9<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |     1175629 | PA      | $1177686.23    | 0.00%             | 2029-01-24      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                                                           | HYATT HOTELS CORP 5.05% 03/30/2028                                                                                               | CUSIP: 448579AU6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     5900000 | PA      | $6002815.29    | 0.01%             | 2028-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C9 MTG TR                                                                                         | BMO 2025-5C9 MTG TR 5.7785% 04/15/2058                                                                                           | CUSIP: 096933AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6700000 | PA      | $7043236.98    | 0.02%             | 2058-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                                                | ING GROEP NV 4.858%/VAR 03/25/2029                                                                                               | CUSIP: 456837BQ5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     3900000 | PA      | $3960296.81    | 0.01%             | 2029-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 5.918% 03/20/2028                                                                                       | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1374000 | PA      | $1404751.60    | 0.00%             | 2028-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                                               | VOLKSWAGEN GROUP AMER FIN LLC 5.8% 03/27/2035 144A                                                                               | CUSIP: 928668CS9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |      435000 | PA      | $451918.64     | 0.00%             | 2035-03-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                                               | VOLKSWAGEN GROUP AMER FIN LLC 5.65% 03/25/2032 144A                                                                              | CUSIP: 928668CR1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     2855000 | PA      | $2967423.28    | 0.01%             | 2032-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                                               | VOLKSWAGEN GROUP AMER FIN LLC 5.35% 03/27/2030 144A                                                                              | CUSIP: 928668CQ3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    11923000 | PA      | $12275307.36   | 0.03%             | 2030-03-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                                               | VOLKSWAGEN GROUP AMER FIN LLC 5.05% 03/27/2028 144A                                                                              | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     6778000 | PA      | $6881542.22    | 0.02%             | 2028-03-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                                                         | NATWEST MARKETS PLC 5.022% 03/21/2030 144A                                                                                       | CUSIP: 63906YAP3<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |      940000 | PA      | $969972.15     | 0.00%             | 2030-03-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INSULET CORP                                                                                                | INSULET CORP 6.5% 04/01/2033 144A                                                                                                | CUSIP: 45784PAL5<br>LEI: 549300TZTYD2PYN92D43 | Long             | DBT              | CORP              | US        |      120000 | PA      | $125334.48     | 0.00%             | 2033-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL2 LLC                                                                                          | PRPM 2025-RPL2 LLC 3.75% 04/25/2055 144A                                                                                         | CUSIP: 69392MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4803016 | PA      | $4666470.99    | 0.01%             | 2055-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                                           | STORE CAPITAL LLC 5.4% 04/30/2030 144A                                                                                           | CUSIP: 862123AA4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     1091000 | PA      | $1113988.20    | 0.00%             | 2030-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MUTUAL GLOBAL FUNDING                                                                          | NORTHWESTERN MUTUAL GLOBAL FUNDING 4.49% 03/21/2028 144A                                                                         | CUSIP: 66815L2V0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |     4800000 | PA      | $4862352.43    | 0.01%             | 2028-03-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOHEGAN TRIBAL GAMING AUTHORITY / MS DIGITAL ENTERTAINMENT HOLDINGS LLC                                     | MOHEGAN TRIBAL GAMING AUTHORITY / MS DIGITAL ENTERTAINMENT HOLDINGS LLC 11.875% 04/15/2031 144A                                  | CUSIP: 60832QAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $104578.00     | 0.00%             | 2031-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2                                                               | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2 D 5.47% 05/15/2031                                                                 | CUSIP: 80287NAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8100000 | PA      | $8222689.89    | 0.02%             | 2031-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 41 LTD                                                                          | OCTAGON INVESTMENT PARTNERS 41 LTD A1R2 TSFR3M+109 10/15/2033 144A                                                               | CUSIP: 67592FBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4250000 | PA      | $4246863.50    | 0.01%             | 2033-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OREGON TOOL LUX LP                                                                                          | OREGON TOOL LUX LP 7.875% 10/15/2029 144A                                                                                        | CUSIP: 68610BAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      298350 | PA      | $128290.50     | 0.00%             | 2029-10-15      | Fixed         | 0.08%                 | No            |                  3 | On Loan: No      |
| ARES LVIII CLO LTD / ARES LVIII CLO LLC                                                                     | ARES LVIII CLO LTD / ARES LVIII CLO LLC A1R2 TSFR3M+124 04/15/2038 144A                                                          | CUSIP: 04018AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3511000 | PA      | $3516129.57    | 0.01%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                                                              | 1261229 BC LTD 10% 04/15/2032 144A                                                                                               | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     1240000 | PA      | $1281930.60    | 0.00%             | 2032-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| TAURS 2025-UK2X                                                                                             | TAURS 2025-UK2X B SONIO+200 02/18/2035 REGS                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | IE        |      116365 | PA      | $154297.74     | 0.00%             | 2035-02-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GREENKO WIND PROJECTS (MAURITIUS) LTD                                                                       | GREENKO WIND PROJECTS (MAURITIUS) LTD 7.25% 09/27/2028 REGS                                                                      | CUSIP: N/A<br>LEI: 254900MSUXE1FF83DP82       | Long             | DBT              | CORP              | MU        |      400000 | PA      | $404125.00     | 0.00%             | 2028-09-27      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL4 TRUST                                                                                        | CSMC 2021-RPL4 TRUST VAR 12/27/2060 144A                                                                                         | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3440917 | PA      | $3443863.78    | 0.01%             | 2060-12-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-ATH3                                                                                              | CSMC 2022-ATH3 7.1% 08/25/2067 144A                                                                                              | CUSIP: 12664AAH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      173000 | PA      | $172207.04     | 0.00%             | 2067-08-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-SPOT                                                                      | BX COMMERCIAL MORTGAGE TRUST 2025-SPOT TSFR1M+144.34 04/15/2040 144A                                                             | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7343801 | PA      | $7343798.85    | 0.02%             | 2040-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V14 MTG TR                                                                                   | BENCHMARK 2025-V14 MTG TR 5.6599% 04/15/2057                                                                                     | CUSIP: 08164BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11710000 | PA      | $12298885.36   | 0.03%             | 2057-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OREGON TOOL LUX LP                                                                                          | OREGON TOOL TERM 2LN 10/15/2029                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | LU        |      311521 | PA      | $227151.72     | 0.00%             | 2029-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPT ISSUER TR 2025-1                                                                         | GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A A3 5.32% 03/25/2060 144A                                                          | CUSIP: 39571NAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3900000 | PA      | $4002178.83    | 0.01%             | 2060-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPT ISSUER TR 2025-1                                                                         | GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A A4 5.32% 03/25/2060 144A                                                          | CUSIP: 39571NAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9208594 | PA      | $9361746.86    | 0.02%             | 2060-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR2 TR                                                                           | PROGRESS RESIDENTIAL TRUST 25-SFR2 E1 3.725% 04/17/2042 144A                                                                     | CUSIP: 74334GAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3390518 | PA      | $3162729.99    | 0.01%             | 2042-04-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                                                   | SUNOCO LP 6.25% 07/01/2033 144A                                                                                                  | CUSIP: 86765KAD1<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      125000 | PA      | $128390.34     | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING PARTNERS LP                                                                        | NEXTERA ENERGY OPERATING PARTNERS LP 8.375% 01/15/2031 144A                                                                      | CUSIP: 98380MAA3<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      220000 | PA      | $230540.86     | 0.00%             | 2031-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 5.333%/VAR 03/27/2036                                                                                              | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      260000 | PA      | $268306.20     | 0.00%             | 2036-03-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                                                  | AVIATION CAPITAL GROUP LLC 5.125% 04/10/2030 144A                                                                                | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    10600000 | PA      | $10781221.10   | 0.02%             | 2030-04-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 04/01/2053#SD3124                                                                                                 | CUSIP: 3132DQPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3823743 | PA      | $3271043.43    | 0.01%             | 2053-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPSTONE COPPER CORP                                                                                        | CAPSTONE COPPER CORP 6.75% 03/31/2033 144A                                                                                       | CUSIP: 14071LAA6<br>LEI: 549300III6KGKKC42W63 | Long             | DBT              | CORP              | CA        |      705000 | PA      | $731319.06     | 0.00%             | 2033-03-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                                                              | BAUSCH HEALTH TERM B 1LN 10/08/2030                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | CA        |      219450 | PA      | $216487.43     | 0.00%             | 2030-10-08      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| VISTA MANAGEMENT HOLDING INC                                                                                | VISTAJET TERM B 1LN 04/01/2031                                                                                                   | CUSIP: 92842EAB4<br>LEI: 5299005VABKD28UWHI65 | Long             | LON              | CORP              | US        |        9900 | PA      | $9967.42       | 0.00%             | 2031-04-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL2                                                                                              | PRET 2025-RPL2 A1 4% 08/25/2064 144A                                                                                             | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2795717 | PA      | $2724731.12    | 0.01%             | 2064-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FDG II                                                                                    | MASSMUTUAL GLOBAL FDG II 4.45% 03/27/2028 144A                                                                                   | CUSIP: 57629TBW6<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |     3500000 | PA      | $3541668.73    | 0.01%             | 2028-03-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORVIA                                                                                                      | FORVIA 5.625% 06/15/2030 REGS                                                                                                    | CUSIP: N/A<br>LEI: 969500F0VMZLK2IULV85       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $120853.26     | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+ 12/25/2054                                                                               | CUSIP: 3137HHMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      352891 | PA      | $354989.79     | 0.00%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FLAT 2025-30A                                                                                               | FLAT 2025-30A A1 TSFR3M+116 04/15/2038 144A                                                                                      | CUSIP: 33882MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3505000 | PA      | $3499427.05    | 0.01%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 04/01/2051#CB0193                                                                                                   | CUSIP: 3140QKGB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2916379 | PA      | $2622759.75    | 0.01%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 01/01/2052#CB2539                                                                                                 | CUSIP: 3140QMZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3445780 | PA      | $2983247.41    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 09/01/2051#FM8642                                                                                                 | CUSIP: 3140XCS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      479850 | PA      | $414989.02     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 10/01/2051#FM9068                                                                                                 | CUSIP: 3140XDCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      793082 | PA      | $684890.79     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 07/01/2052#FS7657                                                                                                   | CUSIP: 3140XPQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2583990 | PA      | $2314145.38    | 0.01%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                                                                     | CAN 10YR BOND FUT MAR26 CNH6                                                                                                     | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |         336 | NC      | $188178.74     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                                               | CDX IG44 5Y ICE SWAP 06/20/2030                                                                                                  | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   226600000 | NC      | $1985480.88    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3.5% 04/20/2053#MA8797                                                                                                   | CUSIP: 36179XX27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5427136 | PA      | $5015066.51    | 0.01%             | 2053-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 3% 10/20/2054#MA9960                                                                                                     | CUSIP: 36180AB51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5518970 | PA      | $4991182.60    | 0.01%             | 2054-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                                                 | AVOLON HOLDINGS FUNDING LTD 5.375% 05/30/2030 144A                                                                               | CUSIP: 05401AAZ4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     1953000 | PA      | $2007869.54    | 0.00%             | 2030-05-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BXMT 2025-FL5 LTD                                                                                           | BXMT 2025-FL5 LTD A TSFR1M+163.88 10/18/2042 144A                                                                                | CUSIP: 05613YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      628000 | PA      | $627228.25     | 0.00%             | 2042-10-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                                            | T-MOBILE USA INC 5.125% 05/15/2032                                                                                               | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     1945000 | PA      | $2013543.49    | 0.00%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GLENCORE FDG LLC                                                                                            | GLENCORE FDG LLC 5.186% 04/01/2030 144A                                                                                          | CUSIP: 378272BZ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      140000 | PA      | $144224.40     | 0.00%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FINANCE DAC                                                                           | SMBC AVIATION CAPITAL FINANCE DAC 5.1% 04/01/2030 144A                                                                           | CUSIP: 78448TAN2<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |     2000000 | PA      | $2052374.36    | 0.00%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                                                                         | CLYDESDALE ACQUISITION HOLDINGS INC 6.75% 04/15/2032 144A                                                                        | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |     1005000 | PA      | $1014059.07    | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC                                                                                            | RELX CAPITAL INC 5.25% 03/27/2035                                                                                                | CUSIP: 74949LAG7<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3534588.49    | 0.01%             | 2035-03-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GROUP INC                                                                               | PRINCIPAL FINL GROUP INC 4.111% 02/15/2028 144A                                                                                  | CUSIP: 74251VAP7<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |      388000 | PA      | $386955.74     | 0.00%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BW REAL ESTATE INC                                                                                          | BW REAL ESTATE INC 9.5%/VAR PERP 144A                                                                                            | CUSIP: 05614HAA7<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      125000 | PA      | $127470.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR10 TRUST                                                                       | PROGRESS RESIDENTIAL 2021-SFR10 TRUST 3.567% 12/17/2040 144A                                                                     | CUSIP: 74333WAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5500967 | PA      | $5301124.08    | 0.01%             | 2040-12-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCHAEFFLER AG                                                                                               | SCHAEFFLER AG 5.375% 04/01/2031 REGS                                                                                             | CUSIP: N/A<br>LEI: 549300Q7E782X7GC1P43       | Long             | DBT              | CORP              | DE        |      300000 | PA      | $366334.98     | 0.00%             | 2031-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IVORY COAST (COTE D'IVOIRE)                                                                                 | IVORY COAST (COTE D'IVOIRE) 8.075% 04/01/2036 144A                                                                               | CUSIP: 221625AV8<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |      480000 | PA      | $498340.80     | 0.00%             | 2036-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                                                   | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.5%/VAR 01/31/2056                                                           | CUSIP: 00774MBQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      375000 | PA      | $385490.25     | 0.00%             | 2056-01-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2052#FA0995                                                                                                   | CUSIP: 3140W1C92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1963912 | PA      | $1625677.48    | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 2% 03/01/2052#                                                                                                    | CUSIP: 3140W04U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3588520 | PA      | $2943574.11    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 2.5% 04/01/2052#FA0063                                                                                            | CUSIP: 3140W0B95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      504440 | PA      | $435940.22     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | IRS EUR 2.52 03/27/25 10Y LCH                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     1600000 | NC      | $-28453.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                                                        | ROMANIA REPUBLIC OF 5.875% 07/11/2032 REGS                                                                                       | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      650000 | PA      | $791229.90     | 0.00%             | 2032-07-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                                          | VICI PROPERTIES LP 4.75% 04/01/2028                                                                                              | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     1384000 | PA      | $1399188.53    | 0.00%             | 2028-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                                           | DELL INTL/EMC CORP 5% 04/01/2030                                                                                                 | CUSIP: 24703TAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1750000 | PA      | $1793734.72    | 0.00%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NLT 2025-INV1 TR                                                                                            | NLT 2025-INV1 TR CSTR 02/25/2070                                                                                                 | CUSIP: 62916TAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      364000 | PA      | $362634.38     | 0.00%             | 2070-02-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| XEROX CORP                                                                                                  | XEROX CORP 13.5% 04/15/2031 144A                                                                                                 | CUSIP: 984121CT8<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |       62000 | PA      | $57312.16      | 0.00%             | 2031-04-15      | Fixed         | 0.14%                 | No            |                  2 | On Loan: No      |
| NLT 2025-INV1 TR                                                                                            | NLT 2025-INV1 TR CSTR 07/25/2070                                                                                                 | CUSIP: 62916TAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      286000 | PA      | $278748.53     | 0.00%             | 2070-02-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NLT 2025-INV1 TR                                                                                            | NLT 2025-INV1 A3 TR 5.86% 02/25/2070 144A                                                                                        | CUSIP: 62916TAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1164748 | PA      | $1174966.13    | 0.00%             | 2070-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NLT 2025-INV1 TR                                                                                            | NLT 2025-INV1 M1 TR VAR 02/25/2070 144A                                                                                          | CUSIP: 62916TAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      519000 | PA      | $526306.48     | 0.00%             | 2070-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NLT 2025-INV1 TR                                                                                            | NLT 2025-INV1 A2 TR 5.708% 02/25/2070 144A                                                                                       | CUSIP: 62916TAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      678806 | PA      | $685119.32     | 0.00%             | 2070-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NLT 2025-INV1 TR                                                                                            | NLT 2025-INV1 AIOS TR VAR 02/25/2070 144A                                                                                        | CUSIP: 62916TAK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9245055 | PA      | $69301.86      | 0.00%             | 2070-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NLT 2025-INV1 TR                                                                                            | NLT 2025-INV1 XS TR VAR 02/25/2070 144A                                                                                          | CUSIP: 62916TAH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9245055 | PA      | $163637.47     | 0.00%             | 2070-02-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| NLT 2025-INV1 TR                                                                                            | NLT 2025-INV1 B3 TR VAR 02/25/2070 144A                                                                                          | CUSIP: 62916TAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      179000 | PA      | $164020.67     | 0.00%             | 2070-02-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NLT 2025-INV1 TR                                                                                            | NLT 2025-INV1 A1 TR VAR 02/25/2070 144A                                                                                          | CUSIP: 62916TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6053475 | PA      | $6130132.34    | 0.01%             | 2070-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OPAL BIDCO SAS                                                                                              | OPAL BIDCO SAS 5.5% 03/31/2032 REGS                                                                                              | CUSIP: N/A<br>LEI: 969500R96XT7XY2UJ564       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $119951.18     | 0.00%             | 2032-03-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA COS GLOBAL FUNDING                                                                          | MUTUAL OF OMAHA COS GLOBAL FUNDING 5% 04/01/2030 144A                                                                            | CUSIP: 62829D2F6<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $2150104.24    | 0.00%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                                                     | MERCEDES-BENZ FINANCE NORTH AMERICA LLC 4.75% 03/31/2028 144A                                                                    | CUSIP: 58769JBE6<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $10143714.50   | 0.02%             | 2028-03-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOAN TRUST 2019-1                                                                | HARVEST COMMERCIAL CAPITAL LOAN TRUST 2019-1 6.1635% 10/25/2056                                                                  | CUSIP: 417927AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1647669 | PA      | $1698515.93    | 0.00%             | 2056-10-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TR 2024-1                                                           | BRIDGECREST LENDING AUTO SECURITIZATION TR 2024-1 E 8.43% 10/15/2030 144A                                                        | CUSIP: 107933AG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1995000 | PA      | $2051932.31    | 0.00%             | 2030-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TR 2023-3                                                                                     | DT AUTO OWNER TR 2023-3 E 10.21% 05/15/2030 144A                                                                                 | CUSIP: 23345WAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      950000 | PA      | $1007884.93    | 0.00%             | 2030-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST 2023-2                                                                                  | DT AUTO OWNER TRUST 2023-2A E 11.06% 04/15/2030 144A                                                                             | CUSIP: 23346CAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      800000 | PA      | $848894.40     | 0.00%             | 2030-04-15      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT FUNDING 14-R LTD                                                                                 | OHA CREDIT FUNDING 14-R LTD A TSFR3M+123 04/20/2038 144A                                                                         | CUSIP: 67706QAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2310000 | PA      | $2310995.61    | 0.01%             | 2038-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ITELYUM REGENERATION SPA                                                                                    | ITELYUM REGENERATION SPA 5.75% 04/15/2030 REGS                                                                                   | CUSIP: N/A<br>LEI: 815600051FBC23AA8A45       | Long             | DBT              | CORP              | IT        |      100000 | PA      | $117021.91     | 0.00%             | 2030-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.32% 03/01/2030#BZ3406                                                                                                | CUSIP: 3140NXYC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1900000 | PA      | $1927357.15    | 0.00%             | 2030-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLO ISSUER LLC                                                                                             | ALLO ISSUER LLC 6.163% 04/20/2055 144A                                                                                           | CUSIP: 01983KAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3260000 | PA      | $3324312.95    | 0.01%             | 2055-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                                   | CDX HY44 5Y ICE 6/20/30                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |    13700000 | NC      | $839052.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK LOGISTICS 2025 1 DAC                                                                                     | UK LOGISTICS 2025-1X D SONIO+400 05/31/2030 REGS                                                                                 | CUSIP: N/A<br>LEI: 635400LLQ82YFJBFFU27       | Long             | ABS-CBDO         | CORP              | GB        |      376886 | PA      | $499770.25     | 0.00%             | 2035-05-17      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 05/01/2031#AS7110                                                                                                 | CUSIP: 3138WG3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      543783 | PA      | $527236.23     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 05/01/2031#AS7111                                                                                                 | CUSIP: 3138WG3V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      629001 | PA      | $609862.48     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 05/01/2031#AS7126                                                                                                 | CUSIP: 3138WG4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      635603 | PA      | $616509.03     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 05/01/2031#AS7140                                                                                                 | CUSIP: 3138WG5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      535874 | PA      | $519371.99     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 05/01/2031#BC8289                                                                                                 | CUSIP: 3140F4F76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      445492 | PA      | $432092.06     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 05/01/2031#AS7145                                                                                                 | CUSIP: 3138WG5F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      567684 | PA      | $550637.21     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 04/01/2031#AS6933                                                                                                 | CUSIP: 3138WGV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      488079 | PA      | $473420.61     | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 06/01/2031#AS7347                                                                                                 | CUSIP: 3138WHEV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      801325 | PA      | $776644.82     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 06/01/2031#AS7325                                                                                                 | CUSIP: 3138WHD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      506526 | PA      | $490923.02     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2.5% 06/01/2031#AS7346                                                                                                 | CUSIP: 3138WHEU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      494118 | PA      | $479278.56     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | RFR USD SOFR-3.80662 04-02-25-30Y* LCH                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -2500000 | NC      | $68293.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITYCON TREASURY BV                                                                                         | CITYCON TREASURY BV 5.375% 07/08/2031 REGS                                                                                       | CUSIP: N/A<br>LEI: 549300WAE0CGQ0IE1H63       | Long             | DBT              | CORP              | NL        |      300000 | PA      | $334570.13     | 0.00%             | 2031-07-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | RFR USD SOFR 3.25 06/18/25 30Y LCH                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -5000000 | NC      | $145305.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2025-800D                                                                 | GS MORTGAGE SECURITIES CORP TRUST 2025-800D TSFR1M+265 11/25/2041 144A                                                           | CUSIP: 36273XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      597000 | PA      | $598140.69     | 0.00%             | 2041-11-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| OCTAGON 75 LTD                                                                                              | OCTAGON 75 LTD A1 TSFR3M+120 01/22/2038 144A                                                                                     | CUSIP: 67579EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250107.75     | 0.00%             | 2038-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REGATTA XVIII FUNDING LTD                                                                                   | REGATTA XVIII FUNDING LTD A1R TSFR3M+116 04/15/2038 144A                                                                         | CUSIP: 75884EAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1085039 | PA      | $1082865.67    | 0.00%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXI LTD                                                                                        | SYMPHONY CLO XXI LTD AR2 TSFR3M+90 07/15/2032 144A                                                                               | CUSIP: 87166RGE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      192791 | PA      | $192783.77     | 0.00%             | 2032-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 38 LTD                                                                                          | ELMWOOD CLO 38 LTD A TSFR3M+115 04/22/2038 144A                                                                                  | CUSIP: 289908AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249862.00     | 0.00%             | 2038-04-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2014-III LTD                                                                                   | CIFC FUNDING 2014-III LTD A1R TSFR3M+118 03/31/2038 144A                                                                         | CUSIP: 12549QBL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249750.00     | 0.00%             | 2038-03-31      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| 1988 CLO 2 LTD                                                                                              | 1988 CLO 2 LTD A1R TSFR3M+120 04/15/2038 144A                                                                                    | CUSIP: 653947AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249989.50     | 0.00%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                                                              | SABRE TERM B1 1LN 11/15/2029                                                                                                     | CUSIP: 78571YBK5<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | LON              | CORP              | US        |       92688 | PA      | $84037.63      | 0.00%             | 2029-11-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                                                       | AMRIZE FINANCE US LLC 4.7% 04/07/2028 144A                                                                                       | CUSIP: 43475RAB2<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3037101.75    | 0.01%             | 2028-04-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                                                       | AMRIZE FINANCE US LLC 4.95% 04/07/2030 144A                                                                                      | CUSIP: 43475RAC0<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8207466.08    | 0.02%             | 2030-04-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.75% 04/15/2028                                                                                                       | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4691000 | PA      | $4717936.61    | 0.01%             | 2028-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | RFR USD SOFR-3.65471 04-07-25-30Y* LCH                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -2300000 | NC      | $123602.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | RFR USD SOFR-3.64159 04-07-25-30Y* LCH                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -4500000 | NC      | $252101.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                                         | GSCOFI SWAP CY885799 12/15/56 S                                                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     1300000 | NC      | $-17615.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | IRS EUR 2.40000 04/09/25 5Y LCH                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -2500000 | NC      | $-3701.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                                                 | PAYCHEX INC 5.1% 04/15/2030                                                                                                      | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |      440000 | PA      | $452177.60     | 0.00%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                                                 | PAYCHEX INC 5.35% 04/15/2032                                                                                                     | CUSIP: 704326AB3<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |      613000 | PA      | $637506.31     | 0.00%             | 2032-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                                                 | PAYCHEX INC 5.6% 04/15/2035                                                                                                      | CUSIP: 704326AC1<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |      480000 | PA      | $504239.11     | 0.00%             | 2035-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                                                        | THAMES WATER SUPER SENIOR ISSUER PLC 9.75% 10/10/2027 144A                                                                       | CUSIP: 88325AAA8<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |       65272 | PA      | $98936.17      | 0.00%             | 2027-10-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                                         | GSCOFI SWAP CZ030008 12/17/57 B                                                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     1100000 | NC      | $104347.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                                         | GSCOFI SWAP CY885799 12/15/56 S                                                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     1500000 | NC      | $-20325.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                                                                         | JAPAN GOVERNMENT OF 2.4% 03/20/2055                                                                                              | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   396400000 | PA      | $2103897.98    | 0.00%             | 2055-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 05/01/2055#MA5700                                                                                                 | CUSIP: 31418FKN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2733299 | PA      | $2768841.12    | 0.01%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                                                                           | JAPAN TOBACCO INC 5.21% 06/15/2030 144A                                                                                          | CUSIP: 471105AD8<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |      705000 | PA      | $733700.17     | 0.00%             | 2030-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                                                                           | JAPAN TOBACCO INC 5.856% 06/15/2035 144A                                                                                         | CUSIP: 471105AE6<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |      735000 | PA      | $789286.58     | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DIAGEO INVT CORP                                                                                            | DIAGEO INVT CORP 5.625% 04/15/2035                                                                                               | CUSIP: 25245BAE7<br>LEI: S4G8DPIPDVCF6CB81Z61 | Long             | DBT              | CORP              | US        |     2915000 | PA      | $3108252.43    | 0.01%             | 2035-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | USTN TII 1.625% 04/15/2030                                                                                                       | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    16356000 | PA      | $16888623.29   | 0.04%             | 2030-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 03/01/2055#MA5646                                                                                                 | CUSIP: 31418FHY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6498811 | PA      | $6583318.58    | 0.01%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+120 12/25/2054                                                                            | CUSIP: 3136BTXR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     6364159 | PA      | $6384297.56    | 0.01%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 04/01/2055#SD8524                                                                                                 | CUSIP: 3132DWPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1953835 | PA      | $1979241.21    | 0.00%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 05/01/2055#                                                                                                       | CUSIP: 31418FKQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3316901 | PA      | $3432634.59    | 0.01%             | 2055-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SDAL TR 2025-DAL                                                                                            | SDAL TR 2025-DAL TSFR1M+244.132 04/15/2030 144A                                                                                  | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      122000 | PA      | $122821.12     | 0.00%             | 2042-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 05/01/2055#SD8533                                                                                                 | CUSIP: 3132DWPS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2922001 | PA      | $2959996.77    | 0.01%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BWAY TRUST 2025-1535                                                                                        | BWAY TRUST 2025-1535 A VAR 05/05/2030 144A                                                                                       | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       62000 | PA      | $64450.55      | 0.00%             | 2042-05-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 5.192%/VAR 04/17/2031                                                                                             | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     6644000 | PA      | $6876540.40    | 0.02%             | 2031-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 5.664%/VAR 04/17/2036                                                                                             | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2611000 | PA      | $2771804.96    | 0.01%             | 2036-04-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 5.103%/VAR 04/22/2031                                                                                      | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3632000 | PA      | $3766706.45    | 0.01%             | 2031-04-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 5.572%/VAR 04/22/2036                                                                                      | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     4314000 | PA      | $4582640.63    | 0.01%             | 2036-04-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | GSCM SWAP REC 3.9025 04/14/26                                                                                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     5100000 | NC      | $156005.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | GSCM SWAP PAY 3.9025 04/14/26                                                                                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     5100000 | NC      | $37483.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1                                                              | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.83% 10/16/2028                                                                  | CUSIP: 30185AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      453733 | PA      | $454950.49     | 0.00%             | 2028-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1                                                              | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.69% 04/15/2030                                                                  | CUSIP: 30185AAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      475000 | PA      | $479024.82     | 0.00%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 5% 04/01/2040#MA5683                                                                                                   | CUSIP: 31418FJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4909362 | PA      | $4966519.81    | 0.01%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                                                  | VERIZON COMMUNICATIONS INC 4.78% 02/15/2035                                                                                      | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      700000 | PA      | $694427.91     | 0.00%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                                                          | VENTURE GLOBAL PLAQUEMINES LNG LLC 7.5% 05/01/2033 144A                                                                          | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      789000 | PA      | $859754.36     | 0.00%             | 2033-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                                                          | VENTURE GLOBAL PLAQUEMINES LNG LLC 7.75% 05/01/2035 144A                                                                         | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      948000 | PA      | $1056156.37    | 0.00%             | 2035-05-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 5.15%/VAR 04/23/2031                                                                                      | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     8090000 | PA      | $8378362.71    | 0.02%             | 2031-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 5.605%/VAR 04/23/2036                                                                                     | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     6233000 | PA      | $6610762.93    | 0.01%             | 2036-04-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 4.937%/VAR 04/23/2028                                                                              | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1558000 | PA      | $1575087.32    | 0.00%             | 2028-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 5.218%/VAR 04/23/2031                                                                              | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1060000 | PA      | $1098192.13    | 0.00%             | 2031-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                                                        | COLOMBIA REPUBLIC OF 7.375% 04/25/2030                                                                                           | CUSIP: 195325ER2<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     4145000 | PA      | $4387482.50    | 0.01%             | 2030-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 6/1/52#CB3785                                                                                                       | CUSIP: 3140QPF36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      635010 | PA      | $610145.14     | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4% 6/1/52#CB3766                                                                                                       | CUSIP: 3140QPFG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      608115 | PA      | $584303.81     | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                                         | GSCOFI SWAP CZ030007 12/17/57 B                                                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      600000 | NC      | $100242.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 03/20/2055#MB0257                                                                                                   | CUSIP: 3618N5JB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2955911 | PA      | $2892469.13    | 0.01%             | 2055-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EAGLEVIEW TECHNOLOGY CORP                                                                                   | EAGLEVIEW TERM 1LN 08/14/2028                                                                                                    | CUSIP: N/A<br>LEI: 549300HLIL8HO4PPLG50       | Long             | LON              | CORP              | US        |      271061 | PA      | $263861.93     | 0.00%             | 2028-08-14      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL3 LLC                                                                                          | PRET 2025-NPL3 LLC A1 6.7076% 04/25/2055 144A                                                                                    | CUSIP: 74143HAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3347929 | PA      | $3371481.49    | 0.01%             | 2055-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                                                         | AMERICAN EXPRESS CO 5.016%/VAR 04/25/2031                                                                                        | CUSIP: 025816EF2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     1148000 | PA      | $1186384.20    | 0.00%             | 2031-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                                                         | AMERICAN EXPRESS CO 5.667%/VAR 04/25/2036                                                                                        | CUSIP: 025816EH8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     2085000 | PA      | $2213553.70    | 0.01%             | 2036-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| QXO BUILDING PRODUCTS INC                                                                                   | QXO BUILDING PRODUCTS INC 6.75% 04/30/2032 144A                                                                                  | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |      180000 | PA      | $187976.88     | 0.00%             | 2032-04-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2025-B                                                              | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2025-B 4.58% 09/15/2027 144A                                                             | CUSIP: 44935DAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3376089 | PA      | $3385656.36    | 0.01%             | 2027-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2025-1                                                                                    | DELL EQUIP FIN TR 2025-1 4.68% 07/22/2027 144A                                                                                   | CUSIP: 24703UAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1650000 | PA      | $1654802.00    | 0.00%             | 2027-07-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                                                       | KINDER MORGAN INC DEL 5.15% 06/01/2030                                                                                           | CUSIP: 49456BBB6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      390000 | PA      | $404113.98     | 0.00%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | FSWP: JPY 0.685000 04/21/2027 FTO                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -1717811321 | NC      | $28259.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | FSWP: JPY 0.683000 4/21/2027 FTO 0.68300                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -1697961056 | NC      | $28166.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                                                 | NATIONWIDE BUILDING SOC(UNGTD) 4%/VAR 07/30/2035 REGS                                                                            | CUSIP: N/A<br>LEI: 549300XFX12G42QIKN82       | Long             | DBT              | CORP              | GB        |      170000 | PA      | $200632.60     | 0.00%             | 2035-07-30      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                                                     | JANE STREET GRP/JSG FIN 6.75% 05/01/2033 144A                                                                                    | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      175000 | PA      | $183028.83     | 0.00%             | 2033-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BOAM SWAP REC 4.025 04/23/30                                                                                                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    13900000 | NC      | $510417.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BOAM SWAP PAY 4.025 04/23/30                                                                                                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    13900000 | NC      | $427038.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCP SA                                                                                                      | OCP SA 6.7% 03/01/2036 144A                                                                                                      | CUSIP: 67091TAJ4<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      200000 | PA      | $213300.00     | 0.00%             | 2036-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP REC 4.075 04/24/30                                                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    10760000 | NC      | $407549.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP PAY 4.075 04/24/30                                                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    10760000 | NC      | $322017.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 6.625%/VAR PERP                                                                                      | CUSIP: 06055HAH6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |      653000 | PA      | $677189.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN-SOUTHERN GLOBAL FUNDING                                                                             | WESTERN-SOUTHERN GLOBAL FUNDING 4.9% 05/01/2030 144A                                                                             | CUSIP: 95954A2A0<br>LEI: 635400PFYEGVSGK4VB37 | Long             | DBT              | CORP              | US        |     1411000 | PA      | $1451621.03    | 0.00%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2.5% 10/01/2051#QC9148                                                                                                 | CUSIP: 3133AUEV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1303390 | PA      | $1125175.66    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BOAM SWAP PAY 4.08 04/24/30                                                                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |     6340000 | NC      | $189125.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BOAM SWAP REC 4.08 04/24/30                                                                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |     6340000 | NC      | $240770.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | CITI SWAP REC 4.03 04/25/30                                                                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    10100000 | NC      | $370981.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | CITI SWAP PAY 4.03 04/25/30                                                                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    10100000 | NC      | $309215.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 4.5% 10/01/2054#FA0658                                                                                            | CUSIP: 3140W0WU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15202413 | PA      | $14926435.77   | 0.03%             | 2054-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP CZ030007 12/17/57 B                                                                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      200000 | NC      | $33414.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAY 2025-LIVN MORTGAGE TRUST                                                                                | BAY 2025-LIVN MORTGAGE TRUST TSFR1M+180 05/15/2035 144A                                                                          | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1123000 | PA      | $1124250.57    | 0.00%             | 2035-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| IPD 3 BV                                                                                                    | IPD 3 BV 5.5% 06/15/2031 REGS                                                                                                    | CUSIP: N/A<br>LEI: 724500RBP2J59JMQB629       | Long             | DBT              | CORP              | NL        |      100000 | PA      | $117291.82     | 0.00%             | 2031-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NIDDA HEALTHCARE HOLDING GMBH                                                                               | NIDDA HEALTHCARE HOLDING GMBH 5.375% 10/23/2030 REGS                                                                             | CUSIP: N/A<br>LEI: 549300Q89C4WAO6L0L19       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $118448.35     | 0.00%             | 2030-10-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FISERV FUNDING UNLTD CO                                                                                     | FISERV FUNDING UNLTD CO 3.5% 06/15/2032                                                                                          | CUSIP: 337735AB0<br>LEI: 254900RNWK5SE9A0I712 | Long             | DBT              | CORP              | IE        |      410000 | PA      | $469901.39     | 0.00%             | 2032-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV2                                                                                              | EFMT 2025-INV2 5.387% 05/26/2070 144A                                                                                            | CUSIP: 281914AA9<br>LEI: 254900ZO1GLQXE3JWX68 | Long             | ABS-CBDO         | CORP              | US        |     1153350 | PA      | $1160743.97    | 0.00%             | 2070-05-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PARK BLUE CLO 2025-VII LTD                                                                                  | PARK BLUE CLO 2025-VII LTD A1 TSFR3M+122 04/25/2038 144A                                                                         | CUSIP: 70019HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $498450.50     | 0.00%             | 2038-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JEFFERSON CAPITAL HOLDIN                                                                                    | JEFFERSON CAPITAL HOLDIN 8.25% 05/15/2030 144A                                                                                   | CUSIP: 472481AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $104614.60     | 0.00%             | 2030-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| WEIR GROUP INC                                                                                              | WEIR GROUP INC 5.35% 05/06/2030 144A                                                                                             | CUSIP: 94877DAA2<br>LEI: 2138009WEPEV2V98AV65 | Long             | DBT              | CORP              | US        |     5300000 | PA      | $5468329.80    | 0.01%             | 2030-05-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                                                        | LAS VEGAS SANDS CORP 5.625% 06/15/2028                                                                                           | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     1760000 | PA      | $1800214.89    | 0.00%             | 2028-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BOAM SWAP REC 3.95 04/29/30                                                                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |     4640000 | NC      | $162170.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BOAM SWAP PAY 3.95 04/29/30                                                                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |     4640000 | NC      | $148545.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HALSEYPOINT CLO 6 LTD / HALSEYPOINT CLO 6 LLC                                                               | HALSEYPOINT CLO 6 LTD / HALSEYPOINT CLO 6 LLC A1R TSFR3M+135 01/20/2038 144A                                                     | CUSIP: 40639GAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250498.75     | 0.00%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2025-2 LLC                                                                       | ENTERPRISE FLEET FINANCING 2025-2 A4 LLC 4.58% 12/22/2031 144A                                                                   | CUSIP: 29375TAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      960000 | PA      | $976904.83     | 0.00%             | 2031-12-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.25% 05/15/2035                                                                                                       | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10330000 | PA      | $10543056.25   | 0.02%             | 2035-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.75% 05/15/2055                                                                                     | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    20226100 | PA      | $20469445.27   | 0.05%             | 2055-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.75% 05/15/2028                                                                                                       | CUSIP: 91282CND9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      701000 | PA      | $705339.54     | 0.00%             | 2028-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+160 08/25/2054                                                                                | CUSIP: 3136BVVD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2442927 | PA      | $2463955.30    | 0.01%             | 2054-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+100 10/25/2054                                                                            | CUSIP: 3137HFYT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1054738 | PA      | $1055280.98    | 0.00%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+ 12/25/2054                                                                               | CUSIP: 3136BTF81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1413014 | PA      | $1415961.62    | 0.00%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WINTERSHALL DEA FINANCE 2 BV                                                                                | WINTERSHALL DEA FINANCE 2 BV EUAMDB05+NA PERP REGS                                                                               | CUSIP: N/A<br>LEI: 529900DV88FUQZSVVL48       | Long             | EP               | CORP              | NL        |      100000 | PA      | $119080.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO NACIONAL DE COMERCIO EXTERIOR SNC CAYMAN ISLANDS BRANCH                                               | BANCO NAC DE COM EXT SNC CAYMAN ISLAND BRH 5.875% 05/07/2030 144A                                                                | CUSIP: 05974TAA5<br>LEI: 4469000001BL6VG3DH44 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $207262.00     | 0.00%             | 2030-05-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GCBSL 2020-48A                                                                                              | GCBSL 2020-48A A1R TSFR3M+131 04/17/2038 144A                                                                                    | CUSIP: 38177DAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250265.50     | 0.00%             | 2038-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 4.952%/VAR 05/07/2031                                                                                              | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4099622.08    | 0.01%             | 2031-05-07      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 4.643%/VAR 05/07/2028                                                                                              | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      562000 | PA      | $565997.39     | 0.00%             | 2028-05-07      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                                                             | PENNYMAC FINANCIAL SERVICES INC 6.875% 05/15/2032 144A                                                                           | CUSIP: 70932MAG2<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |      185000 | PA      | $193129.27     | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 2% 03/01/2037#FS7773                                                                                                   | CUSIP: 3140XPT74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      176352 | PA      | $163725.55     | 0.00%             | 2037-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SAGE AR FUNDING NO 1 PLC                                                                                    | SAGE AR FUNDING 2025-1X C SONIO+240 05/17/2037 REGS                                                                              | CUSIP: N/A<br>LEI: 635400KXGNL1GYF3BH46       | Long             | ABS-MBS          | CORP              | GB        |      117497 | PA      | $155223.12     | 0.00%             | 2037-05-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SAGE AR FUNDING NO 1 PLC                                                                                    | SAGE AR FUNDING 2025-1X D SONIO+390 05/17/2037 REGS                                                                              | CUSIP: N/A<br>LEI: 635400KXGNL1GYF3BH46       | Long             | ABS-MBS          | CORP              | GB        |      101960 | PA      | $134450.41     | 0.00%             | 2037-05-17      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 05/01/2055#CC0404                                                                                                   | CUSIP: 3140Y6NW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2179410 | PA      | $2268456.14    | 0.01%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2025-X1                                                                      | AFFIRM ASSET SECURITIZATION TR 2025-X1 5.34% 04/15/2030 144A                                                                     | CUSIP: 00834MAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $100145.44     | 0.00%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INCREF 2025-FL1 LLC                                                                                         | INCREF 2025-FL1 LLC A TSFR1M+172.838 10/19/2042 144A                                                                             | CUSIP: 45339NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      201000 | PA      | $201703.42     | 0.00%             | 2042-10-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 03/01/2052#CB3114                                                                                                   | CUSIP: 3140QNN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3648342 | PA      | $3293570.23    | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 04/01/2052#CB3239                                                                                                   | CUSIP: 3140QNS52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3110920 | PA      | $2814241.46    | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-NQM2 TRUST                                                                                       | HOMES 2025-NQM2 TRUST 5.425% 02/25/2070 144A                                                                                     | CUSIP: 403966AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2067065 | PA      | $2081400.06    | 0.00%             | 2070-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW MTN CLO 7 LTD / LLC                                                                                     | NEW MTN CLO 7 LTD / LLC A1 TSFR3M+ 03/31/2038 144A                                                                               | CUSIP: 64754YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249862.50     | 0.00%             | 2038-03-31      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC                                                                                          | IGT/EVERI TERM B 1LN 07/01/2032                                                                                                  | CUSIP: 92921HAC9<br>LEI: 2549002DYVI4ACSV4V71 | Long             | LON              | CORP              | US        |      381503 | PA      | $381472.96     | 0.00%             | 2032-07-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ASIMI FUNDING 2025-1 PLC                                                                                    | ASIMI FUNDING 2025-1 C PLC SONIO+175 05/16/2032 REGS                                                                             | CUSIP: N/A<br>LEI: 6354002PZBGQEXUI2V51       | Long             | ABS-CBDO         | CORP              | GB        |       75370 | PA      | $99908.36      | 0.00%             | 2032-05-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BOAM SWAP PAY 4.065 05/02/30                                                                                                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |     3970000 | NC      | $120121.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BOAM SWAP REC 4.065 05/02/30                                                                                                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |     3970000 | NC      | $149356.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 06/01/2054#FS8226                                                                                                 | CUSIP: 3140XQD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1682497 | PA      | $1773537.71    | 0.00%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NYC COMMERCIAL MORTGAGE TRUST 2025-1155                                                                     | NYC COMMERCIAL MORTGAGE TRUST 2025-1155 5.8329% 06/10/2042 144A                                                                  | CUSIP: 67122BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3162000 | PA      | $3248291.93    | 0.01%             | 2042-06-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DTE ELEC CO                                                                                                 | DTE ELEC CO 4.25% 05/14/2027                                                                                                     | CUSIP: 23338VAW6<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |      400000 | PA      | $402776.13     | 0.00%             | 2027-05-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                                                    | BUILDERS FIRSTSOURCE INC 6.75% 05/15/2035 144A                                                                                   | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |      310000 | PA      | $326954.83     | 0.00%             | 2035-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                                           | GENERAL MOTORS CO 5.35% 04/15/2028                                                                                               | CUSIP: 37045VBC3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     3190000 | PA      | $3271124.38    | 0.01%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERUS 2025-4                                                                                                | VERUS 2025-4 5.448% 05/25/2070 144A                                                                                              | CUSIP: 92540UAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      899597 | PA      | $908052.00     | 0.00%             | 2070-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | RFR USD SOFR-3.75000 05/07/25-10Y LCH                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     3930000 | NC      | $55195.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 56 FC SOFR30A+150 11/25/2053                                                                      | CUSIP: 3136BQNC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      474517 | PA      | $479217.26     | 0.00%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+145 10/25/2053                                                                            | CUSIP: 3137HAT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1459711 | PA      | $1476981.26    | 0.00%             | 2053-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 4.623%/VAR 05/09/2029                                                                                | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     9788000 | PA      | $9921557.55    | 0.02%             | 2029-05-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SCG 2024-MSP MTG TR                                                                                         | SCG 2024-MSP A MTG TR TSFR1M+174.1 04/15/2041 144A                                                                               | CUSIP: 78436EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      229000 | PA      | $228999.93     | 0.00%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-NQM2 TR                                                                                           | PRPM 2025-NQM2 A1 TRUST 5.688% 04/25/2070 144A                                                                                   | CUSIP: 693983AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1585389 | PA      | $1601110.97    | 0.00%             | 2070-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                                                 | PRUDENTIAL CDS SWAP 05/07/2026                                                                                                   | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | GB        |     5600000 | NC      | $93839.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARCHIMEDES DEBT MERGER SUB LLC                                                                              | ANTYLIA SCIENTIFIC TERM 1LN 05/14/2032                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      172027 | PA      | $170822.82     | 0.00%             | 2032-05-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BOAM SWAP PAY 4.01 05/07/30                                                                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |     6510000 | NC      | $203264.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BOAM SWAP REC 4.01 05/07/30                                                                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |     6510000 | NC      | $236802.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC                                                                                          | VOYAGER PARENT LLC 9.25% 07/01/2032 144A                                                                                         | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |     1633000 | PA      | $1730416.62    | 0.00%             | 2032-07-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 07/01/2051#CB1142                                                                                                   | CUSIP: 3140QLHU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2231067 | PA      | $2012022.05    | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2052#FS8772                                                                                                 | CUSIP: 3140XQXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2222880 | PA      | $1919636.81    | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MEDCO CYPRESS TREE PTE LTD                                                                                  | MEDCO CYPRESS TREE PTE LTD 8.625% 05/19/2030 REGS                                                                                | CUSIP: N/A<br>LEI: 254900NKZ2Y3YZK4WC46       | Long             | DBT              | CORP              | SG        |      900000 | PA      | $944325.00     | 0.00%             | 2030-05-19      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ACCORINVEST GROUP SA                                                                                        | ACCORINVEST GROUP SA 5.625% 05/15/2032 REGS                                                                                      | CUSIP: N/A<br>LEI: 2221000MD2YP7WLTNC52       | Long             | DBT              | CORP              | LU        |      302000 | PA      | $360414.56     | 0.00%             | 2032-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | FSWP: JPY 0.698000 5/11/2027 FTO                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -1355925736 | NC      | $22954.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GRUPO NUTRESA SA                                                                                            | GRUPO NUTRESA SA 9% 05/12/2035 144A                                                                                              | CUSIP: 40055CAB9<br>LEI: 549300TN5BQ4P1MC6407 | Long             | DBT              | CORP              | CO        |      350000 | PA      | $394406.25     | 0.00%             | 2035-05-12      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 5.24%/VAR 05/13/2031                                                                                           | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     4000000 | PA      | $4135874.60    | 0.01%             | 2031-05-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                                               | AIB GROUP PLC 5.32%/VAR 05/15/2031 144A                                                                                          | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |      200000 | PA      | $206785.26     | 0.00%             | 2031-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BCRED BSL STATIC CLO 2025-1 LTD / LLC                                                                       | BCRED BSL STATIC CLO 2025-1 A AR LTD / LLC AR TSFR3M+125 07/15/2035 144A                                                         | CUSIP: 05556KAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3430000 | PA      | $3422793.57    | 0.01%             | 2035-07-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                                                           | NEWELL BRANDS INC 8.5% 06/01/2028 144A                                                                                           | CUSIP: 651229BG0<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      465000 | PA      | $484053.84     | 0.00%             | 2028-06-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORPORATION                                                                                      | FAIR ISAAC CORPORATION 6% 05/15/2033 144A                                                                                        | CUSIP: 303250AG9<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |      435000 | PA      | $447114.75     | 0.00%             | 2033-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CASTELL 2025-1 PLC                                                                                          | CASTELL 2025-1 X1 PLC SONIO+415 01/27/2062 REGS                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |       69792 | PA      | $92450.16      | 0.00%             | 2062-01-27      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM2                                                         | SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM2 A1 5.545% 02/25/2065 144A                                                    | CUSIP: 802638AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      270409 | PA      | $273305.12     | 0.00%             | 2065-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATIONS LLC / FIDIUM FIBER FIN HOLDCO LLC                                               | CONSOLIDATED COMMUNICATIONS LLC / FIDIUM FIBER FIN HOLDCO LLC 25-1A A2 6% 05/20/2055 144A                                        | CUSIP: 209031AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1600000 | PA      | $1632057.92    | 0.00%             | 2055-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT FUNDING 22 LTD                                                                                   | OHA CREDIT FUNDING 22 LTD A1 TSFR3M+ 07/20/2038 144A                                                                             | CUSIP: 67121HAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      440000 | PA      | $440817.96     | 0.00%             | 2038-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC EUAMDB01+NA 08/14/2031 REGS                                                                                         | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |      550000 | PA      | $646217.88     | 0.00%             | 2031-08-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GREYSTONE CRE NTS 2025-FL4                                                                                  | GREYSTONE CRE NOTES 2025-FL4 LLC A TSFR1M+ 01/15/2043 144A                                                                       | CUSIP: 39810MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $250774.78     | 0.00%             | 2043-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                                                                | ZCS BRL 13.32 05/08/25 01/02/29 CME                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    11500000 | NC      | $17415.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                                                                | ZCS BRL 13.9271 05/08/25 01/04/27 CME                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   198200000 | NC      | $-27503.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                                                                | ZCS BRL 13.9255 05/08/25-01/04/27 CME                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    20500000 | NC      | $-2736.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                                                                | ZCS BRL 13.2914 05/08/25 01/02/29 CME                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   108900000 | NC      | $152422.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTONATION FINANCE TRUST 2025-1                                                                             | AUTONATION FINANCE TRUST 2025-1 4.72% 04/10/2028 144A                                                                            | CUSIP: 05330QAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1498178 | PA      | $1501413.04    | 0.00%             | 2028-04-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS LLC / SHIFT4 PAYMENTS FINANCE SUB INC                                                       | SHIFT4 PAYMENTS LLC / SHIFT4 PAYMENTS FINANCE SUB INC 5.5% 05/15/2033 REGS                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |      282000 | PA      | $338600.84     | 0.00%             | 2033-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                                                  | VOLKSWAGEN INTL FINANCE NV 5.994%/VAR PERP REGS                                                                                  | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |      100000 | PA      | $120391.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALBION FINANCING 1 SARL / AGGREKO HOLDINGS INC                                                              | ALBION FINANCING 1 SARL / AGGREKO HOLDINGS INC 5.375% 05/21/2030 REGS                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | LU        |      235000 | PA      | $280854.73     | 0.00%             | 2030-05-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SCULPTOR CLO XXXV LTD                                                                                       | SCULPTOR CLO XXXV LTD A1 TSFR3M+125 04/27/2038 144A                                                                              | CUSIP: 81125MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      330000 | PA      | $328966.44     | 0.00%             | 2038-04-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL CORP                                                                                  | PINNACLE WEST CAPITAL CORP 5.15% 05/15/2030                                                                                      | CUSIP: 723484AN1<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |     1524000 | PA      | $1575486.27    | 0.00%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                                                      | COMMONWEALTH EDISON CO 5.95% 06/01/2055                                                                                          | CUSIP: 202795KB5<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |      239000 | PA      | $253739.90     | 0.00%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STORAGE TECHNOLOGY PTE LTD                                                                     | SEAGATE DATA STORAGE TECHNOLOGY PTE LTD 5.875% 07/15/2030 144A                                                                   | CUSIP: 81180LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |      125000 | PA      | $128711.75     | 0.00%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                                                    | TOYOTA MOTOR CREDIT CORP 4.5% 05/14/2027                                                                                         | CUSIP: 89236TNG6<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    10800000 | PA      | $10905369.23   | 0.02%             | 2027-05-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                                                     | AEP TRANSMISSION CO LLC 5.375% 06/15/2035                                                                                        | CUSIP: 00115AAS8<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      791000 | PA      | $823026.75     | 0.00%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                                               | CARNIVAL CORP 5.875% 06/15/2031 144A                                                                                             | CUSIP: 143658BZ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |      865000 | PA      | $890648.12     | 0.00%             | 2031-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CROWN AMERICAS LLC                                                                                          | CROWN AMERICAS LLC 5.875% 06/01/2033 144A                                                                                        | CUSIP: 228180AC9<br>LEI: RPPGGRL1J75WGF2DFO04 | Long             | DBT              | CORP              | US        |      440000 | PA      | $450446.92     | 0.00%             | 2033-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                                              | US BANCORP DEL 5.083%/VAR 05/15/2031                                                                                             | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      520000 | PA      | $537064.33     | 0.00%             | 2031-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H4 MTG TR                                                                                        | CROSS 2025-H4 MTG TR A1 VAR 06/25/2070 144A                                                                                      | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2812280 | PA      | $2840288.90    | 0.01%             | 2070-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2025-NQM5                                                                          | BRAVO RESIDENTIAL FDG TR 2025-NQM5 STEP 02/25/2065 144A                                                                          | CUSIP: 10569RAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1616576 | PA      | $1632081.07    | 0.00%             | 2065-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GLP PTE LTD                                                                                                 | GLP PTE LTD 9.75% 05/20/2028 REGS                                                                                                | CUSIP: N/A<br>LEI: 254900PC2NNG9BLIJO15       | Long             | DBT              | CORP              | SG        |      300000 | PA      | $303259.50     | 0.00%             | 2028-05-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                                                                | ZCS BRL 13.3537 05/12/25 01/02/29 CME                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    15700000 | NC      | $26060.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                                                                | ZCS BRL 14.0087 05/12/25 01/04/27 CME                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    13100000 | NC      | $803.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2025-FL19 LLC                                                                                           | MF1 2025-FL19 LLC A TSFR1M+148.81 05/18/2042 144A                                                                                | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      289000 | PA      | $289717.82     | 0.00%             | 2042-05-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| A and D MTG TR 2025-NQM2                                                                                    | A and D MTG TR 2025-NQM2 VAR 06/25/2070 144A                                                                                     | CUSIP: 00250EAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      478658 | PA      | $483851.26     | 0.00%             | 2070-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS and ELECTRIC CO                                                                               | BALTIMORE GAS and ELECTRIC CO 5.45% 06/01/2035                                                                                   | CUSIP: 059165ET3<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |      590000 | PA      | $616948.10     | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                                               | TRANSDIGM INC 6.375% 05/31/2033 144A                                                                                             | CUSIP: 893647BY2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      630000 | PA      | $645747.48     | 0.00%             | 2033-05-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENPRO INC                                                                                                   | ENPRO INC 6.125% 06/01/2033 144A                                                                                                 | CUSIP: 29355XAH0<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | DBT              | CORP              | US        |      185000 | PA      | $191105.37     | 0.00%             | 2033-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FIN LTD                                                                                            | WOODSIDE FIN LTD 5.4% 05/19/2030                                                                                                 | CUSIP: 980236AT0<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |      500000 | PA      | $515460.46     | 0.00%             | 2030-05-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                                              | MCDONALDS CORP 3.5% 05/21/2032 REGS                                                                                              | CUSIP: N/A<br>LEI: UE2136O97NLB5BYP9H04       | Long             | DBT              | CORP              | US        |      210000 | PA      | $246674.41     | 0.00%             | 2032-05-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BSTN COMMERCIAL MORTGAGE TRUST 2025-1C                                                                      | BSTN COMMERCIAL MORTGAGE TRUST 2025-1C D CSTR 06/15/2044 144A                                                                    | CUSIP: 05615EAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      335000 | PA      | $348472.19     | 0.00%             | 2044-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                                            | SOCIETE GENERALE FRANCE 5.512%/VAR 05/22/2031 144A                                                                               | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     1050000 | PA      | $1087360.04    | 0.00%             | 2031-05-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CLEANOVA US HOLDINGS LLC                                                                                    | CLEANOVA GROUP TERM 1LN 6/14/2032                                                                                                | CUSIP: N/A<br>LEI: 254900Q8HEK85N92G859       | Long             | LON              | CORP              | US        |      122555 | PA      | $122555.30     | 0.00%             | 2032-06-14      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                                              | BOMBARDIER INC 6.75% 06/15/2033 144A                                                                                             | CUSIP: 097751CD1<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |      355000 | PA      | $374380.43     | 0.00%             | 2033-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BSTN COMMERCIAL MORTGAGE TRUST 2025-1C                                                                      | BSTN COMMERCIAL MORTGAGE TRUST 2025-1C VAR 06/15/2044 144A                                                                       | CUSIP: 05615EAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      344000 | PA      | $360030.54     | 0.00%             | 2044-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BSTN COMMERCIAL MORTGAGE TRUST 2025-1C                                                                      | BSTN COMMERCIAL MORTGAGE TRUST 2025-1C A VAR 06/15/2044 144A                                                                     | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      384000 | PA      | $397590.80     | 0.00%             | 2044-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 08/01/2053#FS9453                                                                                                 | CUSIP: 3140XRQF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3707633 | PA      | $3647278.57    | 0.01%             | 2053-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALA TRUST 2025-OANA                                                                                         | ALA TRUST 2025-OANA A 6.04263% 06/15/2030 144A                                                                                   | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5215000 | PA      | $5234534.35    | 0.01%             | 2040-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SLAM 2025-1                                                                                                 | SLAM 2025-1 5.807% 05/15/2050 144A                                                                                               | CUSIP: 78450TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2298918 | PA      | $2367480.08    | 0.01%             | 2050-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALA TRUST 2025-OANA                                                                                         | ALA TRUST 2025-OANA TSFR1M+309.072 06/15/2030 144A                                                                               | CUSIP: 009920AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      254000 | PA      | $254956.41     | 0.00%             | 2040-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                                              | EUROPEAN UNION 3.75% 10/12/2045 REGS                                                                                             | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | LU        |      400000 | PA      | $462409.68     | 0.00%             | 2045-10-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                                                                              | VAR ENERGI ASA 5.875% 05/22/2030 144A                                                                                            | CUSIP: 92212WAF7<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |     2700000 | PA      | $2814069.74    | 0.01%             | 2030-05-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                                                           | HERC HOLDINGS INC 7% 06/15/2030 144A                                                                                             | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     1356000 | PA      | $1423436.59    | 0.00%             | 2030-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                                                           | HERC HOLDINGS INC 7.25% 06/15/2033 144A                                                                                          | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |      595000 | PA      | $629896.16     | 0.00%             | 2033-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BSPDF 2025-FL2 ISSUER LLC                                                                                   | BSPDF 2025-FL2 ISSUER LLC FL2 A TSFR1M+152.4 12/15/2042 144A                                                                     | CUSIP: 05615KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      105000 | PA      | $104934.44     | 0.00%             | 2042-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM8 TRUST                                                                                         | OBX 2025-NQM8 Trust A1 VAR 03/25/2065 144A                                                                                       | CUSIP: 67449AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2468169 | PA      | $2488132.96    | 0.01%             | 2065-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2                                                                   | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2 A1 VAR 09/25/2065 144A                                                                 | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1592768 | PA      | $1607969.91    | 0.00%             | 2065-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 5% 05/15/2045                                                                                        | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7249000 | PA      | $7598990.78    | 0.02%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                                              | FHLMC REMI 30YR 5.5% 04/01/2055#RJ4005                                                                                           | CUSIP: 3142GUNX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1853212 | PA      | $1882522.39    | 0.00%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-NQM3                                                                                              | MSRM 2025-NQM3 VAR 05/25/2070 144A                                                                                               | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2660924 | PA      | $2682659.65    | 0.01%             | 2070-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2025-1                                                                               | LENDMARK FUNDING TRUST 2025-1 4.94% 09/20/2034 144A                                                                              | CUSIP: 52604QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      509000 | PA      | $515112.84     | 0.00%             | 2034-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL POWR and LIGHT CO                                                                            | JERSEY CENTRAL POWR and LIGHT CO 5.1% 01/15/2035                                                                                 | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1066600.84    | 0.00%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2025-1                                                                               | LENDMARK FUNDING TRUST 25-1A E 8.91% 09/20/2034 144A                                                                             | CUSIP: 52604QAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4065000 | PA      | $4228373.16    | 0.01%             | 2034-09-20      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FLOURISHING TRADE and INVESTMENT LTD                                                                        | FLOURISHING TRADE and INVESTMENT LTD 11.035% 04/02/2028 144A                                                                     | CUSIP: 343427AA8<br>LEI: 894500SZ5TN63ZJ0Y632 | Long             | DBT              | CORP              | MU        |     1235625 | PA      | $1281960.94    | 0.00%             | 2028-04-02      | Fixed         | 0.11%                 | No            |                  3 | On Loan: No      |
| FTA CONSUMO SANTANDER                                                                                       | FTA CONSUMO SANTANDER 3MEUR+150 01/21/2040 REGS                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | ES        |      100000 | PA      | $115897.06     | 0.00%             | 2040-01-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR FRANCE KLM                                                                                              | AIR FRANCE KLM EUAMDB05+NA PERP REGS                                                                                             | CUSIP: N/A<br>LEI: 969500AQW31GYO8JZD66       | Long             | EP               | CORP              | FR        |      200000 | PA      | $235262.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRIVIUM PACKAGING FINANCE BV                                                                                | TRIVIUM PACKAGING FINANCE BV 12.25% 01/15/2031 144A                                                                              | CUSIP: 89686QAC0<br>LEI: 724500GMZWW3PVYET548 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $213212.80     | 0.00%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| SHURGARD LUXEMBOURG SARL                                                                                    | SHURGARD LUXEMBOURG SARL 4% 05/27/2035 REGS                                                                                      | CUSIP: N/A<br>LEI: 54930064DJ4U15OBV665       | Long             | DBT              | CORP              | LU        |      300000 | PA      | $348255.11     | 0.00%             | 2035-05-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRYSMIAN SPA                                                                                                | PRYSMIAN SPA EUAMDB05+NA PERP REGS                                                                                               | CUSIP: N/A<br>LEI: 529900X0H1IO3RS1A464       | Long             | EP               | CORP              | IT        |      100000 | PA      | $120676.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX TR 2025-LIFE                                                                                             | BX TRUST 2025-LIFE A VAR 06/13/2047 144A                                                                                         | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      689000 | PA      | $710473.03     | 0.00%             | 2047-06-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ARBOR RLTY COML REAL ESTATE NTS 2019-FL2 LTD / ARBOR RLTY COML REAL E                                       | ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 25-BTR1 A TSFR1M+192.5 01/18/2041 144A                                           | CUSIP: 03881UAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      408000 | PA      | $409722.49     | 0.00%             | 2041-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                                                               | COREWEAVE INC 9.25% 06/01/2030 144A                                                                                              | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |     1380000 | PA      | $1273195.41    | 0.00%             | 2030-06-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS IV BV                                                               | TEVA PHARMACEUTICAL FINANCE NETHERLANDS IV BV 5.75% 12/01/2030                                                                   | CUSIP: 881937AA4<br>LEI: 549300GKSD1RG56QRY33 | Long             | DBT              | CORP              | NL        |      742000 | PA      | $770023.86     | 0.00%             | 2030-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VANTAGE DATA CENTERS GERMANY BORROWER LUX SARL                                                              | VANTAGE DATA CENTERS GERMANY BORROWER LUX SARL 25-1X A2 4.292% 06/28/2050 REGS                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | LU        |      294000 | PA      | $340887.80     | 0.00%             | 2050-06-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED LNS STRUCTURED TRANSACTION TR 144A                                                     | FREDDIE MAC SEASONED LNS STRUC TRANS TR 2025-1 A1 3% 05/25/2035 144                                                              | CUSIP: 35564CTW7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     4200115 | PA      | $3913308.64    | 0.01%             | 2035-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                                           | NATWEST GROUP PLC 5.115%/VAR 05/23/2031                                                                                          | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      505000 | PA      | $519840.22     | 0.00%             | 2031-05-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PARTNERS LP / AMERIGAS FINANCE CORP                                                                | AMERIGAS PARTN LP/AMERIGAS FIN 9.5% 06/01/2030 144A                                                                              | CUSIP: 030981AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      506000 | PA      | $536260.82     | 0.00%             | 2030-06-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                                                  | DAVITA INC 6.75% 07/15/2033 144A                                                                                                 | CUSIP: 23918KAY4<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |      455000 | PA      | $472797.33     | 0.00%             | 2033-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                                                                    | SNAM SPA 5% 05/28/2030 144A                                                                                                      | CUSIP: 83304JAA5<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |     3930000 | PA      | $4022874.94    | 0.01%             | 2030-05-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                                                                    | SNAM SPA 5.75% 05/28/2035 144A                                                                                                   | CUSIP: 83304JAB3<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |     5491000 | PA      | $5739521.84    | 0.01%             | 2035-05-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CACI INTERNATIONAL INC                                                                                      | CACI INTERNATIONAL INC 6.375% 06/15/2033 144A                                                                                    | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |      240000 | PA      | $250200.96     | 0.00%             | 2033-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTYS LP and RHP FIN CORP                                                                         | RHP HOTEL PPTYS LP and RHP FIN CORP 6.5% 06/15/2033 144A                                                                         | CUSIP: 749571AL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      135000 | PA      | $140287.68     | 0.00%             | 2033-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CZ030005 12/17/57 B                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     3500000 | NC      | $-1968.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CZ030008 12/17/57 B                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      100000 | NC      | $9486.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX TR 2025-TAIL                                                                                             | BX TR 2025-TAIL A VAR 06/15/2035 144A                                                                                            | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1915000 | PA      | $1914999.43    | 0.00%             | 2035-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 22-53 FG SOFR30A+80 08/25/2052                                                                    | CUSIP: 3136BNS31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2671835 | PA      | $2650830.28    | 0.01%             | 2052-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 22-56 FJ SOFR30A+80 09/25/2052                                                                    | CUSIP: 3136BNY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5654108 | PA      | $5609657.90    | 0.01%             | 2052-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 22-67 FA SOFR30A+80 10/25/2052                                                                    | CUSIP: 3136BPBP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     6658943 | PA      | $6606529.71    | 0.01%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 22-64 GF SOFR30A+80 10/25/2052                                                                    | CUSIP: 3136BPDD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1884439 | PA      | $1871409.36    | 0.00%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TR 2025-TAIL                                                                                             | BX TR 2025-TAIL E TSFR1M+330 06/15/2035 144A                                                                                     | CUSIP: 123912AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      897000 | PA      | $896385.02     | 0.00%             | 2035-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2025-NQM4                                                                   | BRAVO RESIDENTIAL FUNDING TRUST 2025-NQM4 5.816% 05/25/2065 144A                                                                 | CUSIP: 10570QAG6<br>LEI: 25490082TY9NA9XBGW19 | Long             | ABS-CBDO         | CORP              | US        |     6722436 | PA      | $6785376.60    | 0.02%             | 2065-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FLUXYS SA                                                                                                   | FLUXYS SA 4% 11/28/2030 REGS                                                                                                     | CUSIP: N/A<br>LEI: 529900UEWUHSPPJQ1R79       | Long             | DBT              | CORP              | BE        |      400000 | PA      | $474936.07     | 0.00%             | 2030-11-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                                         | AMERICAN TOWER CORP 3.625% 05/30/2032                                                                                            | CUSIP: 03027XCQ1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      420000 | PA      | $493239.95     | 0.00%             | 2032-05-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES1                                                                         | TOWD POINT MORTGAGE TRUST 2025-CES1 5.705% 02/25/2055 144A                                                                       | CUSIP: 89183HAA2<br>LEI: 254900FMI2GPXLO84795 | Long             | ABS-CBDO         | CORP              | US        |     3255311 | PA      | $3299985.43    | 0.01%             | 2055-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUNRISE FINCO I BV                                                                                          | SUNRISE FINCO I BV 4.625% 05/15/2032 REGS                                                                                        | CUSIP: N/A<br>LEI: 213800MNFBDEQRS6HZ22       | Long             | DBT              | CORP              | NL        |      100000 | PA      | $117255.89     | 0.00%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAMLL RE-REMIC TRUST 2024-FRR2                                                                              | BAMLL RE-REMIC TRUST 2024-FRR2 C VAR 07/27/2050 144A                                                                             | CUSIP: 05493UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6500000 | PA      | $6054124.70    | 0.01%             | 2050-07-27      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DESIGNATED ACTIVITY CO                                                                     | FLUTTER TREASURY DESIGNATED ACTIVITY CO 5.875% 06/04/2031 144A                                                                   | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |      195000 | PA      | $196951.95     | 0.00%             | 2031-06-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DESIGNATED ACTIVITY CO                                                                     | FLUTTER TREASURY DESIGNATED ACTIVITY CO 6.125% 06/04/2031 REGS                                                                   | CUSIP: N/A<br>LEI: 635400JE8VLL9UFVIC38       | Long             | DBT              | CORP              | IE        |      540000 | PA      | $716743.15     | 0.00%             | 2031-06-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.5% 09/01/2053#FS7940                                                                                                 | CUSIP: 3140XPZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      698769 | PA      | $698093.81     | 0.00%             | 2053-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARINER FIN ISSUANCE TR 2025-A                                                                              | MARINER FINANCE ISSUANCE TRUST 2025-AA A 0% 05/20/2038 144A                                                                      | CUSIP: 567920AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9763000 | PA      | $9895285.72    | 0.02%             | 2038-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARINER FIN ISSUANCE TR 2025-A                                                                              | MARINER FIN ISSUANCE TR 2025-AA C 0% 05/20/2038 144A                                                                             | CUSIP: 567920AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      107000 | PA      | $108790.05     | 0.00%             | 2038-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MARINER FIN ISSUANCE TR 2025-A                                                                              | MARINER FIN ISSUANCE TR 2025-A 0% 05/20/2038 144A                                                                                | CUSIP: 567920AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      104000 | PA      | $105659.11     | 0.00%             | 2038-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2% 01/25/2045                                                                                     | CUSIP: 3137FU4N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      642654 | PA      | $608666.26     | 0.00%             | 2045-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AUTO ABS ITALIAN STELLA LOANS 2025-1 SRL                                                                    | AUTO ABS ITALIAN STELLA LOANS 2025-1 SRL 1MEUR+125 12/28/2040 REGS                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IT        |      100000 | PA      | $115896.74     | 0.00%             | 2040-12-28      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| COLT 2023-2 MORTGAGE LOAN TRUST                                                                             | COLT 2023-2 B1 MORTGAGE LOAN TRUST CSTR 07/25/2068 144A                                                                          | CUSIP: 12598UAE6<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-CBDO         | CORP              | US        |     1738000 | PA      | $1746007.66    | 0.00%             | 2068-07-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| COLT 2023-3 MORTGAGE LOAN TRUST                                                                             | COLT 2023-3 B1 MORTGAGE LOAN TRUST CSTR 09/25/2068 144A                                                                          | CUSIP: 19688RAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1283000 | PA      | $1291447.40    | 0.00%             | 2068-09-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| KSL COML MTG TR 2025-MAK                                                                                    | KSL COML MTG TR 2025-MAK VAR 06/15/2042 144A                                                                                     | CUSIP: 50116JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       97000 | PA      | $96772.01      | 0.00%             | 2042-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KSL COML MTG TR 2025-MAK                                                                                    | KSL COML MTG TR 2025-MAK VAR 06/15/2042 144A                                                                                     | CUSIP: 50116JAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1035000 | PA      | $1032551.19    | 0.00%             | 2042-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS 2025-1 ISSUER TR                                                                         | STREAM INNOVATIONS 2025-1A ISSUER TR A 5.05% 09/15/2045 144A                                                                     | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3821996 | PA      | $3863816.44    | 0.01%             | 2045-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| 1345 TR 2025-AOA                                                                                            | 1345 TR 2025-AOA E TSFR1M+450 06/15/2030 144A                                                                                    | CUSIP: 68271CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      346000 | PA      | $347643.40     | 0.00%             | 2042-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                                                                | AMPRION GMBH 3.875% 06/05/2036 REGS                                                                                              | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $116766.80     | 0.00%             | 2036-06-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SILK FINANCE                                                                                                | SILK FINANCE 3MEUR+170 08/31/2032 REGS                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | PT        |      100000 | PA      | $116242.25     | 0.00%             | 2039-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| 1345 TR 2025-AOA                                                                                            | 1345 TR 2025-AOA A TSFR1M+160 06/15/2030 144A                                                                                    | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      197000 | PA      | $197369.38     | 0.00%             | 2042-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX 2025-LUNR A                                                                                              | BX 2025-LUNR A VAR 06/15/2040 144A                                                                                               | CUSIP: 05594CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75453 | PA      | $75452.80      | 0.00%             | 2040-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 05/01/2052#CB3494                                                                                                   | CUSIP: 3140QN3C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1848458 | PA      | $1656002.32    | 0.00%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                                                | AT and T INC 6.05% 08/15/2056                                                                                                    | CUSIP: 00206RMZ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     2298000 | PA      | $2369803.49    | 0.01%             | 2056-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY885799 12/15/56 S                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     3700000 | NC      | $-50137.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS 7.05%/VAR PERP                                                                                                     | CUSIP: 404280FA2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | EP               | CORP              | GB        |      250000 | PA      | $259337.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                                                                   | UST BILLS 0% 12/04/2025                                                                                                          | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        3000 | PA      | $2999.03       | 0.00%             | 2025-12-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-5                                                                           | VERUS SECURITIZATION TRUST 2025-5 A1 VAR 06/25/2070 144A                                                                         | CUSIP: 92540XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2685479 | PA      | $2710718.48    | 0.01%             | 2070-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM10                                                                                              | OBX 2025-NQM10 A1 STEP 05/25/2056 144A                                                                                           | CUSIP: 67121LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3798060 | PA      | $3827714.52    | 0.01%             | 2065-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NCMF TR 2025-MFS                                                                                            | NCMF TR 2025-MFS F VAR 06/10/2033 144A                                                                                           | CUSIP: 62887TAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      842000 | PA      | $858899.11     | 0.00%             | 2033-06-10      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MAGNE 2023-36A                                                                                              | MAGNE 2023-36A AR TSFR3M+132 07/25/2038 144A                                                                                     | CUSIP: 559922AL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3400000 | PA      | $3408704.00    | 0.01%             | 2038-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY885799 12/15/56 S                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1000000 | NC      | $-13550.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NY ST DORM AUTH REVS NON ST SUPPORTED DEBT                                                                  | NY ST DOR 5.228% 7/1/2035                                                                                                        | CUSIP: 64985SFE8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     5630000 | PA      | $5923559.46    | 0.01%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLETCHLEY PARK FUNDING 2025-1 PLC                                                                           | BLETCHLEY PARK FUNDING 2025-1 PLC SONIO+188 01/27/2070 REGS                                                                      | CUSIP: N/A<br>LEI: 635400OJVL3HJJTKNB05       | Long             | ABS-CBDO         | CORP              | GB        |      100000 | PA      | $133327.44     | 0.00%             | 2070-01-27      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BLETCHLEY PARK FUNDING 2025-1 PLC                                                                           | BLETCHLEY PARK FUNDING 2025-1 PLC SONIO+338 01/27/2070 REGS                                                                      | CUSIP: N/A<br>LEI: 635400OJVL3HJJTKNB05       | Long             | ABS-CBDO         | CORP              | GB        |      100000 | PA      | $133142.66     | 0.00%             | 2070-01-27      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST 2025-1                                                                              | BMW VEHICLE LEASE TRUST 2025-1 4.43% 06/26/2028                                                                                  | CUSIP: 096912AD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4600000 | PA      | $4633602.08    | 0.01%             | 2028-06-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | RFR USD SOFR-3.75000 09-02-25-7Y* LCH                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -2600000 | NC      | $-43764.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF 4.62% 04/25/2030                                                                                      | CUSIP: 3136BV4T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9400000 | PA      | $9602086.84    | 0.02%             | 2030-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                                                                   | IQVIA INC 6.25% 06/01/2032 144A                                                                                                  | CUSIP: 46266TAG3<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |     1510000 | PA      | $1579407.15    | 0.00%             | 2032-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RIVIAN HOLDCO and RIVIAN LLC and RIVIAN AUTOMOTIVE LLC                                                      | RIVIAN HOLDCO and RIVIAN LLC and RIVIAN AUTOMOTIVE LLC 10% 01/15/2031 144A                                                       | CUSIP: 76954LAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      125000 | PA      | $119767.19     | 0.00%             | 2031-01-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JH NORTH AMERICA HOLDINGS INC                                                                               | JH NORTH AMERICA HOLDINGS INC 6.125% 07/31/2032 144A                                                                             | CUSIP: 46593WAB1<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |      310000 | PA      | $317775.42     | 0.00%             | 2032-07-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP                                                 | ALLIED UNVL HOLDCO LLC / ALLIED UNVL FIN CORP 6.875% 06/15/2030 144A                                                             | CUSIP: 019576AF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      805000 | PA      | $832043.17     | 0.00%             | 2030-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 5% 06/04/2028                                                                                        | CUSIP: 694308KW6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    11819000 | PA      | $12010936.78   | 0.03%             | 2028-06-04      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 6% 08/15/2035                                                                                        | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    11600000 | PA      | $12255149.32   | 0.03%             | 2035-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-B                                                                               | OPORTUN ISSUANCE TRUST 2025-B 4.88% 05/09/2033 144A                                                                              | CUSIP: 68378QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1200000 | PA      | $1203776.04    | 0.00%             | 2033-05-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GROUP INC / COGENT COMMUNICATIONS FINANCE INC                                         | COGENT COMMUNICATIONS GROUP INC / COGENT COMMUNICATIONS FINANCE INC 6.5% 07/01/2032 144A                                         | CUSIP: 19240WAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $91133.54      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WORLDLINE SA/FRANCE                                                                                         | WORLDLINE SA/FRANCE 5.5% 06/10/2030 REGS                                                                                         | CUSIP: N/A<br>LEI: 549300CJMQNCA0U4TS33       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $99499.85      | 0.00%             | 2030-06-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                                             | PHILIP MORRIS INTL INC 3.25% 06/06/2032                                                                                          | CUSIP: 718172DW6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      860000 | PA      | $991217.21     | 0.00%             | 2032-06-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                                             | PHILIP MORRIS INTL INC 2.75% 06/06/2029                                                                                          | CUSIP: 718172DV8<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $3002381.15    | 0.01%             | 2029-06-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                                                      | MOTOROLA SOLUTIONS INC 5.55% 08/15/2035                                                                                          | CUSIP: 620076CC1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      181000 | PA      | $188778.44     | 0.00%             | 2035-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAP CLO 10 LTD / DIAMETER CAP CLO 10 LLC                                                           | DIAMETER CAPITAL CLO 10 LTD A TSFR3M+131 04/20/2038 144A                                                                         | CUSIP: 25290BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      574000 | PA      | $575143.98     | 0.00%             | 2038-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                                                   | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 4.75% 06/15/2031 REGS                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |      100000 | PA      | $118176.65     | 0.00%             | 2031-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DWIGHT 2025-FL1 ISSUER LLC                                                                                  | DWIGHT 2025-FL1 ISSUER LLC A TSFR1M+166.2 09/18/2042 144A                                                                        | CUSIP: 233636AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      419000 | PA      | $419978.37     | 0.00%             | 2042-06-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GC FERRY ACQUISITION I INC                                                                                  | FIRST EAGLE TERM B-DD 1LN 8/16/2032                                                                                              | CUSIP: 32009UAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       20978 | PA      | $20935.99      | 0.00%             | 2032-08-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GC FERRY ACQUISITION I INC                                                                                  | FIRST EAGLE TERM B 1LN 8/16/2032                                                                                                 | CUSIP: 32009UAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      122872 | PA      | $122625.08     | 0.00%             | 2032-08-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ABL 2025-RTL1                                                                                               | ABL 2025-RTL1 STEP 06/25/2030 144A                                                                                               | CUSIP: 00092RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      675000 | PA      | $680495.45     | 0.00%             | 2030-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL3                                                                                              | PRET 2025-RPL3 A1 STEP 4.15% 04/25/2065 144A                                                                                     | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2107481 | PA      | $2059077.40    | 0.00%             | 2065-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VCC 2025-MC1 TRUST                                                                                          | VCC 2025-MC1 A1 TRUST 8.163% 05/25/2055 144A                                                                                     | CUSIP: 91825JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      209145 | PA      | $208077.12     | 0.00%             | 2055-05-25      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST 2024-HE6                                                                                        | FIGRE TRUST 2024-HE6 5.724% 12/25/2054 144A                                                                                      | CUSIP: 31684DAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6477681 | PA      | $6549133.09    | 0.01%             | 2054-12-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROCKET COMPANIES INC                                                                                        | ROCKET COS INC 6.125% 08/01/2030 144A                                                                                            | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      375000 | PA      | $389273.25     | 0.00%             | 2030-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROCKET COMPANIES INC                                                                                        | ROCKET COS INC 6.375% 08/01/2033 144A                                                                                            | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      810000 | PA      | $848206.08     | 0.00%             | 2033-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TR 2025-VLT6                                                                                             | BX TR 2025-VLT6 B TSFR1M+189.257 03/15/2042 144A                                                                                 | CUSIP: 12433KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $2986890.00    | 0.01%             | 2042-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SCLP 2025-2                                                                                                 | SCLP 2025-2 4.82% 06/25/2034 144A                                                                                                | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3057397 | PA      | $3073005.03    | 0.01%             | 2034-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                                                                                        | ZF EUROPE FINANCE BV 7% 06/12/2030 REGS                                                                                          | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |      400000 | PA      | $483777.09     | 0.00%             | 2030-06-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON POWER NETWORKS PLC                                                                                   | LONDON POWER NETWORKS PLC 3.837% 06/11/2037 REGS                                                                                 | CUSIP: N/A<br>LEI: 213800JDI3GTKPG4XI38       | Long             | DBT              | CORP              | GB        |      300000 | PA      | $348303.63     | 0.00%             | 2037-06-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUBLICIS GROUPE SA                                                                                          | PUBLICIS GROUPE SA 3.375% 06/12/2032 REGS                                                                                        | CUSIP: N/A<br>LEI: 2138004KW8BV57III342       | Long             | DBT              | CORP              | FR        |      300000 | PA      | $346636.33     | 0.00%             | 2032-06-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                                              | TARGA RES CORP 4.9% 09/15/2030                                                                                                   | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     2863000 | PA      | $2920107.14    | 0.01%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                                              | TARGA RES CORP 5.65% 02/15/2036                                                                                                  | CUSIP: 87612GAQ4<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     4258000 | PA      | $4400071.70    | 0.01%             | 2036-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                                              | FHLMC REMI 30YR 6.5% 06/01/2055#RJ4396                                                                                           | CUSIP: 3142GU3E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2048512 | PA      | $2166560.38    | 0.00%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2025-PR1                                                                        | LEGACY MORTGAGE ASSET TRUST 2025-PR1 6% 01/25/2061 144A                                                                          | CUSIP: 52476AAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7953908 | PA      | $7971483.90    | 0.02%             | 2061-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2025-1                                                                               | LENDMARK FUNDING TRUST 2025-1A B 5.33% 09/20/2034 144A                                                                           | CUSIP: 52604QAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      558000 | PA      | $567288.80     | 0.00%             | 2034-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROLLINS INC                                                                                                 | ROLLINS INC 5.25% 02/24/2035                                                                                                     | CUSIP: 775711AC8<br>LEI: 549300F2A0BXT4SGWD84 | Long             | DBT              | CORP              | US        |     2660000 | PA      | $2726722.99    | 0.01%             | 2035-02-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / ACRISURE FINANCE INC                                                                         | ACRISURE LLC / ACRISURE FINANCE INC 6.75% 07/01/2032 144A                                                                        | CUSIP: 004961AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       60000 | PA      | $61456.74      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTURAL ASSET-BACKED CERTIFICATES WMABS SERIES 2007-HE1 TRUST                                    | WASHINGTON MUTURAL ASSET-BACKED CERTIFICATES WMABS SERIES 2007-HE1 TRUST HE1 2A2 TSFR1M+45.448 11/25/2036                        | CUSIP: 93935KAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      146811 | PA      | $46391.08      | 0.00%             | 2036-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NCMF TR 2025-MFS                                                                                            | NCMF TR 2025-MFS E VAR 06/10/2033 144A                                                                                           | CUSIP: 62887TAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      754000 | PA      | $766084.58     | 0.00%             | 2033-06-10      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC                                                                                        | ALPHA GENERATION TERM B 1LN 09/30/2031                                                                                           | CUSIP: 02072UAC6<br>LEI: 254900K5V62L4YGVKF49 | Long             | LON              | CORP              | US        |      426743 | PA      | $427365.79     | 0.00%             | 2031-09-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | FSWP: JPY 0.823310 03/12/2027 FTO                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -1750000000 | NC      | $7400.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTF 2025-A                                                                                                | WESTF 2025-A 5.582% 06/15/2050 144A                                                                                              | CUSIP: 97063RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3596035 | PA      | $3657322.35    | 0.01%             | 2050-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                                                                   | UST BILLS 0% 12/11/2025                                                                                                          | CUSIP: 912797QY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       15000 | PA      | $14983.69      | 0.00%             | 2025-12-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NCMF TR 2025-MFS                                                                                            | NCMF TR 2025-MFS A VAR 06/10/2033 144A                                                                                           | CUSIP: 62887TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1466000 | PA      | $1472650.36    | 0.00%             | 2033-06-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 01/01/2052#SD2072                                                                                                   | CUSIP: 3132DPJR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      384965 | PA      | $319145.54     | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2021-4 LTD                                                                                | PALMER SQUARE CLO 2021-4A BR LTD TSFR3M+170 07/15/2038 144A                                                                      | CUSIP: 69702EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1260000 | PA      | $1264725.00    | 0.00%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2021-4 LTD                                                                                | PALMER SQUARE CLO LTD 2021-4A A1R TSFR3M+132 07/15/2038 144A                                                                     | CUSIP: 69702EAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      480000 | PA      | $481461.12     | 0.00%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| X AI LLC                                                                                                    | X.AI TERM B 1LN 06/28/2030                                                                                                       | CUSIP: 98402XAC9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       24938 | PA      | $24078.15      | 0.00%             | 2030-06-28      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| X AI LLC                                                                                                    | X.AI TERM 1LN 06/28/2030                                                                                                         | CUSIP: 98402XAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       49962 | PA      | $51336.47      | 0.00%             | 2030-06-28      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| HERMITAGE 2025 PLC                                                                                          | HERMITAGE 2025 PLC 25-1 D SONIO+170 04/21/2033 REGS                                                                              | CUSIP: N/A<br>LEI: 635400MSBHAPT1EQBW93       | Long             | ABS-CBDO         | CORP              | GB        |      100000 | PA      | $132247.19     | 0.00%             | 2033-04-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| RAD CLO 18 LTD                                                                                              | RAD CLO 18 LTD A1R TSFR3M+140 07/15/2037 144A                                                                                    | CUSIP: 75009AAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250406.75     | 0.00%             | 2037-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 81 B LTD                                                                         | GOLUB CAPITAL PARTNERS CLO 81 B LTD 81A A1 TSFR3M+131 07/20/2038 144A                                                            | CUSIP: 38181DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      420000 | PA      | $420883.26     | 0.00%             | 2038-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                                           | PERU REPUBLIC OF 6.85% 08/12/2035 REGS                                                                                           | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |     3550000 | PA      | $1126894.05    | 0.00%             | 2035-08-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HALSEYPOINT CLO 7 LTD / HALSEYPOINT CLO 7 LLC                                                               | HALSEYPOINT CLO 7 LTD / LLC 2023-7A A1R TSFR3M+145 07/20/2038 144A                                                               | CUSIP: 40638LAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      420000 | PA      | $421977.78     | 0.00%             | 2038-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-INV2 TR                                                                                           | GCAT 2025-INV2 TR 6% 05/25/2055 144A                                                                                             | CUSIP: 36173QAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7057908 | PA      | $7173977.40    | 0.02%             | 2055-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WHIRLPOOL CORP                                                                                              | WHIRLPOOL CORP 6.125% 06/15/2030                                                                                                 | CUSIP: 963320BD7<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |      315000 | PA      | $318167.33     | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WHIRLPOOL CORP                                                                                              | WHIRLPOOL CORP 6.5% 06/15/2033                                                                                                   | CUSIP: 963320BE5<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |      315000 | PA      | $313027.12     | 0.00%             | 2033-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AUTONORIA SPAIN 2025-1 FT                                                                                   | AUTONORIA SPAIN 2025-1 FT 25-SP D 1MEUR+ 04/30/2043 REGS                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | ES        |      100000 | PA      | $116180.35     | 0.00%             | 2043-04-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| AUTONORIA SPAIN 2025-1 FT                                                                                   | AUTONORIA SPAIN 2025-1 FT 1MEUR+300 04/30/2043 REGS                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | ES        |      100000 | PA      | $117022.47     | 0.00%             | 2043-04-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MEHILAINEN YHTIOT OY                                                                                        | MEHILAINEN YHTIOT OY 5.125% 06/30/2032 REGS                                                                                      | CUSIP: N/A<br>LEI: 2138006X78HGYRHS5865       | Long             | DBT              | CORP              | FI        |      200000 | PA      | $236272.52     | 0.00%             | 2032-06-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 2020-46 KB 1.25% 06/25/2050                                                                       | CUSIP: 3136BAYP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5839738 | PA      | $4607863.04    | 0.01%             | 2050-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VEOLIA ENVIRONNEMENT SA                                                                                     | VEOLIA ENVIRONNEMENT SA 3.324% 06/17/2032 REGS                                                                                   | CUSIP: N/A<br>LEI: 969500LENY69X51OOT31       | Long             | DBT              | CORP              | FR        |      300000 | PA      | $347818.45     | 0.00%             | 2032-06-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST 2025-EWEST                                                                                       | BFLD TRUST 2025-EWEST A TSFR1M+ 06/15/2042 144A                                                                                  | CUSIP: 05494JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      734000 | PA      | $735941.58     | 0.00%             | 2042-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                                                | NEXTERA ENERGY CAP HLDGS INC 3.83% 06/12/2030                                                                                    | CUSIP: 65339KDR8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    12100000 | PA      | $8797509.15    | 0.02%             | 2030-06-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLOBAL PARTNERS LP / GLP FIN CORP                                                                           | GLOBAL PARTNERS LP / GLP FIN CORP 7.125% 07/01/2033 144A                                                                         | CUSIP: 37954FAL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       45000 | PA      | $45704.43      | 0.00%             | 2033-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2025-3                                                               | VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2025-3 7.38% 06/25/2055 144A                                                              | CUSIP: 92262RAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      186848 | PA      | $192056.28     | 0.00%             | 2055-06-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2025-3                                                               | VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2025-3 A 5.87% 06/25/2055 144A                                                            | CUSIP: 92262RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1746962 | PA      | $1763230.83    | 0.00%             | 2055-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2025-2                                                            | GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2025-2A A 5.32% 06/20/2049 144A                                                        | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1345755 | PA      | $1362608.50    | 0.00%             | 2049-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 07/01/2055#MA5760                                                                                                 | CUSIP: 31418FMJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1676254 | PA      | $1698051.48    | 0.00%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTURAL ASSET-BACKED CERTIFICATES WMABS SERIES 2007-HE1 TRUST                                    | WASHINGTON MUTURAL ASSET-BACKED CERTIFICATES WMABS SERIES 2007-HE1 TRUST STEP 11/25/2036                                         | CUSIP: 93935KAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       16515 | PA      | $5198.14       | 0.00%             | 2036-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRINIDAD GENERATION UNLIMITED                                                                               | TRINIDAD GENERATION UNLIMITED 7.75% 06/16/2033 144A                                                                              | CUSIP: 89636DAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | TT        |      277000 | PA      | $285240.75     | 0.00%             | 2033-06-16      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                                          | REALTY INCOME CORP 3.375% 06/20/2031                                                                                             | CUSIP: 756109CU6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |      215000 | PA      | $249802.04     | 0.00%             | 2031-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                                                         | BROWN and BROWN INC 4.6% 12/23/2026                                                                                              | CUSIP: 115236AH4<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $2109688.29    | 0.00%             | 2026-12-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                                                         | BROWN and BROWN INC 5.25% 06/23/2032                                                                                             | CUSIP: 115236AL5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |      325000 | PA      | $332749.27     | 0.00%             | 2032-06-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                                                         | BROWN and BROWN INC 5.55% 06/23/2035                                                                                             | CUSIP: 115236AM3<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |      405000 | PA      | $416317.02     | 0.00%             | 2035-06-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2025-2                                                            | GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2025-2 5.98% 06/20/2049 144A                                                           | CUSIP: 38238FAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1146066 | PA      | $1157130.53    | 0.00%             | 2049-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN BANK GMBH                                                                                        | VOLKSWAGEN BANK GMBH 3.5% 06/19/2031 REGS                                                                                        | CUSIP: N/A<br>LEI: 529900GJD3OQLRZCKW37       | Long             | DBT              | CORP              | DE        |      300000 | PA      | $349477.43     | 0.00%             | 2031-06-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REGATTA 32 FDG LTD / LLC                                                                                    | REGATTA 32 FDG LTD / LLC 2025-4A A1 TSFR3M+134 07/25/2038 144A                                                                   | CUSIP: 75884AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5150000 | PA      | $5165259.45    | 0.01%             | 2038-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | SWP: IFS 2.429000 04/15/2030 USC                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -2137000 | NC      | $-12061.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR3 TR                                                                           | PROGRESS RESIDENTIAL 2025-SFR3 C TR 3.39% 07/17/2030 144A                                                                        | CUSIP: 74334BAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      694000 | PA      | $648724.00     | 0.00%             | 2042-07-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | SWP: IFS 2.428000 04/15/2030 USC                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -4338110 | NC      | $-24302.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP                                                                                          | BAUSCH and LOMB TERM B 1LN 1/15/2031                                                                                             | CUSIP: N/A<br>LEI: 549300NY6OZM39SO6475       | Long             | LON              | CORP              | CA        |      438900 | PA      | $441313.95     | 0.00%             | 2031-01-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-NQM2                                                                                              | EFMT 2025-NQM2 5.596% 06/25/2070 144A                                                                                            | CUSIP: 281917AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5394245 | PA      | $5443113.53    | 0.01%             | 2070-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WBHT COML MTG TR 2025-WBM                                                                                   | WBHT COML MTG TR 2025-WBM TSFR1M+174.228 06/15/2042 144A                                                                         | CUSIP: 92943QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2945000 | PA      | $2952337.17    | 0.01%             | 2042-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5330 FA SOFR30A+105 08/25/2053                                                                    | CUSIP: 3137HAFW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2709208 | PA      | $2711507.45    | 0.01%             | 2053-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5425 FK SOFR30A+120 06/25/2054                                                                    | CUSIP: 3137HCYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1963160 | PA      | $1973687.94    | 0.00%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+105 04/25/2055                                                                            | CUSIP: 3137HKUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2427824 | PA      | $2424606.19    | 0.01%             | 2055-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                                                                         | AFFIRM MASTER TRUST 4.67% 07/15/2033 144A                                                                                        | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3300000 | PA      | $3317365.92    | 0.01%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FS LUXEMBOURG SARL                                                                                          | FS LUXEMBOURG SARL 8.625% 06/25/2033 144A                                                                                        | CUSIP: 30315XAD6<br>LEI: 222100EKR3JUJPGGOY81 | Long             | DBT              | CORP              | LU        |      200000 | PA      | $204318.00     | 0.00%             | 2033-06-25      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US LONG BOND(CBT) FUT MAR26 USH6                                                                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -18 | NC      | $-16173.35     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US LONG BOND(CBT) FUT MAR26 USH6                                                                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         334 | NC      | $330117.23     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US 10YR NOTE FUT (CBT)MAR26 TYH6                                                                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       10817 | NC      | $6212108.63    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US 10YR NOTE FUT (CBT)MAR26 TYH6                                                                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -413 | NC      | $-168436.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US 10YR ULTRA FUT MAR26 UXYH6                                                                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -58 | NC      | $-45838.12     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US 10YR ULTRA FUT MAR26 UXYH6                                                                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        2106 | NC      | $1583948.53    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US ULTRA BOND CBT FUT MAR26 WNH6                                                                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        2090 | NC      | $2282979.97    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US ULTRA BOND CBT FUT MAR26 WNH6                                                                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -40 | NC      | $-37883.34     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FIBERCOP SPA                                                                                                | FIBERCOP SPA 4.75% 06/30/2030 REGS                                                                                               | CUSIP: N/A<br>LEI: 8156007022402E114A31       | Long             | DBT              | CORP              | IT        |      100000 | PA      | $117838.75     | 0.00%             | 2030-06-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BELLIS ACQUISITION CO PLC                                                                                   | BELLIS ACQUISITION CO PLC 8% 07/01/2031 REGS                                                                                     | CUSIP: N/A<br>LEI: 259400CYE2267UB4A481       | Long             | DBT              | CORP              | GB        |      366000 | PA      | $413744.00     | 0.00%             | 2031-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                                   | MORGAN STANLEY SNR S* ICE                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |     8400000 | NC      | $-3670.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                                                                 | AUST 3YR BOND FUT DEC25 YMZ5                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |         -14 | NC      | $-86142.33     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                                                                 | AUST 3YR BOND FUT DEC25 YMZ5                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |         228 | NC      | $-152105.10    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TEAMSYSTEM SPA                                                                                              | TEAMSYSTEM SPA 5% 07/01/2031 REGS                                                                                                | CUSIP: N/A<br>LEI: 81560062081DF3AB7A90       | Long             | DBT              | CORP              | IT        |      100000 | PA      | $116693.85     | 0.00%             | 2031-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                                                | ENBRIDGE INC 4.6% 06/20/2028                                                                                                     | CUSIP: 29250NCH6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     4400000 | PA      | $4448579.26    | 0.01%             | 2028-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                                                | ENBRIDGE INC 4.9% 06/20/2030                                                                                                     | CUSIP: 29250NCJ2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     3500000 | PA      | $3582168.38    | 0.01%             | 2030-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ILPT COMMERCIAL MORTGAGE TRUST 2025-LPF2                                                                    | ILPT COMMERCIAL MORTGAGE TRUST 2025-LPF2 A VAR 06/10/2033 144A                                                                   | CUSIP: 451955AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      753000 | PA      | $771160.85     | 0.00%             | 2042-07-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER MTG ASSET RECEIVABLES TR 2025-NQM3                                                                | SANTANDER MTG ASSET RECEIVABLES TR 2025-NQM3 B1 CSTR 05/25/2065 144A                                                             | CUSIP: 80263AAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1000000 | PA      | $1010057.50    | 0.00%             | 2065-05-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XX LTD                                                                                     | SIXTH STREET CLO XX LTD 2021-20A A1R TSFR3M+132 07/17/2038 144A                                                                  | CUSIP: 83012QAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3776000 | PA      | $3785292.74    | 0.01%             | 2038-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                                                       | LEVEL 3 FINANCING INC 6.875% 06/30/2033 144A                                                                                     | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     1760000 | PA      | $1792361.12    | 0.00%             | 2033-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES6                                                                               | RCKT MORTGAGE TRUST 2025-CES6 A1A 5.472% 06/25/2055 144A                                                                         | CUSIP: 748949AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6804158 | PA      | $6889020.39    | 0.02%             | 2055-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                                                           | EOG RESOURCES INC 4.4% 07/15/2028                                                                                                | CUSIP: 26875PAX9<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |     5200000 | PA      | $5260501.17    | 0.01%             | 2028-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WHARF 2025-DC E                                                                                             | WHARF 2025-DC E 7.85642% 07/15/2040 144A                                                                                         | CUSIP: 92987LAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      198000 | PA      | $203521.41     | 0.00%             | 2040-07-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| COLT 2023-1 MORTGAGE LOAN TRUST                                                                             | COLT 2023-1 B1 MORTGAGE LOAN TRUST VAR 04/25/2068 144A                                                                           | CUSIP: 19688NAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      288000 | PA      | $289399.85     | 0.00%             | 2068-04-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-PJ6                                                                | GS MORTGAGE-BACKED SECURITIES TRUST 2025-PJ6 A5 VAR 11/25/2055 144A                                                              | CUSIP: 36272KAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3629207 | PA      | $3642383.45    | 0.01%             | 2055-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WHARF 2025-DC E                                                                                             | WHARF 2025-DC A CSTR 07/15/2040 144A                                                                                             | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      352000 | PA      | $364259.46     | 0.00%             | 2040-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SUPERNOVA INVEST GMBH                                                                                       | SUPERNOVA INVEST GMBH 5% 06/24/2030 REGS                                                                                         | CUSIP: N/A<br>LEI: 5299008Z5M2L56PLUX74       | Long             | DBT              | CORP              | AT        |      150000 | PA      | $178336.49     | 0.00%             | 2030-06-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                                                                 | AUST 10Y BOND FUT DEC25 XMZ5                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |        -227 | NC      | $134801.74     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                                                                 | AUST 10Y BOND FUT DEC25 XMZ5                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |        1288 | NC      | $-1103625.34   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                                                     | HYUNDAI CAP AMER 5.4% 06/23/2032 144A                                                                                            | CUSIP: 44891ADX2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     3340000 | PA      | $3467747.25    | 0.01%             | 2032-06-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 4.4% 06/15/2028                                                                                           | CUSIP: 91324PFN7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5060114.10    | 0.01%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                                                      | UNITEDHEALTH GROUP INC 5.3% 06/15/2035                                                                                           | CUSIP: 91324PFQ0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      280000 | PA      | $291790.65     | 0.00%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                                                           | ENTERPRISE PRODS OPER LLC 5.2% 01/15/2036                                                                                        | CUSIP: 29379VCL5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      360000 | PA      | $369382.35     | 0.00%             | 2036-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAHAMAS COMWLTH                                                                                             | BAHAMAS COMWLTH 8.25% 06/24/2036 144A                                                                                            | CUSIP: 056732AP5<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |      391000 | PA      | $423648.50     | 0.00%             | 2036-06-24      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| PROOFPOINT INC                                                                                              | PROOFPOINT TERM 1LN 08/31/2028                                                                                                   | CUSIP: 74345HAJ0<br>LEI: 529900C5FODDK0WSR085 | Long             | LON              | CORP              | US        |      155000 | PA      | $155595.20     | 0.00%             | 2028-08-31      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BEACH ACQUISITION BIDCO LLC                                                                                 | SKECHERS TERM B 1LN 09/13/2032                                                                                                   | CUSIP: 07337FAB1<br>LEI: 254900F2FNX3GBTB6202 | Long             | LON              | CORP              | US        |       20000 | PA      | $20116.60      | 0.00%             | 2032-09-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 07/01/2054#FS8627                                                                                                 | CUSIP: 3140XQSR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1206955 | PA      | $1267643.33    | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES2                                                                               | RCKT MORTGAGE TRUST 2024-CES2 VAR 04/25/2044 144A                                                                                | CUSIP: 74938PAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $102810.00     | 0.00%             | 2044-04-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES2                                                                               | RCKT MORTGAGE TRUST 2024-CES2 B1 CSTR VAR 04/25/2044 144A                                                                        | CUSIP: 74938PAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      914000 | PA      | $938100.99     | 0.00%             | 2044-04-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1                                                                     | ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1A D 5.79% 07/14/2038 144A                                                                 | CUSIP: 68270DAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      156000 | PA      | $158381.50     | 0.00%             | 2038-07-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1                                                                     | ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1A C 5.2% 07/14/2038 144A                                                                  | CUSIP: 68270DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3500000 | PA      | $3557547.35    | 0.01%             | 2038-07-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HOUSEHOLD CAPITAL 2025-1 RMBS                                                                               | HOUSEHOLD CAPIT 30YR 5.74% 07/21/2087#                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | AU        |      266190 | PA      | $174075.16     | 0.00%             | 2087-07-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES CLO                                                                                                    | ARES CLO AR2 TSFR3M+131 07/15/2038 144A                                                                                          | CUSIP: 04017WAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5230000 | PA      | $5234513.49    | 0.01%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4% 06/30/2032                                                                                                          | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2200000 | PA      | $2231023.43    | 0.01%             | 2032-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 05/01/2051#CB0506                                                                                                 | CUSIP: 3140QKR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3027994 | PA      | $2628164.90    | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5% 06/20/2055#MB0423                                                                                                     | CUSIP: 3618N5PH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44723 | PA      | $44700.39      | 0.00%             | 2055-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK CR CARD ISSUANCE TR                                                                                | CITIBANK CR CARD ISSUANCE TR 4.49% 06/21/2032                                                                                    | CUSIP: 17305EHB4<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-CBDO         | CORP              | US        |     4600000 | PA      | $4708248.12    | 0.01%             | 2032-06-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 01/20/2055#MB0142                                                                                                     | CUSIP: 3618N5EQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9215568 | PA      | $8331389.58    | 0.02%             | 2055-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BELLIS ACQUISITION CO PLC                                                                                   | BELLIS ACQUISITION CO PLC 8% 07/01/2031 144A                                                                                     | CUSIP: N/A<br>LEI: 259400CYE2267UB4A481       | Long             | DBT              | CORP              | GB        |     4300000 | PA      | $4860926.79    | 0.01%             | 2031-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                                                                         | AFFIRM MASTER TRUST C 5.26% 07/15/2033 144A                                                                                      | CUSIP: 00833BAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9400000 | PA      | $9461437.46    | 0.02%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| X.AI LLC / X.AI CO ISSUER CO                                                                                | X.AI LLC / X.AI CO ISSUER CO 12.5% 06/30/2030                                                                                    | CUSIP: 983984AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      260000 | PA      | $273568.36     | 0.00%             | 2030-06-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| OHA CR FDG 7 LTD / OHA CR FDG 7 LLC                                                                         | OHA CR FDG 7 LTD / OHA CR FDG 7 LLC A1R2 TSFR3M+128 07/19/2038 144A                                                              | CUSIP: 67098WAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      470000 | PA      | $470315.84     | 0.00%             | 2038-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COOPR RESIDENTIAL MORTGAGE TRUST 2025-CES2                                                                  | COOPR RESIDENTIAL MORTGAGE TRUST 2025-CES2 VAR 06/25/2060 144A                                                                   | CUSIP: 12674UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5690558 | PA      | $5758233.10    | 0.01%             | 2060-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                                                        | ROYAL BANK OF CANADA 3.125%/VAR 09/27/2031 REGS                                                                                  | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Long             | DBT              | CORP              | CA        |      435000 | PA      | $506543.71     | 0.00%             | 2031-09-27      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MAXAM PRILL SARL                                                                                            | MAXAM PRILL SARL 6% 07/15/2030 REGS                                                                                              | CUSIP: N/A<br>LEI: 984500C4C5B820A6B691       | Long             | DBT              | CORP              | LU        |      282000 | PA      | $332277.30     | 0.00%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNP PARIBAS 7.45%/VAR PERP 144A                                                                                                  | CUSIP: 05602XQQ4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | EP               | CORP              | FR        |      200000 | PA      | $208524.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE LL                                                                                  | CRESCENT ENERGY FINANCE LLC 8.375% 01/15/2034 144A                                                                               | CUSIP: 45344LAG8<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |      265000 | PA      | $261343.00     | 0.00%             | 2034-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                                                      | MARVELL TECHNOLOGY INC 4.75% 07/15/2030                                                                                          | CUSIP: 573874AR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      145000 | PA      | $147155.04     | 0.00%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                                                      | MARVELL TECHNOLOGY INC 5.45% 07/15/2035                                                                                          | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      613000 | PA      | $633485.54     | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                                                | MEXICO UNITED MEXICAN STATES 5.85% 07/02/2032                                                                                    | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     4875000 | PA      | $5031000.00    | 0.01%             | 2032-07-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX SARL / JBS USA FOODS GROUP HOLDINGS INC / JBS USA FOOD CO                               | JBS USA HOLDING LUX SARL / JBS USA FOODS GROUP HOLDINGS INC / JBS USA FOOD CO 5.5% 01/15/2036 144A                               | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2040000 | PA      | $2088149.30    | 0.00%             | 2036-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX SARL / JBS USA FOODS GROUP HOLDINGS INC / JBS USA FOOD CO                               | JBS USA HOLDING LUX SARL / JBS USA FOODS GROUP HOLDINGS INC / JBS USA FOOD CO 6.25% 03/01/2056 144A                              | CUSIP: 472140AG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      994000 | PA      | $1007239.04    | 0.00%             | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6.5% 05/20/2055#MB0368                                                                                                   | CUSIP: 3618N5MS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    14802206 | PA      | $15259940.23   | 0.03%             | 2055-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BCPE FLAVOR DEBT MERGER SUB LLC AND BCPE FLAVOR ISSUER INC                                                  | BCPE FLAVOR DEBT MERGER SUB LLC AND BCPE FLAVOR ISSUER INC 9.5% 07/01/2032 144A                                                  | CUSIP: 072933AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      305000 | PA      | $297476.90     | 0.00%             | 2032-07-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                                                         | NOMURA HOLDINGS INC 4.904% 07/01/2030                                                                                            | CUSIP: 65535HBZ1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     5700000 | PA      | $5803816.61    | 0.01%             | 2030-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX SARL / JBS USA FOODS GROUP HOLDINGS INC / JBS USA FOOD CO                               | JBS USA HOLDING LUX SARL / JBS USA FOODS GROUP HOLDINGS INC / JBS USA FOOD CO 6.375% 04/15/2066 144A                             | CUSIP: 472140AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      210000 | PA      | $213689.03     | 0.00%             | 2066-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM2                                                               | GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM2 A1 CSTR 06/25/2065 144A                                                            | CUSIP: 36272EAA2<br>LEI: 254900WJFO182DZH8M35 | Long             | ABS-CBDO         | CORP              | US        |     3402713 | PA      | $3435560.76    | 0.01%             | 2065-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF OK                                                                                     | PUBLIC SERVICE CO OF OK 5.45% 01/15/2036                                                                                         | CUSIP: 744533BS8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |     3580000 | PA      | $3688953.22    | 0.01%             | 2036-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                                                  | VERIZON COMMUNICATIONS INC 5.401% 07/02/2037 144A                                                                                | CUSIP: 92343VHA5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     2589000 | PA      | $2648450.92    | 0.01%             | 2037-07-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BEACH ACQUISITION BIDCO LLC                                                                                 | BEACH ACQUISITION BIDCO LLC 5.25% 07/15/2032 REGS                                                                                | CUSIP: N/A<br>LEI: 254900F2FNX3GBTB6202       | Long             | DBT              | CORP              | US        |      100000 | PA      | $118834.52     | 0.00%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TELUS CORPORATION                                                                                           | TELUS CORPORATION 6.625%/VAR 10/15/2055                                                                                          | CUSIP: 87971MCL5<br>LEI: 894500WE70KKZRQMBU11 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $102483.87     | 0.00%             | 2055-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TELUS CORPORATION                                                                                           | TELUS CORPORATION 7%/VAR 10/15/2055                                                                                              | CUSIP: 87971MCM3<br>LEI: 894500WE70KKZRQMBU11 | Long             | DBT              | CORP              | CA        |      150000 | PA      | $156582.00     | 0.00%             | 2055-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                                                          | ATHENE HOLDING LTD T5Y+NA 06/28/2055                                                                                             | CUSIP: 04686JAM3<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |      390000 | PA      | $383110.49     | 0.00%             | 2055-06-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| KUEHG CORP                                                                                                  | KINDERCARE LEARNING TERM B 1LN 06/12/2030                                                                                        | CUSIP: 50118YAH2<br>LEI: 549300YNT566T1NYJX62 | Long             | LON              | CORP              | US        |      114583 | PA      | $108303.14     | 0.00%             | 2030-06-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US 5YR NOTE (CBT) FUT MAR26 FVH6                                                                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -1360 | NC      | $-228316.88    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US 5YR NOTE (CBT) FUT MAR26 FVH6                                                                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        3329 | NC      | $984822.26     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PALMER SQUARE EUROPEAN CLO 2021-1 DAC                                                                       | PALMER SQUARE EUROPEAN CLO DAC 21-1A BR 3MEUR+ 04/15/2039 144A                                                                   | CUSIP: N/A<br>LEI: 549300EWDSB2XVX0CY09       | Long             | ABS-CBDO         | CORP              | IE        |     3450000 | PA      | $4003363.61    | 0.01%             | 2039-04-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 7% 06/20/2055#DJ9049                                                                                                     | CUSIP: 3618KWBS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3484482 | PA      | $3567527.20    | 0.01%             | 2055-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DOLCETTO HOLDCO SPA                                                                                         | DOLCETTO HOLDCO SPA 5.625% 07/14/2032 REGS                                                                                       | CUSIP: N/A<br>LEI: 81560029E819F2CE4A42       | Long             | DBT              | CORP              | IT        |      282000 | PA      | $332070.88     | 0.00%             | 2032-07-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LN FDG 2025-2 LTD / PALMER SQUARE LN FDG 2025-2 LLC                                           | PALMER SQUARE LN FDG LTD 2025-2A A1 TSFR3M+94 07/15/2033 144A                                                                    | CUSIP: 69704AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3384000 | PA      | $3383492.40    | 0.01%             | 2033-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                                                                | CAIXABANK SA 5.581%/VAR 07/03/2036 144A                                                                                          | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |      200000 | PA      | $207521.85     | 0.00%             | 2036-07-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FINANCE CORP                                                  | DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FINANCE CORP 7.375% 06/30/2033 144A                                                | CUSIP: 24665FAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      265000 | PA      | $271484.29     | 0.00%             | 2033-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                                                                            | WELLTOWER OP LLC 4.5% 07/01/2030                                                                                                 | CUSIP: 95041AAF5<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2330698.03    | 0.01%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF3 LLC                                                                                          | PRPM 2025-RCF3 A1 LLC VAR 07/25/2055 144A                                                                                        | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      440986 | PA      | $443260.14     | 0.00%             | 2055-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                                                 | CHENIERE ENERGY PARTNERS LP 5.55% 10/30/2035 144A                                                                                | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      169000 | PA      | $173868.52     | 0.00%             | 2035-10-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL6 LLC                                                                                          | PRET 2025-NPL6 LLC 5.7437% A1 06/25/2055 144A                                                                                    | CUSIP: 740936AA7<br>LEI: 2549004EWBYQ3J21FL07 | Long             | ABS-CBDO         | CORP              | US        |     2783150 | PA      | $2794190.54    | 0.01%             | 2055-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US 2YR NOTE (CBT) FUT MAR26 TUH6                                                                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        3847 | NC      | $492903.57     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US 2YR NOTE (CBT) FUT MAR26 TUH6                                                                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -396 | NC      | $-80064.07     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEWDAY FUNDING                                                                                              | NEWDAY FUNDING 2025-2X C STEP 07/15/2033 REGS                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |      100000 | PA      | $132036.49     | 0.00%             | 2033-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHAMPION IRON CANADA INC                                                                                    | CHAMPION IRON CANADA INC 7.875% 07/15/2032 144A                                                                                  | CUSIP: 15853BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     1635000 | PA      | $1721869.19    | 0.00%             | 2032-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| YINSON BERGENIA PRODUCTION BV                                                                               | YINSON BERGENIA PRODUCTION BV 8.498% 01/31/2045 144A                                                                             | CUSIP: 98585VAA6<br>LEI: 549300JDIAWKPMZD5256 | Long             | DBT              | CORP              | NL        |      612000 | PA      | $640458.00     | 0.00%             | 2045-01-31      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                                                    | WARNERMEDIA HOLDINGS INC 5.05% 03/15/2042                                                                                        | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     1180000 | PA      | $943846.60     | 0.00%             | 2042-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GSAT TRUST 2025-BMF                                                                                         | GSAT TRUST 2025-BMF A TSFR1M+150 07/15/2030 144A                                                                                 | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      169000 | PA      | $169158.22     | 0.00%             | 2040-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                                                                   | UST BILLS 0% 01/02/2026                                                                                                          | CUSIP: 912797RA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    47780000 | PA      | $47618397.53   | 0.11%             | 2026-01-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 32 LTD                                                                                         | FLATIRON CLO 32 LTD 32A A1 TSFR3M+129 10/22/2038 144A                                                                            | CUSIP: 33882RAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3345000 | PA      | $3354636.95    | 0.01%             | 2038-10-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                                                    | WARNERMEDIA HOLDINGS INC 3.755% 03/15/2027                                                                                       | CUSIP: 55903VBL6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     8213000 | PA      | $8125572.62    | 0.02%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2025-5560 FB SOFR30A+100 06/25/2055                                                               | CUSIP: 3137HLZD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    10943961 | PA      | $10984049.22   | 0.02%             | 2055-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UPGRADE MASTER PASS-THRU TRUST SERIES 2025-ST4                                                              | UPGRADE MASTER PASS-THRU TRUST SERIES 2025-ST4 5.495% A 08/16/2032 144A                                                          | CUSIP: 91533MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      246670 | PA      | $247800.76     | 0.00%             | 2032-08-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LN FD XXIX DAC                                                                                 | CVC CORDATUS LN FD XXIX DAC BR 3MEUR+ 08/15/2038 144A                                                                            | CUSIP: N/A<br>LEI: 54930002S39B168UJK53       | Long             | ABS-CBDO         | CORP              | IE        |     2750000 | PA      | $3192356.94    | 0.01%             | 2038-08-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2025-1                                                                               | MARLETTE FUNDING TRUST 2025-1A A 4.75% 07/16/2035 144A                                                                           | CUSIP: 570920AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      674078 | PA      | $675178.79     | 0.00%             | 2035-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                                                | DISCOVERY COMMUNICATIONS LLC 3.95% 03/20/2028                                                                                    | CUSIP: 25470DBS7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     3108000 | PA      | $3044332.62    | 0.01%             | 2028-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OZLM FUNDING II LTD                                                                                         | OZLM FUNDING II LTD 2A AR4 TSFR3M+120 07/30/2037 144A                                                                            | CUSIP: 67108BCG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249718.50     | 0.00%             | 2037-07-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL3                                                               | GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL3 4.1% 07/25/2065 144A                                                               | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1866301 | PA      | $1827853.90    | 0.00%             | 2065-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2025-NQM6                                                                   | BRAVO RESIDENTIAL FUNDING TRUST 2025-NQM6 5.333% 06/25/2065 144A                                                                 | CUSIP: 10570MAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3397442 | PA      | $3422797.45    | 0.01%             | 2065-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                                                         | SUMITOMO MITSUI FINL GRP INC 4.954%/VAR 07/08/2033                                                                               | CUSIP: 86562MDZ0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     9060000 | PA      | $9295389.49    | 0.02%             | 2033-07-08      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FOUNDATION FINANCE TRUST 2025-2                                                                             | FOUNDATION FINANCE TRUST 2025-2 5.68% 04/15/2052 144A                                                                            | CUSIP: 35042NAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $100084.04     | 0.00%             | 2052-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MISSION LANE CREDIT CARD MASTER TRUST                                                                       | MISSION LANE CREDIT CARD MASTER TRUST 5.06% 09/15/2031 144A                                                                      | CUSIP: 60510MBU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2620000 | PA      | $2639761.35    | 0.01%             | 2031-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                                                               | LONG GILT FUTURE MAR26 G H6                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |         -21 | NC      | $-24444.28     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                                                               | LONG GILT FUTURE MAR26 G H6                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |         122 | NC      | $138931.02     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                                                          | VENTURE GLOBAL PLAQUEMINES LNG LLC 6.5% 01/15/2034 144A                                                                          | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     1244000 | PA      | $1286672.93    | 0.00%             | 2034-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                                                          | VENTURE GLOBAL PLAQUEMINES LNG LLC 6.75% 01/15/2036 144A                                                                         | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     1106000 | PA      | $1159245.54    | 0.00%             | 2036-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OCWEN LOAN INVESTMENT TRUST                                                                                 | OCWEN LOAN INVESTMENT TRUST HB1 A VAR 06/25/2038 144A                                                                            | CUSIP: 68278EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1802628 | PA      | $1764461.48    | 0.00%             | 2038-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                                                    | WARNERMEDIA HOLDINGS INC 4.279% 03/15/2032                                                                                       | CUSIP: 55903VBQ5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      405000 | PA      | $370068.75     | 0.00%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                                                    | WARNERMEDIA HOLDINGS INC 5.141% 03/15/2052                                                                                       | CUSIP: 55903VBU6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      200000 | PA      | $149600.00     | 0.00%             | 2052-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER CORP                                                                                   | NIAGARA MOHAWK POWER CORP 4.647% 10/03/2030 144A                                                                                 | CUSIP: 653522DT6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4029498.24    | 0.01%             | 2030-10-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES2                                                                         | TOWD POINT MORTGAGE TRUST 2025-CES2 A1 5.348% 07/25/2065 144A                                                                    | CUSIP: 89183KAA5<br>LEI: 25490031FI1THTB1EH80 | Long             | ABS-CBDO         | CORP              | US        |     3686407 | PA      | $3712182.19    | 0.01%             | 2065-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                                            | T-MOBILE USA INC 6.7% 12/15/2033                                                                                                 | CUSIP: 87264ADV4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      202000 | PA      | $227885.67     | 0.00%             | 2033-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                                            | HILTON DOMESTIC OPERATING CO INC 5.75% 09/15/2033 144A                                                                           | CUSIP: 432833AS0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      270000 | PA      | $276747.30     | 0.00%             | 2033-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOFTBANK GROUP CORP                                                                                         | SOFTBANK GROUP CORP 5.25% 10/10/2029 REGS                                                                                        | CUSIP: N/A<br>LEI: 5493003BZYYYCDIO0R13       | Long             | DBT              | CORP              | JP        |      302000 | PA      | $355783.78     | 0.00%             | 2029-10-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                                                                        | CENT TRUST 2025-CITY A VAR 07/10/2040 144A                                                                                       | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4049000 | PA      | $4120377.80    | 0.01%             | 2040-07-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 11/01/2051#FS9709                                                                                                   | CUSIP: 3140XRYF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3402810 | PA      | $3083611.83    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 07/01/2055#CC0730                                                                                                   | CUSIP: 3140Y6Y46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4331375 | PA      | $4461648.00    | 0.01%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 07/01/2055#CC0715                                                                                                 | CUSIP: 3140Y6YM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2022900 | PA      | $2054893.96    | 0.00%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 01/01/2052#SL0417                                                                                                   | CUSIP: 31427MPB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1262462 | PA      | $1133780.27    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 03/01/2052#FA1625                                                                                                   | CUSIP: 3140W1YX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1434272 | PA      | $1288077.53    | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 07/01/2055#CC0711                                                                                                 | CUSIP: 3140Y6YH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6782700 | PA      | $6940845.46    | 0.02%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CZ030005 12/17/57 B                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     5100000 | NC      | $-2868.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AGL CLO 42 LTD                                                                                              | AGL CLO 42 LTD A1 TSFR3M+ 07/22/2038 144A                                                                                        | CUSIP: 00791YAA6<br>LEI: 254900AMSJHVKQ5QFA09 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $251002.75     | 0.00%             | 2038-07-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STORAGE TECHNOLOGY PTE LTD                                                                     | SEAGATE DATA STORAGE TECHNOLOGY PTE LTD 8.5% 07/15/2031 144A                                                                     | CUSIP: 81180LAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |       12000 | PA      | $12783.17      | 0.00%             | 2031-07-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SOFTBANK GROUP CORP                                                                                         | SOFTBANK GROUP CORP 6.375% 07/10/2033 REGS                                                                                       | CUSIP: N/A<br>LEI: 5493003BZYYYCDIO0R13       | Long             | DBT              | CORP              | JP        |      200000 | PA      | $238881.00     | 0.00%             | 2033-07-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 12/01/2055 #TBA                                                                                                       | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    49736000 | PA      | $41444073.76   | 0.09%             | 2055-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2% 12/01/2055 #TBA                                                                                                       | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -126000 | PA      | $-104993.43    | -0.00%            | 2055-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 12/01/2055 #TBA                                                                                                     | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -111000 | PA      | $-96344.54     | -0.00%            | 2055-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 2.5% 12/01/2055 #TBA                                                                                                     | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    69992000 | PA      | $60750872.25   | 0.14%             | 2055-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 12/01/2055 #TBA                                                                                                       | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    16128000 | PA      | $14551739.60   | 0.03%             | 2055-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3% 12/01/2055 #TBA                                                                                                       | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -103000 | PA      | $-92933.36     | -0.00%            | 2055-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 12/01/2055 #TBA                                                                                                     | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -30000 | PA      | $-27515.63     | -0.00%            | 2055-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 3.5% 12/01/2055 #TBA                                                                                                     | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    32246000 | PA      | $29575628.13   | 0.07%             | 2055-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 12/01/2055 #TBA                                                                                                       | CUSIP: 21H0406C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    29721000 | PA      | $28193156.33   | 0.06%             | 2055-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4% 12/01/2055 #TBA                                                                                                       | CUSIP: 21H0406C2<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -17899000 | PA      | $-16978880.43  | -0.04%            | 2055-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 12/01/2055 #TBA                                                                                                     | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -47361000 | PA      | $-46324978.12  | -0.10%            | 2055-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 12/01/2055 #TBA                                                                                                     | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    63504000 | PA      | $62114850.00   | 0.14%             | 2055-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5% 12/01/2055 #TBA                                                                                                       | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   205815000 | PA      | $205589879.55  | 0.47%             | 2055-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5% 12/01/2055 #TBA                                                                                                       | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -147118000 | PA      | $-146957082.33 | -0.33%            | 2055-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5.5% 12/01/2055 #TBA                                                                                                     | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -96585000 | PA      | $-97565936.58  | -0.22%            | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5.5% 12/01/2055 #TBA                                                                                                     | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   117449000 | PA      | $118641835.53  | 0.27%             | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6% 12/01/2055 #TBA                                                                                                       | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -129059000 | PA      | $-131509107.68 | -0.30%            | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6% 12/01/2055 #TBA                                                                                                       | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   181613000 | PA      | $185060813.84  | 0.42%             | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6.5% 12/01/2055 #TBA                                                                                                     | CUSIP: 21H0626C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3061000 | PA      | $3154504.06    | 0.01%             | 2055-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6.5% 12/01/2055 #TBA                                                                                                     | CUSIP: 21H0626C6<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -3061000 | PA      | $-3154504.06   | -0.01%            | 2055-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 15YR 1.5% 12/01/2040 #TBA                                                                                                   | CUSIP: 01F0124C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     2835000 | PA      | $2555708.27    | 0.01%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 15YR 2% 12/01/2040 #TBA                                                                                                     | CUSIP: 01F0204C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     7821000 | PA      | $7231370.12    | 0.02%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 15YR 2% 12/01/2040 #TBA                                                                                                     | CUSIP: 01F0204C0<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |     -191000 | PA      | $-176600.40    | -0.00%            | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 15YR 2.5% 12/01/2040 #TBA                                                                                                   | CUSIP: 01F0224C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     2417000 | PA      | $2284631.54    | 0.01%             | 2040-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 15YR 2.5% 12/01/2040 #TBA                                                                                                   | CUSIP: 01F0224C6<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |      -60000 | PA      | $-56714.06     | -0.00%            | 2040-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 15YR 3% 12/01/2040 #TBA                                                                                                     | CUSIP: 01F0304C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     1160000 | PA      | $1116590.60    | 0.00%             | 2040-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 15YR 3% 12/01/2040 #TBA                                                                                                     | CUSIP: 01F0304C9<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |      -35000 | PA      | $-33690.23     | -0.00%            | 2040-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 15YR 3.5% 12/01/2040 #TBA                                                                                                   | CUSIP: 01F0324C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      523000 | PA      | $508617.50     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 15YR 3.5% 12/01/2040 #TBA                                                                                                   | CUSIP: 01F0324C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |      -12000 | PA      | $-11670.00     | -0.00%            | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 15YR 4% 12/01/2040 #TBA                                                                                                     | CUSIP: 01F0404C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      456000 | PA      | $449801.23     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 15YR 4% 12/01/2040 #TBA                                                                                                     | CUSIP: 01F0404C8<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |       -9000 | PA      | $-8877.66      | -0.00%            | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 15YR 4.5% 12/01/2040 #TBA                                                                                                   | CUSIP: 01F0424C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     2778000 | PA      | $2778651.16    | 0.01%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 15YR 4.5% 12/01/2040 #TBA                                                                                                   | CUSIP: 01F0424C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |      -92000 | PA      | $-92021.56     | -0.00%            | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 15YR 5% 12/01/2040 #TBA                                                                                                     | CUSIP: 01F0504C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    26300000 | PA      | $26604093.75   | 0.06%             | 2040-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 2% 12/01/2055 #TBA                                                                                                     | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   237294000 | PA      | $193172146.88  | 0.44%             | 2055-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 2% 12/01/2055 #TBA                                                                                                     | CUSIP: 01F0206C8<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -199044000 | PA      | $-162034256.25 | -0.37%            | 2055-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 2.5% 12/01/2055 #TBA                                                                                                   | CUSIP: 01F0226C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -31615000 | PA      | $-26907330.49  | -0.06%            | 2055-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 2.5% 12/01/2055 #TBA                                                                                                   | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    45890000 | PA      | $39056694.48   | 0.09%             | 2055-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 3% 12/01/2055 #TBA                                                                                                     | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    21315000 | PA      | $18932049.08   | 0.04%             | 2055-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 3% 12/01/2055 #TBA                                                                                                     | CUSIP: 01F0306C7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |     -628000 | PA      | $-557791.55    | -0.00%            | 2055-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 3.5% 12/01/2055 #TBA                                                                                                   | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   162948000 | PA      | $150726900.00  | 0.34%             | 2055-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 3.5% 12/01/2055 #TBA                                                                                                   | CUSIP: 01F0326C3<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -35485000 | PA      | $-32823625.00  | -0.07%            | 2055-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 4% 12/01/2055 #TBA                                                                                                     | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   410995336 | PA      | $391537255.01  | 0.89%             | 2055-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 4% 12/01/2055 #TBA                                                                                                     | CUSIP: 01F0406C6<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -395822336 | PA      | $-377082602.49 | -0.85%            | 2055-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 4.5% 12/01/2055 #TBA                                                                                                   | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   911458000 | PA      | $892303163.26  | 2.02%             | 2055-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 4.5% 12/01/2055 #TBA                                                                                                   | CUSIP: 01F0426C2<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -865940000 | PA      | $-847741751.34 | -1.92%            | 2055-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 5% 12/01/2055 #TBA                                                                                                     | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   374903436 | PA      | $374200492.06  | 0.85%             | 2055-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 5% 12/01/2055 #TBA                                                                                                     | CUSIP: 01F0506C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -423892436 | PA      | $-423097637.68 | -0.96%            | 2055-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 5.5% 12/01/2055 #TBA                                                                                                   | CUSIP: 01F0526C1<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -751649000 | PA      | $-761162020.07 | -1.72%            | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 5.5% 12/01/2055 #TBA                                                                                                   | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   917443422 | PA      | $929054769.44  | 2.10%             | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 6% 12/01/2055 #TBA                                                                                                     | CUSIP: 01F0606C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -217681000 | PA      | $-222901948.18 | -0.50%            | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 6% 12/01/2055 #TBA                                                                                                     | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   259097491 | PA      | $265311788.86  | 0.60%             | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 6.5% 12/01/2055 #TBA                                                                                                   | CUSIP: 01F0626C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   106192000 | PA      | $109999981.40  | 0.25%             | 2055-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 6.5% 12/01/2055 #TBA                                                                                                   | CUSIP: 01F0626C0<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -99979000 | PA      | $-103564186.95 | -0.23%            | 2055-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STORAGE TECHNOLOGY PTE LTD                                                                     | SEAGATE DATA STORAGE TECHNOLOGY PTE LTD 8.25% 12/15/2029 144A                                                                    | CUSIP: 81180LAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |      888000 | PA      | $943366.80     | 0.00%             | 2029-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STORAGE TECHNOLOGY PTE LTD                                                                     | SEAGATE DATA STORAGE TECHNOLOGY PTE LTD 3.125% 07/15/2029 144A                                                                   | CUSIP: 81180LAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |       64000 | PA      | $55548.16      | 0.00%             | 2029-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STORAGE TECHNOLOGY PTE LTD                                                                     | SEAGATE DATA STORAGE TECHNOLOGY PTE LTD 9.625% 12/01/2032 144A                                                                   | CUSIP: 81180LAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |      115000 | PA      | $130790.65     | 0.00%             | 2032-12-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STORAGE TECHNOLOGY PTE LTD                                                                     | SEAGATE DATA STORAGE TECHNOLOGY PTE LTD 4.091% 06/01/2029 144A                                                                   | CUSIP: 81180LAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |      106000 | PA      | $103404.31     | 0.00%             | 2029-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STORAGE TECHNOLOGY PTE LTD                                                                     | SEAGATE DATA STORAGE TECHNOLOGY PTE LTD 4.125% 01/15/2031 144A                                                                   | CUSIP: 81180LAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |      106000 | PA      | $100578.95     | 0.00%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NYC COMMERCIAL MORTGAGE TRUST 2025-300P                                                                     | NYC COMMERCIAL MORTGAGE TRUST 2025-300P E 7.388% 07/13/2042 144A                                                                 | CUSIP: 67121TAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      450000 | PA      | $457024.32     | 0.00%             | 2042-07-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 07/01/2053#FA0902                                                                                                 | CUSIP: 3140W1AC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1115559 | PA      | $953753.41     | 0.00%             | 2053-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 2% 02/01/2052#SL1680                                                                                                   | CUSIP: 31427N2N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      338032 | PA      | $278335.53     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-6                                                                           | VERUS SECURITIZATION TRUST 2025-6 A1 STEP 07/25/2070 144A                                                                        | CUSIP: 92540YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3947036 | PA      | $3980387.70    | 0.01%             | 2070-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 11/01/2048#ZN4475                                                                                                   | CUSIP: 3131YA6L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2373424 | PA      | $2153753.30    | 0.00%             | 2048-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMM 2025-167G MORTGAGE TRUST                                                                               | COMM 2025-167G E MORTGAGE TRUST CSTR 08/10/2040 144A                                                                             | CUSIP: 12674VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      125000 | PA      | $125623.51     | 0.00%             | 2040-08-10      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                                              | FHLMC REMI 30YR 6% 04/01/2055#RJ4028                                                                                             | CUSIP: 3142GUPN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2281592 | PA      | $2372673.62    | 0.01%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMM 2025-167G MORTGAGE TRUST                                                                               | COMM 2025-167G F MORTGAGE TRUST CSTR 08/10/2040 144A                                                                             | CUSIP: 12674VAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      108000 | PA      | $108521.63     | 0.00%             | 2040-08-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| COMM 2025-167G MORTGAGE TRUST                                                                               | COMM 2025-167G A MORTGAGE TRUST 5.50268% 08/10/2040 144A                                                                         | CUSIP: 12674VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      160000 | PA      | $161281.78     | 0.00%             | 2040-08-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ACRES 2025-FL3 LLC                                                                                          | ACRES 2025-FL3 A LLC TSFR1M+161.9 08/18/2040 144A                                                                                | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      478000 | PA      | $476885.93     | 0.00%             | 2040-08-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XVII CLO LTD                                                                                      | CEDAR FDG XVII CLO LTD AR TSFR3M+135 07/20/2038 144A                                                                             | CUSIP: 15033PAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     4739000 | PA      | $4750923.32    | 0.01%             | 2038-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 02/01/2053#QF7084                                                                                                 | CUSIP: 3133BU2R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2244874 | PA      | $2286692.68    | 0.01%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK II LTD                                                                                       | SANDSTONE PEAK II LTD BR TSFR3M+175 07/20/2038 144A                                                                              | CUSIP: 80013TAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      310000 | PA      | $310775.00     | 0.00%             | 2038-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2025-1                                                                               | MARLETTE FUNDING TRUST 2025-1A C 5.26% 07/16/2035 144A                                                                           | CUSIP: 570920AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4065000 | PA      | $4096390.74    | 0.01%             | 2035-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                                                                   | UST BILLS 0% 01/08/2026                                                                                                          | CUSIP: 912797RH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      726000 | PA      | $723087.16     | 0.00%             | 2026-01-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BCP V MODULAR SERVICES FINANCE II PLC                                                                       | BCP V MODULAR SERVICES FINANCE II PLC 6.5% 07/10/2031 REGS                                                                       | CUSIP: N/A<br>LEI: 213800227GGD6UI7PI97       | Long             | DBT              | CORP              | GB        |      302000 | PA      | $327135.50     | 0.00%             | 2031-07-10      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                                                      | LOGICOR FINANCING SARL 3.75% 07/14/2032 REGS                                                                                     | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |      230000 | PA      | $265119.12     | 0.00%             | 2032-07-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                                               | CARNIVAL CORP 5.75% 08/01/2032 144A                                                                                              | CUSIP: 143658CA8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     2325000 | PA      | $2383387.73    | 0.01%             | 2032-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 4.6% 07/15/2030                                                                                                     | CUSIP: 11135FCK5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1426712.15    | 0.00%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 4.9% 07/15/2032                                                                                                     | CUSIP: 11135FCL3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     4755000 | PA      | $4892640.75    | 0.01%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GUATEMALA, REP OF                                                                                           | GUATEMALA REP OF 6.25% 08/15/2036 144A                                                                                           | CUSIP: 401494BA6<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |      669000 | PA      | $695927.25     | 0.00%             | 2036-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GUATEMALA, REP OF                                                                                           | GUATEMALA REP OF 6.25% 08/15/2036 REGS                                                                                           | CUSIP: N/A<br>LEI: 529900QKDFFU9UWW5315       | Long             | DBT              | NUSS              | GT        |      979000 | PA      | $1018404.75    | 0.00%             | 2036-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 3% 12/01/2051#FA0145                                                                                              | CUSIP: 3140W0ET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2246297 | PA      | $2018737.44    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5499 FW SOFR30A+140 02/25/2055                                                                    | CUSIP: 3137HJX51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1697773 | PA      | $1709159.63    | 0.00%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-VLT7                                                                                          | BX TRUST 2025-VLT7 B TSFR1M+200 07/15/2027 144A                                                                                  | CUSIP: 123913AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1175000 | PA      | $1175367.19    | 0.00%             | 2044-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BIRCH GROVE CLO                                                                                             | BIRCH GROVE CLO 2023-6A A1R TSFR3M+138 07/20/2037 144A                                                                           | CUSIP: 09077FAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250629.00     | 0.00%             | 2037-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                                                         | NISSAN MOTOR CO LTD 6.375% 07/17/2033 REGS                                                                                       | CUSIP: 57160DB63<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      370000 | PA      | $439182.74     | 0.00%             | 2033-07-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GRAY TELEVISION INC                                                                                         | GRAY TELEVISION INC 9.625% 07/15/2032 144A                                                                                       | CUSIP: 389375AN6<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103641.00     | 0.00%             | 2032-07-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HLDGS INC                                                                                        | ZAYO GROUP HLG TERM EXCH TL 1LN 3/11/2030                                                                                        | CUSIP: 98919XAH4<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | LON              | CORP              | US        |       56511 | PA      | $53520.74      | 0.00%             | 2030-03-11      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | GSCM SWAP PAY 3.9 07/08/26                                                                                                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     2300000 | NC      | $28408.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | GSCM SWAP REC 3.9 07/08/26                                                                                                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     2300000 | NC      | $77691.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-3                                                        | BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-3 E 7.7% 04/15/2031 144A                                                      | CUSIP: 10805NAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5000000 | PA      | $5093733.00    | 0.01%             | 2031-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 01/01/2049#ZA6116                                                                                                 | CUSIP: 31329PYM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      347630 | PA      | $348381.00     | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2025-NQM3                                                                      | BARCLAYS MORTGAGE LOAN TRUST 2025-NQM3 B1 VAR 05/25/2065 144A                                                                    | CUSIP: 06745VAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      111000 | PA      | $112967.38     | 0.00%             | 2065-05-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                                            | NTT FINANCE CORP 3.678% 07/16/2033 REGS                                                                                          | CUSIP: N/A<br>LEI: 3538007PR116187GD960       | Long             | DBT              | CORP              | JP        |      170000 | PA      | $200353.35     | 0.00%             | 2033-07-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                                                        | ROMANIA REPUBLIC OF 6.625% 05/16/2036 REGS                                                                                       | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     2010000 | PA      | $2075325.00    | 0.00%             | 2036-05-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                                            | NTT FINANCE CORP FRN SOFR+131 07/16/2030 144A                                                                                    | CUSIP: 62954WAT2<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     1200000 | PA      | $1219805.40    | 0.00%             | 2030-07-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                                            | NTT FINANCE CORP 4.62% 07/16/2028 144A                                                                                           | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     2810000 | PA      | $2849204.84    | 0.01%             | 2028-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                                            | NTT FINANCE CORP 4.567% 07/16/2027 144A                                                                                          | CUSIP: 62954WAP0<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     1162000 | PA      | $1170761.46    | 0.00%             | 2027-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                                            | NTT FINANCE CORP 4.876% 07/16/2030 144A                                                                                          | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     2480000 | PA      | $2533609.44    | 0.01%             | 2030-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                                            | NTT FINANCE CORP 5.171% 07/16/2032 144A                                                                                          | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     1600000 | PA      | $1649921.41    | 0.00%             | 2032-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                                            | NTT FINANCE CORP 5.502% 07/16/2035 144A                                                                                          | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      700000 | PA      | $731466.26     | 0.00%             | 2035-07-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                                                        | ROMANIA REPUBLIC OF 5.75% 09/16/2030 144A                                                                                        | CUSIP: 77586RAY6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     3270000 | PA      | $3351897.15    | 0.01%             | 2030-09-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTERN-SOUTHERN GLOBAL FUNDING                                                                             | WESTERN-SOUTHERN GLOBAL FUNDING 4.5% 07/16/2028 144A                                                                             | CUSIP: 95954A2B8<br>LEI: 635400PFYEGVSGK4VB37 | Long             | DBT              | CORP              | US        |     9600000 | PA      | $9678284.93    | 0.02%             | 2028-07-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                                                                   | VIPER ENERGY PARTNERS LLC 4.9% 08/01/2030                                                                                        | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     1070000 | PA      | $1083385.70    | 0.00%             | 2030-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                                                                   | VIPER ENERGY PARTNERS LLC 5.7% 08/01/2035                                                                                        | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |      981000 | PA      | $1005387.66    | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                                            | NTT FINANCE CORP 2.906% 03/16/2029 144A                                                                                          | CUSIP: 62954WAX3<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     1400000 | PA      | $1630996.44    | 0.00%             | 2029-03-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                                            | NTT FINANCE CORP 4.091% 07/16/2037 144A                                                                                          | CUSIP: 62954WAZ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     5500000 | PA      | $6530833.74    | 0.01%             | 2037-07-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL7 LLC                                                                                          | PRET 2025-NPL7 A1 LLC VAR 08/25/2055 144A                                                                                        | CUSIP: 740934AA2<br>LEI: 2549001J36X6SUZ41Q96 | Long             | ABS-CBDO         | CORP              | US        |     1917401 | PA      | $1922017.37    | 0.00%             | 2055-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                                    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5% 06/16/2058                                                                           | CUSIP: 38381MRL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      175429 | PA      | $176339.51     | 0.00%             | 2058-06-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MSCR TRUST MN11                                                                                 | FREDDIE MAC MSCR TRUST MN11 SOFR30A+265 07/25/2045                                                                               | CUSIP: 35563YAB6<br>LEI: 529900E2V0BG2KXC9E18 | Long             | ABS-MBS          | CORP              | US        |     1875000 | PA      | $1873555.13    | 0.00%             | 2045-07-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ENFRAGEN ENERGIA SUR SAU/ ENFRAGEN CHILE SPA/ ENFRAGEN SPAIN SAU                                            | ENFRAGEN ENERGIA SUR SAU/ ENFRAGEN CHILE SPA/ ENFRAGEN SPAIN SAU 8.499% 06/30/2032 144A                                          | CUSIP: 29281MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |       80000 | PA      | $82680.80      | 0.00%             | 2032-06-30      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                                                                   | UST BILLS 0% 01/15/2026                                                                                                          | CUSIP: 912797RJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    50000000 | PA      | $49762867.00   | 0.11%             | 2026-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COLT 2025-7 MORTGAGE LOAN TRUST                                                                             | COLT Funding LLC STEP 06/25/2070 144A                                                                                            | CUSIP: 19689CAA9<br>LEI: 213800DOQUYA3TO33M98 | Long             | ABS-CBDO         | CORP              | US        |      640413 | PA      | $645308.73     | 0.00%             | 2070-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2025-C35                                                                                       | BBCMS MTG TR 2025-C35 A5 5.586% 07/15/2058                                                                                       | CUSIP: 07337DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      743000 | PA      | $789773.19     | 0.00%             | 2058-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST 2025-LOC4                                                           | SALUDA GRADE ALTERNATIVE MORTGAGE TRUST 2025-LOC4 VAR 06/25/2055 144A                                                            | CUSIP: 79589VAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5419566 | PA      | $5431969.26    | 0.01%             | 2055-06-25      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2025-44                                                                                             | OCP CLO 2025-44 LTD A TSFR3M+130 10/24/2038 144A                                                                                 | CUSIP: 67570UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3520000 | PA      | $3523935.36    | 0.01%             | 2038-10-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2025-C35                                                                                       | BBCMS MTG TR 2025-C35 4.5% 07/15/2058 144A                                                                                       | CUSIP: 07337DAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      111000 | PA      | $84630.11      | 0.00%             | 2058-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2025-C35                                                                                       | BBCMS MTG TR 2025-C35 5.843% 07/15/2058                                                                                          | CUSIP: 07337DAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      101000 | PA      | $106812.50     | 0.00%             | 2058-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                                                                | ZCS BRL 13.4 07/10/25 01/02/29 CME                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   148200000 | NC      | $310148.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACCENTRO EAST HOLDING GMBH                                                                                  | ACCENTRO EAST HOLDING GMBH PIK 6% 06/30/2027                                                                                     | CUSIP: N/A<br>LEI: 89450079WA652Y9PWZ14       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $116035.00     | 0.00%             | 2027-06-30      | Fixed         | 0.06%                 | No            |                  3 | On Loan: No      |
| LSF12 CROWN US COMMERCIAL BIDCO LLC                                                                         | KIDDE GLOBAL SERVICES TERM B 1LN 12/02/2031                                                                                      | CUSIP: 50221UAD3<br>LEI: 254900FI2OCFTJ9PAJ18 | Long             | LON              | CORP              | US        |      105842 | PA      | $105842.08     | 0.00%             | 2031-12-02      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FUGUE FINANCE LLC                                                                                           | NORD ANGLIA EDUCATION TERM B 1LN 01/09/2032                                                                                      | CUSIP: N/A<br>LEI: 254900Y4DWBRGAFENC88       | Long             | LON              | CORP              | US        |      180829 | PA      | $181292.31     | 0.00%             | 2032-01-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-DSC2                                                    | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-DSC2 A1 VAR 07/25/2070 144A                                                  | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1222188 | PA      | $1232346.41    | 0.00%             | 2070-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MIDOCEAN CREDIT CLO XII LTD                                                                                 | MIDOCEAN CREDIT CLO XII LTD 2023-12A A1RR TSFR3M+134 07/18/2038 144A                                                             | CUSIP: 59803TBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250853.25     | 0.00%             | 2038-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OAKTREE CLO 2025-31 LTD                                                                                     | OAKTREE CLO 2025-31 LTD A TSFR3M+132 07/20/2038 144A                                                                             | CUSIP: 67400BAA8<br>LEI: 254900UVA9JUCC0JI897 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501059.50     | 0.00%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COMPASS DATACENTERS ISSUER III LLC / LTD (PARTNERSHIP)                                                      | COMPASS DATACENTERS ISSUER III LLC / LTD (PARTNERSHIP) 5.286% 07/25/2050 144A                                                    | CUSIP: 20469BAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      757000 | PA      | $768139.18     | 0.00%             | 2050-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARKET BIDCO FINCO PLC                                                                                      | MARKET BIDCO FINCO PLC 6.75% 01/31/2031 REGS                                                                                     | CUSIP: N/A<br>LEI: 549300UGYX6EBVHRVG53       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $115092.92     | 0.00%             | 2031-01-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV3                                                                                              | EFMT 2025-INV3 5.444% 07/25/2070 144A                                                                                            | CUSIP: 26847NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4339785 | PA      | $4374981.26    | 0.01%             | 2070-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KIOXIA HOLDINGS CORPORATION                                                                                 | KIOXIA HOLDINGS CORPORATION 6.25% 07/24/2030 144A                                                                                | CUSIP: 49726JAA6<br>LEI: 35380080RTKRARNH4R73 | Long             | DBT              | CORP              | JP        |      400000 | PA      | $411604.40     | 0.00%             | 2030-07-24      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MACYS RETAIL HOLDINGS LLC                                                                                   | MACYS RETAIL HOLDINGS LLC 7.375% 08/01/2033 144A                                                                                 | CUSIP: 55617LAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      125000 | PA      | $131522.13     | 0.00%             | 2033-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2025-CP1                                                                                    | NYMT LOAN TRUST 2025-CP1 A1 3.75% 11/25/2069 144A                                                                                | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6513605 | PA      | $6273684.43    | 0.01%             | 2069-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO LTD                                                                                             | ALLEGRO CLO LTD 2021-1A A1R TSFR3M+134 07/20/2038 144A                                                                           | CUSIP: 01750WAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4673000 | PA      | $4684757.27    | 0.01%             | 2038-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                                                | UNIVISION COMMUNICATIONS INC 9.375% 08/01/2032 144A                                                                              | CUSIP: 914906BA9<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |      225000 | PA      | $238851.45     | 0.00%             | 2032-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SIERRA TIMESHARE 2025-2 RECEIVABLES FUNDING LLC                                                             | SIERRA TIMESHARE 2025-2A D RECEIVABLES FUNDING LLC 6.79% 04/20/2044 144A                                                         | CUSIP: 82653HAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1317382 | PA      | $1326210.93    | 0.00%             | 2044-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE PLC                                                                                 | YORKSHIRE WATER FINANCE PLC 6% 07/22/2033 REGS                                                                                   | CUSIP: N/A<br>LEI: 213800O8BDOGHJMTCP32       | Long             | DBT              | CORP              | GB        |      330000 | PA      | $444700.37     | 0.00%             | 2033-07-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EG AMERICA LLC                                                                                              | EG GROUP TERM B 1LN 02/07/2028                                                                                                   | CUSIP: N/A<br>LEI: 549300BY1CRYVPEG9R57       | Long             | LON              | CORP              | US        |        4950 | PA      | $4965.58       | 0.00%             | 2028-02-07      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| REACH ABS TR 2025-2                                                                                         | REACH ABS TR 2025-2 4.93% 08/18/2032 144A                                                                                        | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2780557 | PA      | $2791125.44    | 0.01%             | 2032-08-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AECOM                                                                                                       | AECOM 6% 08/01/2033 144A                                                                                                         | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |      695000 | PA      | $714418.30     | 0.00%             | 2033-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2025-8                                                                             | ANGEL OAK MORTGAGE TRUST 2025-8 STEP 07/25/2070 144A                                                                             | CUSIP: 03466UAA2<br>LEI: 254900WZRTR935QJJ709 | Long             | ABS-CBDO         | CORP              | US        |      619138 | PA      | $624187.51     | 0.00%             | 2070-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LOXAM SAS                                                                                                   | LOXAM SAS 4.25% 02/15/2031 REGS                                                                                                  | CUSIP: N/A<br>LEI: 969500BNA2YRNE1R5K91       | Long             | DBT              | CORP              | FR        |      148000 | PA      | $171485.62     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2052#FA2169                                                                                                   | CUSIP: 3140W2MT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2801391 | PA      | $2318922.21    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2                                                               | GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2 C 5.26% 06/25/2060 144A                                                            | CUSIP: 39571VAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      133000 | PA      | $134281.42     | 0.00%             | 2060-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2                                                               | GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2 D 5.56% 06/25/2060 144A                                                            | CUSIP: 39571VAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      106000 | PA      | $106955.06     | 0.00%             | 2060-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+140 05/25/2055                                                                            | CUSIP: 3137HMM23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      630649 | PA      | $634246.12     | 0.00%             | 2055-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM13 TR                                                                                           | OBX 2025-NQM13 A1 TRUST 5.441% 05/25/2065 144A                                                                                   | CUSIP: 67121UAA4<br>LEI: 254900FPAGVH6E25VL74 | Long             | ABS-CBDO         | CORP              | US        |     5517238 | PA      | $5562372.60    | 0.01%             | 2065-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 4.296%/VAR 07/23/2036                                                                                              | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | Long             | DBT              | CORP              | US        |      235000 | PA      | $277757.13     | 0.00%             | 2036-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                                                       | JPMORGAN CHASE and CO 5.615%/VAR 07/23/2036                                                                                      | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1890000 | PA      | $1977389.82    | 0.00%             | 2036-07-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PENN COMMERCIAL MORTGAGE TRUST                                                                              | PENN COMMERCIAL MORTGAGE TRUST 2025-P11 A VAR CSTR 08/12/2042 144A                                                               | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       94000 | PA      | $95980.32      | 0.00%             | 2042-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKES FDG LLC                                                                                        | JERSEY MIKES FDG LLC 5.61% 08/16/2055 144A                                                                                       | CUSIP: 476681AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2084775 | PA      | $2128320.32    | 0.00%             | 2055-08-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC T5Y+289 6.875%/VAR PERP                                                                                            | CUSIP: 17327CBC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EP               | CORP              | US        |      250000 | PA      | $255884.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOOTS GROUP FINCO LP                                                                                        | BOOTS GROUP FINCO LP 7.375% 08/31/2032 REGS                                                                                      | CUSIP: N/A<br>LEI: 254900YVLYOVF1PF1N93       | Long             | DBT              | CORP              | US        |      100000 | PA      | $135938.28     | 0.00%             | 2032-08-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FINANCE AMER STRUCTURED SECS TR SER 2024-S2                                                                 | FINANCE AMER STRUCTURED SECS TR SER 2025-S2 A1 0% 07/25/2075 144A                                                                | CUSIP: 31739XAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    16289427 | PA      | $15877304.05   | 0.04%             | 2075-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NA                                                                              | MORGAN STANLEY PRIVATE BANK NA 4.734%/VAR 07/18/2031                                                                             | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |     1430000 | PA      | $1454525.39    | 0.00%             | 2031-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                                              | PNC FINANCIAL SERVICES GRP INC 5.373%/VAR 07/21/2036                                                                             | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |      340000 | PA      | $352216.10     | 0.00%             | 2036-07-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PNC BANK NA PITTSBURGH PA                                                                                   | PNC BANK NA PITTSBURGH PA 4.429%/VAR 07/21/2028                                                                                  | CUSIP: 69353RFZ6<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |      740000 | PA      | $744753.08     | 0.00%             | 2028-07-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTIONS INC                                                                             | STANDARD BUILDING SOLUTIONS INC 6.25% 08/01/2033 144A                                                                            | CUSIP: 853191AC8<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |      125000 | PA      | $128205.63     | 0.00%             | 2033-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-NQM3 TRUST                                                                                        | PRPM 2025-NQM3 TRUST 5.606% 05/25/2070 144A                                                                                      | CUSIP: 69382NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      920247 | PA      | $928474.06     | 0.00%             | 2070-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LOANDEPOT GMSR MASTER TRUST SERES 2018-GT1                                                                  | LOANDEPOT GMSR MASTER TRUST SERES 2018-GT1 TSFR1M+ 07/16/2030 144A                                                               | CUSIP: 53946TAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1900000 | PA      | $1899984.42    | 0.00%             | 2030-07-16      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2                                                              | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 4.43% 08/15/2030                                                                  | CUSIP: 30185EAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      370000 | PA      | $372344.69     | 0.00%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5% 04/01/2054#SD5961                                                                                                   | CUSIP: 3132DTTS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      141022 | PA      | $143013.81     | 0.00%             | 2054-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 03/01/2054#FS8634                                                                                                   | CUSIP: 3140XQSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      129057 | PA      | $130880.20     | 0.00%             | 2054-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RCKT MTG TR 2025-CES7                                                                                       | RCKT MTG TR 2025-CES7 5.377% 07/25/2055 144A                                                                                     | CUSIP: 74943AAA0<br>LEI: 254900E35NYYFOUTHD06 | Long             | ABS-CBDO         | CORP              | US        |     3972206 | PA      | $4014317.68    | 0.01%             | 2055-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM5                                                    | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM5 5.439% 07/25/2070 144A                                                  | CUSIP: 61779BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4081957 | PA      | $4111514.84    | 0.01%             | 2070-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMISION EJECUTIVA HIDROELECTRICA DEL RIO LEMPA                                                             | COMISION EJECUTIVA HIDROELECTRICA DEL RIO LEMPA 8.65% 01/24/2033 144A                                                            | CUSIP: 200444AA5<br>LEI: 254900YU43PQQ27Q0E71 | Long             | DBT              | CORP              | SV        |      150000 | PA      | $159750.00     | 0.00%             | 2033-01-24      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| INVERSION ESCROW ISSUER LLC                                                                                 | INVERSION ESCROW ISSUER LLC 6.75% 08/01/2032 144A                                                                                | CUSIP: 46150DAA0<br>LEI: 254900P6GHORGRVLKI95 | Long             | DBT              | CORP              | US        |      125000 | PA      | $122102.18     | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST TWY AUTH ST PERS                                                                                | NYS TWY PIT 5% 3/15/2059                                                                                                         | CUSIP: 650028C68<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      740000 | PA      | $766519.82     | 0.00%             | 2059-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT VAR 06/25/2030                                                                                    | CUSIP: 3137HMC65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1522049.85    | 0.00%             | 2030-06-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TRUST 2025-2                                                                 | CASTLELAKE AIRCRAFT STRUCTURED TRUST 2025-2 5.465% 08/15/2050 144A                                                               | CUSIP: 14855XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1951241 | PA      | $1978490.41    | 0.00%             | 2050-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTERN FDG AUTO LN TR 2025-1                                                                               | WESTERN FDG AUTO LN TR 2025-1 C 5.34% 11/15/2035 144A                                                                            | CUSIP: 958250AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1855000 | PA      | $1881578.81    | 0.00%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOOTS GROUP FINCO LP                                                                                        | BOOTS GROUP FINCO LP 5.375% 08/31/2032 144A                                                                                      | CUSIP: N/A<br>LEI: 254900YVLYOVF1PF1N93       | Long             | DBT              | CORP              | US        |      475000 | PA      | $566123.02     | 0.00%             | 2032-08-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOOTS GROUP FINCO LP                                                                                        | BOOTS GROUP FINCO LP 7.375% 08/31/2032 144A                                                                                      | CUSIP: N/A<br>LEI: 254900YVLYOVF1PF1N93       | Long             | DBT              | CORP              | US        |      550000 | PA      | $747660.57     | 0.00%             | 2032-08-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                                                               | COREWEAVE INC 9% 02/01/2031 144A                                                                                                 | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      885000 | PA      | $800831.28     | 0.00%             | 2031-02-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC NV                                                                               | GOLDEN NUGGET TERM B 1LN 01/29/2029                                                                                              | CUSIP: 31556PAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      373067 | PA      | $372563.36     | 0.00%             | 2029-01-29      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                                 | BANK OF AMERICA CORPORATION 6.25%/VAR PERP                                                                                       | CUSIP: 06055HAK9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |     1695000 | PA      | $1713961.97    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                                                         | AMERICAN EXPRESS CO 4.918%/VAR 07/20/2033                                                                                        | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      425000 | PA      | $435377.24     | 0.00%             | 2033-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMM 2025-SBX MORTGAGE TRUST                                                                                | COMM 2025-SBX MORTGAGE TRUST VAR 08/10/2041 144A                                                                                 | CUSIP: 20047UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       74000 | PA      | $74392.05      | 0.00%             | 2041-08-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                                                          | CLEAR CHANNEL OUTDOOR HOLDINGS INC 7.125% 02/15/2031 144A                                                                        | CUSIP: 18453HAG1<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |      625000 | PA      | $650504.38     | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 08/01/2055#RJ4585                                                                                                   | CUSIP: 3142GVCX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2910307 | PA      | $2985864.79    | 0.01%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLWYN ENTERTAINMENT FINANCING UK PLC                                                                       | ALLWYN ENTERTAINMENT FINANCING UK PLC 4.125% 02/15/2031 REGS                                                                     | CUSIP: N/A<br>LEI: 315700J7ZTIN8XGCX365       | Long             | DBT              | CORP              | GB        |      294000 | PA      | $334298.93     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TAURUS 2025-4 UK DAC                                                                                        | TAURUS 2025-4 UK DAC SONIO+ 08/18/2035 REGS                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | IE        |      100000 | PA      | $132359.91     | 0.00%             | 2035-08-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TAURUS 2025-4 UK DAC                                                                                        | TAURUS 2025-4 UK DAC SONIO+ 08/18/2035 REGS                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | IE        |      100000 | PA      | $132360.34     | 0.00%             | 2035-08-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-1A                                                                                          | RCKT TRUST 2025-1A 4.9% 07/25/2034 144A                                                                                          | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      606098 | PA      | $607574.40     | 0.00%             | 2034-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GRAY TELEVISION INC                                                                                         | GRAY TELEVISION INC 7.25% 08/15/2033 144A                                                                                        | CUSIP: 389375AP1<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |      220000 | PA      | $220380.60     | 0.00%             | 2033-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | JPSW SWAP REC 3.837 07/22/26                                                                                                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |     7140000 | NC      | $220103.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | JPSW SWAP PAY 3.837 07/22/26                                                                                                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |     7140000 | NC      | $106485.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                                    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5% 10/16/2056                                                                           | CUSIP: 38381MZA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      353633 | PA      | $356426.22     | 0.00%             | 2056-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAIN CAP CR CLO 2023-2 LTD / BAIN CAP CR CLO 2023-2 LLC                                                     | BAIN CAP CR CLO 2023-2 LTD / BAIN CAP CR CLO 2023-2 LLC A1R TSFR3M+ 07/18/2038 144A                                              | CUSIP: 05684GAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     3748000 | PA      | $3757662.34    | 0.01%             | 2038-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| The Action Environmental Group, Inc.                                                                        | INTERSTATE WASTE SERVICE TERM B 1LN 10/24/2030                                                                                   | CUSIP: 00507JAF3<br>LEI: 549300BB30QUQC86W666 | Long             | LON              | CORP              | US        |      286728 | PA      | $286549.83     | 0.00%             | 2030-10-24      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CWALT INC                                                                                                   | CWALT INC STEP 02/25/2035                                                                                                        | CUSIP: 12667FD51<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      869747 | PA      | $800131.25     | 0.00%             | 2035-02-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4                                                               | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4 B1 VAR 07/25/2065 144A                                                             | CUSIP: 64832FAG1<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-CBDO         | CORP              | US        |      125000 | PA      | $126084.30     | 0.00%             | 2065-07-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4                                                               | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4 A1 5.35% 07/25/2065 144A                                                           | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-CBDO         | CORP              | US        |      428121 | PA      | $431624.91     | 0.00%             | 2065-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SESAC FINANCE LLC 2022-1                                                                                    | SESAC FINANCE LLC 2022-1 5.5% 07/25/2055 144A                                                                                    | CUSIP: 78396YAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      557000 | PA      | $558082.36     | 0.00%             | 2055-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                                    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION AG 4.75% 07/16/2066                                                                     | CUSIP: 38381MZB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      350995 | PA      | $346781.84     | 0.00%             | 2066-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                                         | SYNCHRONY FINANCIAL 5.019%/VAR 07/29/2029                                                                                        | CUSIP: 87165BAX1<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     1283000 | PA      | $1295669.65    | 0.00%             | 2029-07-29      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTAIN HOLDINGS GIBRALTAR LTD                                                                               | ENTAIN TERM B6 1LN 10/31/2029                                                                                                    | CUSIP: N/A<br>LEI: 213800ATWJIEYQ8NF838       | Long             | LON              | CORP              | GI        |      121561 | PA      | $121206.38     | 0.00%             | 2029-10-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| C and S WHOLESALE GROCERS INC                                                                               | C and S WHOLESALE GROCERS TERM B 1LN 9/20/2030                                                                                   | CUSIP: 12676AAB1<br>LEI: 54930093F8X1FEZBGJ91 | Long             | LON              | CORP              | US        |      605381 | PA      | $595543.15     | 0.00%             | 2030-09-20      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4% 07/31/2032                                                                                                          | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    42900000 | PA      | $43484847.55   | 0.10%             | 2032-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3MB+15.9 07/31/2027                                                                                                    | CUSIP: 91282CNQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   159300000 | PA      | $159251351.37  | 0.36%             | 2027-07-31      | Floating      | 0.04%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                                                                                    | EAGLE FUNDING LUXCO SARL 5.5% 08/17/2030 144A                                                                                    | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | CORP              | LU        |    13300000 | PA      | $13491387.00   | 0.03%             | 2030-08-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COLT 2025-8 MTG LN TR                                                                                       | COLT 2025-8 MTG LN TR 25-8 A1 5.48% 08/25/2070 144A                                                                              | CUSIP: 19689DAA7<br>LEI: 2138009IZ4NQZAKAEN75 | Long             | ABS-CBDO         | CORP              | US        |      354727 | PA      | $357788.70     | 0.00%             | 2070-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                                    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 4.75% 08/16/2056                                                                        | CUSIP: 38381MXF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      111545 | PA      | $111297.43     | 0.00%             | 2056-08-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                                    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 4.75% 09/16/2054                                                                        | CUSIP: 38381MYE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      111512 | PA      | $111322.68     | 0.00%             | 2054-09-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                                          | ALLY FINL INC 5.548%/VAR 07/31/2033                                                                                              | CUSIP: 02005NCA6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     5500000 | PA      | $5538484.71    | 0.01%             | 2033-07-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                                                        | ROYAL BANK OF CANADA 4.498%/VAR 08/06/2029                                                                                       | CUSIP: 78017DAK4<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    11500000 | PA      | $11619633.81   | 0.03%             | 2029-08-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                                                                                         | US LBM TERM B 1LN 06/06/2031                                                                                                     | CUSIP: 50179JAK4<br>LEI: 549300FAEB3VWZL4NI86 | Long             | LON              | CORP              | US        |       64831 | PA      | $64031.01      | 0.00%             | 2031-06-06      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                                              | DEUTSCHE BANK AG NEW YORK BNCH 4.95%/VAR 08/04/2031                                                                              | CUSIP: 251526DB2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |     1950000 | PA      | $1978274.98    | 0.00%             | 2031-08-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-NQM4 TR                                                                                           | GCAT 2025-NQM4 A1 TRUST 5.529% 06/25/2070 144A                                                                                   | CUSIP: 367923AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      468267 | PA      | $472887.35     | 0.00%             | 2070-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+145 02/25/2055                                                                            | CUSIP: 3137HJMQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     4480000 | PA      | $4500836.94    | 0.01%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                                                        | ONEMAIN FINANCE CORP 6.125% 05/15/2030                                                                                           | CUSIP: 682691AL4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      110000 | PA      | $111768.69     | 0.00%             | 2030-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                                                | NEXTERA ENERGY CAP HLDGS INC 4.685% 09/01/2027                                                                                   | CUSIP: 65339KCL2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      545000 | PA      | $550768.33     | 0.00%             | 2027-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                                                                                         | LBM ACQUISITION LLC 9.5% 06/15/2031 144A                                                                                         | CUSIP: 52109SAB5<br>LEI: 549300FAEB3VWZL4NI86 | Long             | DBT              | CORP              | US        |      130000 | PA      | $133993.60     | 0.00%             | 2031-06-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SCG 2025-FLWR                                                                                               | SCG 2025-FLWR 5.65% 08/15/2030 144A                                                                                              | CUSIP: 78438AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2604000 | PA      | $2605625.16    | 0.01%             | 2042-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SCG 2025-FLWR                                                                                               | SCG 2025-FLWR VAR 08/15/2030 144A                                                                                                | CUSIP: 78438AAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23000 | PA      | $22992.77      | 0.00%             | 2042-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BHG 2025-2CON                                                                                               | BHG 2025-2CON 4.84% 09/17/2036 144A                                                                                              | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1566089 | PA      | $1582495.90    | 0.00%             | 2036-09-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DYNO NOBEL LTD                                                                                              | DYNO NOBEL LTD 5.4% 11/08/2032                                                                                                   | CUSIP: N/A<br>LEI: 254900UW2F3BKV6Z9V18       | Long             | DBT              | CORP              | AU        |      620000 | PA      | $401907.66     | 0.00%             | 2032-11-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLDING LLC                                                                                       | HIGHTOWER TERM B 1LN 02/03/2032                                                                                                  | CUSIP: 43117LAP8<br>LEI: 254900MKOSB7RTMA9K12 | Long             | LON              | CORP              | US        |       79800 | PA      | $79700.25      | 0.00%             | 2032-02-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.75% 08/15/2055                                                                                     | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    38500000 | PA      | $38981250.00   | 0.09%             | 2055-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4.25% 08/15/2035                                                                                                       | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   147871000 | PA      | $150736000.63  | 0.34%             | 2035-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DIGICEL INTERNATIONAL FINANCE LTD / DIFL US LLC                                                             | DIGICEL INTERNATIONAL FINANCE LTD / DIFL US LLC 8.625% 08/01/2032 144A                                                           | CUSIP: 25381MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | JM        |     3680000 | PA      | $3757004.00    | 0.01%             | 2032-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XIX LTD                                                                                    | SIXTH STREET CLO XIX LTD A1R TSFR3M+128 07/17/2038 144A                                                                          | CUSIP: 83012KAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2160000 | PA      | $2165395.68    | 0.00%             | 2038-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM14 A1                                                                                           | OBX 2025-NQM14 STEP 08/25/2064 144A                                                                                              | CUSIP: 673924AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3557093 | PA      | $3569891.90    | 0.01%             | 2065-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2052#FA2174                                                                                                 | CUSIP: 3140W2MY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4796721 | PA      | $4145353.98    | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SW FINANCE I PLC                                                                                            | SW FINANCE I PLC 6.875% 08/07/2032 REGS                                                                                          | CUSIP: N/A<br>LEI: 549300BHN1HB5BNG2R96       | Long             | DBT              | CORP              | GB        |      650000 | PA      | $893401.34     | 0.00%             | 2032-08-07      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 08/25/2055                                                                            | CUSIP: 3137HMD23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     8249172 | PA      | $8286782.98    | 0.02%             | 2055-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+ 08/25/2055                                                                               | CUSIP: 3137HMDP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     5224234 | PA      | $5250182.20    | 0.01%             | 2055-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+118 08/25/2055                                                                            | CUSIP: 3136BWYL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     7391019 | PA      | $7417834.19    | 0.02%             | 2055-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LYRA MUSIC ASSETS DELAWARE LP                                                                               | LYRA MUSIC ASSETS DELAWARE LP 2025-1A A2 5.604% 09/20/2065 144A                                                                  | CUSIP: 552339AD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      259000 | PA      | $262303.44     | 0.00%             | 2065-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCU AUTO RECEIVABLES TRUST 2025-1                                                                          | OCCU AUTO RECEIVABLES TRUST 2025-1 4.81% 11/15/2029 144A                                                                         | CUSIP: 67098SAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      700000 | PA      | $705823.65     | 0.00%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2052#FA2214                                                                                                 | CUSIP: 3140W2N80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3813372 | PA      | $3303879.88    | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2052#FA2409                                                                                                 | CUSIP: 3140W2VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1748455 | PA      | $1513756.76    | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/01/2052#FA2410                                                                                                 | CUSIP: 3140W2VC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1876127 | PA      | $1629567.53    | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 04/01/2052#FA2411                                                                                                 | CUSIP: 3140W2VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1438314 | PA      | $1251089.80    | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                                    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5% 05/16/2065                                                                           | CUSIP: 38381PXY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      152561 | PA      | $150832.34     | 0.00%             | 2065-05-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 6% 04/01/2054#RJ1231                                                                                                   | CUSIP: 3142GRLM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      310048 | PA      | $319809.37     | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                                              | FHLMC REMI 30YR 6% 05/01/2055#RJ4166                                                                                             | CUSIP: 3142GUTY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      865322 | PA      | $891010.27     | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                                              | FHLMC REMI 30YR 6% 04/01/2055#RJ3896                                                                                             | CUSIP: 3142GUKJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      423141 | PA      | $435702.44     | 0.00%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-BCAT                                                                      | BX COMMERCIAL MORTGAGE TRUST 2025-BCAT A TSFR1M+ 08/15/2042 144A                                                                 | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      316234 | PA      | $316233.94     | 0.00%             | 2042-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DURST COML MTG TR 2025-151                                                                                  | DURST COMMERCIAL MORTGAGE TRUST 2025-151 A VAR 08/10/2042 144A                                                                   | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      137000 | PA      | $139991.44     | 0.00%             | 2042-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AOA 2025-1301                                                                                               | AOA TRUST 2025-1301 A 5.227292% 08/11/2030                                                                                       | CUSIP: 682461AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      155000 | PA      | $157985.55     | 0.00%             | 2042-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DURST COML MTG TR 2025-151                                                                                  | DURST COML MTG TR 2025-151 CSTR 08/10/2042 144A                                                                                  | CUSIP: 266895AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      262000 | PA      | $271486.16     | 0.00%             | 2042-08-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AOA 2025-1301                                                                                               | 1301 TRUST 2025-AOA F 8.373358% 08/11/2042                                                                                       | CUSIP: 682461AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1547000 | PA      | $1565015.59    | 0.00%             | 2042-08-11      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| AOA 2025-1301                                                                                               | 1301 TRUST 2025-AOA E 7.478202% 08/11/2030                                                                                       | CUSIP: 682461AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      108000 | PA      | $109293.03     | 0.00%             | 2042-08-11      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-BCAT                                                                      | BX COMMERCIAL MORTGAGE TRUST 2025-BCAT E TSFR1M+350 08/15/2042 144A                                                              | CUSIP: 12433HAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      259695 | PA      | $259171.54     | 0.00%             | 2042-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-BCAT                                                                      | BX COMMERCIAL MORTGAGE TRUST 2025-BCAT B TSFR1M+155 08/15/2042 144A                                                              | CUSIP: 12433HAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       95828 | PA      | $95828.45      | 0.00%             | 2042-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-BCAT                                                                      | BX COMMERCIAL MORTGAGE TRUST 2025-BCAT TSFR1M+190 08/15/2042 144A                                                                | CUSIP: 12433HAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       95828 | PA      | $95828.45      | 0.00%             | 2042-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BHMS COMMERCIAL MORTGAGE TRUST 2025-ATLS                                                                    | BHMS COMMERCIAL MORTGAGE TRUST 2025-ATLS STEP 08/15/2042 144A                                                                    | CUSIP: 088928AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      274000 | PA      | $274514.27     | 0.00%             | 2042-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2015-3 LTD                                                                                         | VOYA CLO 2015-3 LTD A3R4 TSFR3M+145 10/20/2031 144A                                                                              | CUSIP: 92913UBN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250255.75     | 0.00%             | 2031-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 5% 07/01/2053#SL1477                                                                                                   | CUSIP: 31427NUB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5613046 | PA      | $5678308.34    | 0.01%             | 2053-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 15 LTD                                                                                | ANCHORAGE CAPITAL CLO 15 LTD A1R2 TSFR3M+ 07/20/2038 144A                                                                        | CUSIP: 03329FAW4<br>LEI: 549300H5Q0HJ2EHSSX26 | Long             | ABS-CBDO         | CORP              | KY        |      470000 | PA      | $471471.57     | 0.00%             | 2038-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 4.5% 01/01/2056 #TBA                                                                                                     | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    47300000 | PA      | $46241293.56   | 0.10%             | 2056-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5% 01/01/2056 #TBA                                                                                                       | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    71154000 | PA      | $70998350.63   | 0.16%             | 2056-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 5.5% 01/01/2056 #TBA                                                                                                     | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    65275000 | PA      | $65879302.90   | 0.15%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6% 01/01/2056 #TBA                                                                                                       | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    56675000 | PA      | $57770862.13   | 0.13%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6% 01/01/2056 #TBA                                                                                                       | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -21350000 | PA      | $-21762821.47  | -0.05%            | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6.5% 01/01/2056 #TBA                                                                                                     | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2888000 | PA      | $2971142.92    | 0.01%             | 2056-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 2% 01/01/2056 #TBA                                                                                                     | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   136149000 | PA      | $110881665.30  | 0.25%             | 2056-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 2.5% 01/01/2056 #TBA                                                                                                   | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -2000000 | PA      | $-1702656.20   | -0.00%            | 2056-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 2.5% 01/01/2056 #TBA                                                                                                   | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    29773000 | PA      | $25346591.52   | 0.06%             | 2056-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 4% 01/01/2056 #TBA                                                                                                     | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   393119000 | PA      | $374384442.31  | 0.85%             | 2056-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 4.5% 01/01/2056 #TBA                                                                                                   | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -119700000 | PA      | $-117086242.77 | -0.26%            | 2056-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 4.5% 01/01/2056 #TBA                                                                                                   | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   798937000 | PA      | $781491491.56  | 1.77%             | 2056-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 5% 01/01/2056 #TBA                                                                                                     | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   331079436 | PA      | $330212934.90  | 0.75%             | 2056-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 5.5% 01/01/2056 #TBA                                                                                                   | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   656000000 | PA      | $663764350.40  | 1.50%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 6% 01/01/2056 #TBA                                                                                                     | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   147624000 | PA      | $151135842.10  | 0.34%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 6.5% 01/01/2056 #TBA                                                                                                   | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    47700000 | PA      | $49434715.44   | 0.11%             | 2056-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORT TR 2025-ATRM                                                                              | ATRIUM HOTEL PORT TR 2025-ATRM G TSFR1M+675 08/15/2030 144A                                                                      | CUSIP: 049917AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       83000 | PA      | $82966.38      | 0.00%             | 2042-08-15      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORT TR 2025-ATRM                                                                              | ATRIUM HOTEL PORT TR 2025-ATRM F TSFR1M+550 08/15/2030 144A                                                                      | CUSIP: 049917AL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      447000 | PA      | $446815.93     | 0.00%             | 2042-08-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| ARBOR RLTY COML REAL ESTATE NTS 2025-FL1 LLC                                                                | ARBOR REALTY COMMERCIAL REAL ESTATE NOTES 2025-FL1 LLC A TSFR1M+135.4 08/20/2042 144A                                            | CUSIP: 03881KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      405000 | PA      | $405937.05     | 0.00%             | 2043-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAISTER FINANCE DAC                                                                                         | CAISTER FINANCE DAC SONIO+ 08/17/2035 144A                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | IE        |     1500000 | PA      | $1972574.02    | 0.00%             | 2035-08-17      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR OPERATING CO LLC                                                                                   | ENDEAVOR TERM A 1LN 03/24/2028                                                                                                   | CUSIP: 26875YAC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      106287 | PA      | $106287.26     | 0.00%             | 2028-03-24      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HEARTLAND DENTAL LLC                                                                                        | HEARTLAND DENTAL TERM B 1LN 8/25/2032                                                                                            | CUSIP: 42236WAX5<br>LEI: 5493008FRC0GRKBN1075 | Long             | LON              | CORP              | US        |      349420 | PA      | $350657.21     | 0.00%             | 2032-08-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORT TR 2025-ATRM                                                                              | ATRIUM HOTEL PORT TR 2025-ATRM A TSFR1M+165 08/15/2030 144A                                                                      | CUSIP: 049917AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      209000 | PA      | $209310.55     | 0.00%             | 2042-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-B                                                                            | NELNET STUDENT LOAN TRUST 2025-BA C 5.38% 05/17/2055 144A                                                                        | CUSIP: 64032BAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      260000 | PA      | $262533.18     | 0.00%             | 2055-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                                                  | FISERV INC 4.55% 02/15/2031                                                                                                      | CUSIP: 337738BP2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     1865000 | PA      | $1851092.90    | 0.00%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                                                       | LEVEL 3 FINANCING INC 7% 03/31/2034 144A                                                                                         | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     2541000 | PA      | $2602593.84    | 0.01%             | 2034-03-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                                                  | FISERV INC 5.25% 08/11/2035                                                                                                      | CUSIP: 337738BQ0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2608617.96    | 0.01%             | 2035-08-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                                            | ALTRIA GROUP INC 4.5% 08/06/2030                                                                                                 | CUSIP: 02209SBU6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      390000 | PA      | $392947.62     | 0.00%             | 2030-08-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                                            | ALTRIA GROUP INC 5.25% 08/06/2035                                                                                                | CUSIP: 02209SBV4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      410000 | PA      | $417580.87     | 0.00%             | 2035-08-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-B                                                                            | NELNET STUDENT LOAN TRUST 2025-B 4.98% 05/17/2055 144A                                                                           | CUSIP: 64032BAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      630000 | PA      | $632350.85     | 0.00%             | 2055-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC 4.476%/VAR 11/11/2029                                                                                               | CUSIP: 06738EDD4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     5605000 | PA      | $5638132.78    | 0.01%             | 2029-11-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                                                | BARCLAYS PLC 5.86%/VAR 08/11/2046                                                                                                | CUSIP: 06738EDE2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1390000 | PA      | $1443473.51    | 0.00%             | 2046-08-11      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                                                         | DOMINION ENERGY INC 6.2%/VAR 02/15/2056                                                                                          | CUSIP: 25746UEA3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     2210000 | PA      | $2231862.89    | 0.01%             | 2056-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                                                         | DOMINION ENERGY INC 6%/VAR 02/15/2056                                                                                            | CUSIP: 25746UDZ9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      699000 | PA      | $707234.67     | 0.00%             | 2056-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC REIT                                                                                | MILLROSE PROPERTIES INC REIT 6.375% 08/01/2030 144A                                                                              | CUSIP: 601137AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      315000 | PA      | $321340.32     | 0.00%             | 2030-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-B                                                                            | NELNET STUDENT LOAN TRUST 2025-B D 6.04% 05/17/2055 144A                                                                         | CUSIP: 64032BAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      222000 | PA      | $223662.42     | 0.00%             | 2055-05-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-B                                                                            | NELNET STUDENT LOAN TRUST 2025-B SOFR30A+135 05/17/2055 144A                                                                     | CUSIP: 64032BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1578716 | PA      | $1589220.94    | 0.00%             | 2055-05-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 08/01/2055#RJ4642                                                                                                   | CUSIP: 3142GVEQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6359106 | PA      | $6631345.36    | 0.02%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| QUANTA SVCS INC                                                                                             | QUANTA SVCS INC 4.5% 01/15/2031                                                                                                  | CUSIP: 74762EAN2<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |      415000 | PA      | $416748.86     | 0.00%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                                                    | MSCI INC 5.25% 09/01/2035                                                                                                        | CUSIP: 55354GAR1<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     3677000 | PA      | $3718110.40    | 0.01%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HOWARD MIDSTREAM ENERGY PARTNERS LLC                                                                        | HOWARD MIDSTREAM ENERGY PARTNERS LLC 6.625% 01/15/2034 144A                                                                      | CUSIP: 442722AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      145000 | PA      | $148646.59     | 0.00%             | 2034-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MFA 2025-NQM3 TRUST                                                                                         | MFA 2025-NQM3 TRUST 5.261% 08/25/2070 144A                                                                                       | CUSIP: 58004LAA5<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-CBDO         | CORP              | US        |      928454 | PA      | $931229.00     | 0.00%             | 2070-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 2% 02/01/2052#SD2298                                                                                                   | CUSIP: 3132DPRT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      210076 | PA      | $174683.69     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 08/01/2050#BQ0233                                                                                                   | CUSIP: 3140KKHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      112287 | PA      | $92706.30      | 0.00%             | 2050-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2052#FS3863                                                                                                   | CUSIP: 3140XKJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      694334 | PA      | $577356.12     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 03/01/2052#FS9368                                                                                                   | CUSIP: 3140XRMS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      625737 | PA      | $519143.05     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEXUS BUYER LLC                                                                                             | INTRAFI NETWORK TERM B 1LN 07/31/2031                                                                                            | CUSIP: 65343UAJ1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       70000 | PA      | $69890.80      | 0.00%             | 2031-07-31      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                                                  | FIRST QUANTUM MINERALS LTD 7.25% 02/15/2034 144A                                                                                 | CUSIP: 335934AX3<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     1205000 | PA      | $1242644.20    | 0.00%             | 2034-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                                                   | ONEOK INC 4.95% 10/15/2032                                                                                                       | CUSIP: 682680DB6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     1075000 | PA      | $1082475.44    | 0.00%             | 2032-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                                                   | ONEOK INC 6.25% 10/15/2055                                                                                                       | CUSIP: 682680DD2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     3645000 | PA      | $3699146.15    | 0.01%             | 2055-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 7% 08/20/2055#DL5965                                                                                                     | CUSIP: 3618LHTW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1389268 | PA      | $1427587.56    | 0.00%             | 2055-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                                              | GNMA II 7% 08/20/2055#DL6577                                                                                                     | CUSIP: 3618LJJW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2241795 | PA      | $2305031.61    | 0.01%             | 2055-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UPGRADE MASTER PASS-THRU TRUST SERIES 2025-ST5                                                              | UPGRADE MASTER PASS-THRU TRUST SERIES 2025-ST5 5.419% 09/15/2032 144A                                                            | CUSIP: 91535BAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      145000 | PA      | $145582.52     | 0.00%             | 2032-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | CITI SWAP CDS 12/20/30 AVLN B                                                                                                    | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DCR              | CORP              | US        |     1150000 | NC      | $-6298.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | JPSW SWAP CDS 12/20/30 CMZB B                                                                                                    | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |     1000000 | NC      | $1626.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 03/01/2054#FS7428                                                                                                 | CUSIP: 3140XPHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      389602 | PA      | $396615.89     | 0.00%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 08/01/2053#CB6868                                                                                                 | CUSIP: 3140QST27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      723323 | PA      | $736344.89     | 0.00%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 02/01/2053#BX6449                                                                                                 | CUSIP: 3140NBEX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62945 | PA      | $64057.86      | 0.00%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LXXIII LTD                                                                             | MADISON PARK FUNDING LXXIII LTD B TSFR3M+ 10/17/2038 144A                                                                        | CUSIP: 55823HAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $251094.50     | 0.00%             | 2038-10-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                                                      | ROPER TECHNOLOGIES INC 4.45% 09/15/2030                                                                                          | CUSIP: 776696AL0<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |      285000 | PA      | $286591.12     | 0.00%             | 2030-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                                                        | VERISK ANALYTICS INC 4.5% 08/15/2030                                                                                             | CUSIP: 92345YAM8<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |     1182000 | PA      | $1191573.99    | 0.00%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                                                        | VERISK ANALYTICS INC 5.125% 02/15/2036                                                                                           | CUSIP: 92345YAN6<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |     2657000 | PA      | $2695061.66    | 0.01%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                                                             | PENNYMAC FINANCIAL SERVICES INC 6.75% 02/15/2034 144A                                                                            | CUSIP: 70932MAH0<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |      255000 | PA      | $262759.14     | 0.00%             | 2034-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                                                    | SNAP INC 6.875% 03/15/2034 144A                                                                                                  | CUSIP: 83304AAM8<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |      190000 | PA      | $194218.38     | 0.00%             | 2034-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                                                     | MPLX LP 4.8% 02/15/2031                                                                                                          | CUSIP: 55336VCA6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     3800000 | PA      | $3848610.13    | 0.01%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                                                   | BALL CORP 5.5% 09/15/2033                                                                                                        | CUSIP: 058498BA3<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |     1405000 | PA      | $1431456.15    | 0.00%             | 2033-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                                                        | WR GRACE HOLDING LLC 6.625% 08/15/2032 144A                                                                                      | CUSIP: 92943GAF8<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |      285000 | PA      | $282903.00     | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | JPSW SWAP CDS 12/20/30 HEIGR B                                                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |     1170000 | NC      | $-294454.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC                                                                   | SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC 4.911% 09/01/2027                                                                      | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |      535000 | PA      | $539079.59     | 0.00%             | 2027-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 08/01/2055#CC0888                                                                                                 | CUSIP: 3140Y67A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3250722 | PA      | $3441350.79    | 0.01%             | 2055-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 08/01/2055#CC0887                                                                                                 | CUSIP: 3140Y66Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2588236 | PA      | $2740823.87    | 0.01%             | 2055-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC                                                                   | SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC 5.026% 10/01/2029                                                                      | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |     4320000 | PA      | $4385371.02    | 0.01%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GAM RE-REMIC TRUST 2021-FRR1                                                                                | GAM RE-REMIC TRUST 2021-FRR1 2C 0% 11/29/2050 144A                                                                               | CUSIP: 364614AS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4500000 | PA      | $3953457.90    | 0.01%             | 2050-11-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 08/01/2055#CC0876                                                                                                   | CUSIP: 3140Y66N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3686119 | PA      | $3808216.46    | 0.01%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 08/01/2055#CC0872                                                                                                   | CUSIP: 3140Y66J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      433648 | PA      | $446284.27     | 0.00%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-COPT                                                                      | BX COMMERCIAL MORTGAGE TRUST 2025 TSFR1M+175 COPT A 09/15/2042 144A                                                              | CUSIP: 05618XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1595000 | PA      | $1595994.16    | 0.00%             | 2042-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                                                                    | QUEENSLAND TREASURY CORP 5.25% 08/13/2038 144A REGS                                                                              | CUSIP: N/A<br>LEI: 98INKCEEHOU5YJS0HQ88       | Long             | DBT              | NUSS              | AU        |     4185000 | PA      | $2682908.82    | 0.01%             | 2038-08-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                                                     | MPLX LP 5% 01/15/2033                                                                                                            | CUSIP: 55336VCB4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     4020000 | PA      | $4056965.19    | 0.01%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XX LTD                                                                          | BENEFIT STREET PARTNERS CLO XX LTD ARR TSFR3M+129 07/15/2037 144A                                                                | CUSIP: 08182FAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501471.50     | 0.00%             | 2037-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BIRCH GROVE CLO 13 LTD                                                                                      | BIRCH GROVE CLO 13 LTD 25-13A A1 TSFR3M+ 10/23/2038 144A                                                                         | CUSIP: 09090QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250369.00     | 0.00%             | 2038-10-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNPI SWAP CDS 12/20/30 ALVGR B                                                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |     1500000 | NC      | $-23112.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH BOW CANADIAN INFRASTRUCTURE HOLDINGS LTD                                                              | SOUTH BOW CANADIAN INFRASTRUCTURE HOLDINGS LTD 7.5%/VAR 03/01/2055                                                               | CUSIP: 836720AJ1<br>LEI: 2549004FYUSYLPBT1G26 | Long             | DBT              | CORP              | CA        |       48000 | PA      | $50909.66      | 0.00%             | 2055-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| QUIDELORTHO CORP                                                                                            | QUIDELORTHO TERM B 1LN 08/23/2032                                                                                                | CUSIP: 74840YAH7<br>LEI: 549300YU8CMO9HF53113 | Long             | LON              | CORP              | US        |      510815 | PA      | $508102.15     | 0.00%             | 2032-08-23      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BOAM SWAP PAY 3.8 08/10/26                                                                                                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    16240000 | NC      | $278072.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BOAM SWAP REC 3.8 08/10/26                                                                                                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    16240000 | NC      | $479617.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PENN COMMERCIAL MORTGAGE TRUST                                                                              | PENN COMMERCIAL MORTGAGE TRUST CSTR 08/10/2042 144A                                                                              | CUSIP: 69382VAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      142000 | PA      | $146637.52     | 0.00%             | 2042-08-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                                                  | ZOETIS INC 4.15% 08/17/2028                                                                                                      | CUSIP: 98978VAW3<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |     6100000 | PA      | $6137528.48    | 0.01%             | 2028-08-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                                                  | ZOETIS INC 5% 08/17/2035                                                                                                         | CUSIP: 98978VAX1<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |      495000 | PA      | $503655.36     | 0.00%             | 2035-08-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC                                                                                       | QNITY ELECTRONICS INC 5.75% 08/15/2032 144A                                                                                      | CUSIP: 74743LAA8<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |      850000 | PA      | $872372.85     | 0.00%             | 2032-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC                                                                                       | QNITY ELECTRONICS INC 6.25% 08/15/2033 144A                                                                                      | CUSIP: 74743LAB6<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |      205000 | PA      | $212448.06     | 0.00%             | 2033-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 6.5%/VAR 02/15/2056                                                                                           | CUSIP: 29273VBG4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1550000 | PA      | $1528080.06    | 0.00%             | 2056-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                                          | ENERGY TRANSFER LP 6.75%/VAR 02/15/2056                                                                                          | CUSIP: 29273VBH2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       65000 | PA      | $64678.77      | 0.00%             | 2056-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS METRO                                                                                         | EVERGY KANSAS METRO 5.125% 08/15/2035                                                                                            | CUSIP: 30037DAE5<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     4725000 | PA      | $4806274.44    | 0.01%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                                               | TRANSDIGM INC 6.25% 01/31/2034 144A                                                                                              | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |       40000 | PA      | $41473.56      | 0.00%             | 2034-01-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                                                | NOVELIS CORP 6.375% 08/15/2033 144A                                                                                              | CUSIP: 670001AN6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |      720000 | PA      | $726544.08     | 0.00%             | 2033-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 07/01/2055#FA2138                                                                                                 | CUSIP: 3140W2LU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1038746 | PA      | $1098605.18    | 0.00%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                                               | TRANSDIGM INC 6.75% 01/31/2034 144A                                                                                              | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      220000 | PA      | $229864.72     | 0.00%             | 2034-01-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 06/01/2055#MA5735                                                                                                 | CUSIP: 31418FLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2207135 | PA      | $2235835.57    | 0.01%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION LLC                                                                                | FIRSTENERGY TRANSMISSION LLC 4.75% 01/15/2033 144A                                                                               | CUSIP: 33767BAJ8<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     1176000 | PA      | $1181803.04    | 0.00%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 5% 04/01/2040#QO3458                                                                                                   | CUSIP: 3133WMZX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      577556 | PA      | $584280.65     | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLINGTON MANAGEMENT CLO 5 LTD                                                                             | WELLINGTON MANAGEMENT CLO 5 LTD A TSFR3M+ 10/18/2038 144A                                                                        | CUSIP: 94957NAA3<br>LEI: 213800J6I7L5KYTPNH51 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250506.00     | 0.00%             | 2038-10-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BRIDGE 2025-SFR1 TRUST                                                                                      | BRIDGE 2025-SFR1 TRUST 4.35% 09/17/2042 144A                                                                                     | CUSIP: 10807GAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1595000 | PA      | $1490132.74    | 0.00%             | 2042-09-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-3                                                                           | SOFI CONSUMER LOAN PROGRAM 2025-3 4.47% 08/15/2034 144A                                                                          | CUSIP: 83390JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1481040 | PA      | $1484175.30    | 0.00%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                                             | NXP B V/NXP FDG LLC/NXP USA INC 4.85% 08/19/2032                                                                                 | CUSIP: 62954HBG2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     1461000 | PA      | $1473995.57    | 0.00%             | 2032-08-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                                             | NXP B V/NXP FDG LLC/NXP USA INC 5.25% 08/19/2035                                                                                 | CUSIP: 62954HBH0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     4212000 | PA      | $4283467.15    | 0.01%             | 2035-08-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                                                   | INVITATION HOMES OPERATING PARTNERSHIP LP 4.95% 01/15/2033                                                                       | CUSIP: 46188BAH5<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |     1870000 | PA      | $1892664.96    | 0.00%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORP                                                                                 | AMERICAN HONDA FINANCE CORP FRN SOFR+73 08/13/2027                                                                               | CUSIP: 02665WGH8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    10100000 | PA      | $10122943.97   | 0.02%             | 2027-08-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EMD FIN LLC                                                                                                 | EMD FIN LLC 4.375% 10/15/2030 144A                                                                                               | CUSIP: 26867LAP5<br>LEI: 529900C8KS5G529A0B76 | Long             | DBT              | CORP              | US        |     5200000 | PA      | $5224859.85    | 0.01%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                                                                | ZCS BRL 13.0166 08/12/25 01/02/29 CME                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -202700000 | NC      | $-148012.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRANSDIGM GROUP INC                                                                                         | TRANSDIGM TERM M 1LN 8/19/2032                                                                                                   | CUSIP: 89364MCE2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      349518 | PA      | $350203.16     | 0.00%             | 2032-08-19      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                                                                         | CARDINAL HEALTH INC 4.5% 09/15/2030                                                                                              | CUSIP: 14149YBU1<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2929980.23    | 0.01%             | 2030-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                                                   | BLOCK INC 5.625% 08/15/2030 144A                                                                                                 | CUSIP: 852234AT0<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      120000 | PA      | $122272.08     | 0.00%             | 2030-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                                                   | BLOCK INC 6% 08/15/2033 144A                                                                                                     | CUSIP: 852234AU7<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |       95000 | PA      | $97636.86      | 0.00%             | 2033-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DK TRUST 2025-LXP                                                                                           | DK TRUST 2025-LXP D TSFR1M+ 08/15/2037 144A                                                                                      | CUSIP: 23292LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84000 | PA      | $84104.82      | 0.00%             | 2037-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DK TRUST 2025-LXP                                                                                           | DK TRUST 2025-LXP A TSFR1M+ 08/15/2037 144A                                                                                      | CUSIP: 23292LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      125000 | PA      | $125077.99     | 0.00%             | 2037-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                                                | GLP CAP LP / GLP FING II INC 5.25% 02/15/2033                                                                                    | CUSIP: 361841AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1345000 | PA      | $1350120.42    | 0.00%             | 2033-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CIFC FDG 2019-V LTD / CIFC FDG 2019-V LLC                                                                   | CIFC FDG 2019-V LTD / CIFC FDG 2019-V LLC A1R2 TSFR3M+127 10/15/2038 144A                                                        | CUSIP: 12554XAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3307000 | PA      | $3313147.71    | 0.01%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-1                                                      | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-1 2025-2 B2 SOFR30A+120 09/20/2033 144A                                     | CUSIP: 44644NAP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      284201 | PA      | $284556.76     | 0.00%             | 2033-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                                                                | ZCS BRL 13 08-13-25-01-02-29 CME                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -49200000 | NC      | $-33187.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                                                 | COMMONWEALTH BANK AUSTRALIA 3.788%/VAR 08/26/2037 REGS                                                                           | CUSIP: N/A<br>LEI: MSFSBD3QN1GSN7Q6C537       | Long             | DBT              | CORP              | AU        |      500000 | PA      | $581844.16     | 0.00%             | 2037-08-26      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CARLISLE COS INC                                                                                            | CARLISLE COS INC 5.25% 09/15/2035                                                                                                | CUSIP: 142339AN0<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1227142.58    | 0.00%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.875% 08/15/2045                                                                                    | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    85107000 | PA      | $87766593.75   | 0.20%             | 2045-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 5% 04/01/2040#SB1497                                                                                                   | CUSIP: 3132CXUW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1081703 | PA      | $1094296.81    | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 5% 07/01/2040#RR0009                                                                                                   | CUSIP: 3142JCAK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4017242 | PA      | $4064013.26    | 0.01%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 5% 02/01/2040#SB8363                                                                                                   | CUSIP: 3132D6JG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      177397 | PA      | $179462.09     | 0.00%             | 2040-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 5% 06/01/2040#RR0002                                                                                                   | CUSIP: 3142JCAC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      930559 | PA      | $941392.85     | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MHP 2025-MHIL2                                                                                              | MHP 2025-MHIL2 A 5.85/VAR 09/15/2030 144A                                                                                        | CUSIP: 59317DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1200000 | PA      | $1197912.36    | 0.00%             | 2040-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2018-1 DAC                                                                        | ROCKFORD TOWER EUROPE CLO 2018-1A DAC A1RR 3MEUR+126 08/29/2036 144A                                                             | CUSIP: N/A<br>LEI: 635400J1BXSISHD5XN53       | Long             | ABS-CBDO         | CORP              | IE        |     1000000 | PA      | $1159903.26    | 0.00%             | 2036-08-29      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                                                    | EQT CORP 7.5% 06/01/2027                                                                                                         | CUSIP: 26884LBH1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       75000 | PA      | $76181.30      | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I and II                                                                                         | GINNIE MAE II 6.5% 08/20/2055#DL8784                                                                                             | CUSIP: 3618LLXM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2681898 | PA      | $2843193.72    | 0.01%             | 2055-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD                                                                                      | ROCKFORD TOWER CLO LTD BR TSFR3M+170 07/20/2035 144A                                                                             | CUSIP: 77340JAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3055000 | PA      | $3058882.91    | 0.01%             | 2035-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ELI LILLY and CO                                                                                            | ELI LILLY and CO 4% 10/15/2028                                                                                                   | CUSIP: 532457DB1<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4429849.20    | 0.01%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL                             | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.85% 12/01/2035                                 | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      455000 | PA      | $456034.37     | 0.00%             | 2035-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TR 2025-4                                                                     | EXETER AUTOMOBILE RECEIVABLES TR 2025-4 4.39% 09/17/2029                                                                         | CUSIP: 30167KAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1500000 | PA      | $1506589.95    | 0.00%             | 2029-09-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                                                   | COREBRIDGE GBL FUNDING 4.9% 08/21/2032 144A                                                                                      | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |      380000 | PA      | $383779.00     | 0.00%             | 2032-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                                                     | SMB PRIVATE EDUCATION LOAN TRUST 2025-C SOFR30A+ 03/15/2055 144A                                                                 | CUSIP: 83208DAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2434478 | PA      | $2434462.84    | 0.01%             | 2055-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                                                     | SMB PRIVATE EDUCATION LOAN TRUST 2025-C 5.1% 03/15/2055 144A                                                                     | CUSIP: 83208DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1100000 | PA      | $1104655.42    | 0.00%             | 2055-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FIN CORP                                                                                          | BUNGE LTD FIN CORP 3.2% 04/21/2031                                                                                               | CUSIP: 120568BN9<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |      200000 | PA      | $188465.96     | 0.00%             | 2031-04-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                                                     | SMB PRIVATE EDUCATION LOAN TRUST 2025-C 4.78% 03/15/2055 144A                                                                    | CUSIP: 83208DAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1100000 | PA      | $1085776.56    | 0.00%             | 2055-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2025-RTL3                                                                              | LHOME MORTGAGE TRUST 2025-RTL3 5.239% 08/25/2040 144A                                                                            | CUSIP: 50205YAA1<br>LEI: 529900XB146PHFHY2T23 | Long             | ABS-CBDO         | CORP              | US        |     4200000 | PA      | $4220786.22    | 0.01%             | 2040-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                                                     | SMB PRIVATE EDUCATION LOAN TRUST 2025-C R 0% 03/15/2055 144A                                                                     | CUSIP: 83208D107<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1370 | PA      | $16589.05      | 0.00%             | 2055-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                                                     | SMB PRIVATE EDUCATION LOAN TRUST 2025-C 5.26% 03/15/2055 144A                                                                    | CUSIP: 83208DAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2100000 | PA      | $2030627.76    | 0.00%             | 2055-03-15      | Fixed         | 0.05%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                                                     | SMB PRIVATE EDUCATION LOAN TRUST 2025-C 4.96% 03/15/2055 144A                                                                    | CUSIP: 83208DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    21618164 | PA      | $21782174.52   | 0.05%             | 2055-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UK LOGISTICS 2024-2 DAC                                                                                     | UK LOGISTICS 2024-2 DAC SONIO+210 02/17/2035 144A                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | GB        |     1530768 | PA      | $2029776.96    | 0.00%             | 2035-02-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                                                       | ELECTRICITE DE FRANCE 5.636% 08/28/2035 REGS                                                                                     | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | CORP              | FR        |      510000 | PA      | $328646.82     | 0.00%             | 2035-08-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TR                                                                                    | UPX HIL 2025-1 A 5.53% 01/25/2047 144A                                                                                           | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      691910 | PA      | $695948.16     | 0.00%             | 2047-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | IRS EUR 3.00000 03/18/26 30Y LCH                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -830000 | NC      | $30989.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                                                    | FORD MOTOR CREDIT CO LLC 6.184% 08/29/2031                                                                                       | CUSIP: 345397H30<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      100000 | PA      | $134685.34     | 0.00%             | 2031-08-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RETAINED VANTAGE DATA CTRS ISSUER LLC / VANTAGE DATA CTRS CDA QC4 LTD PARTNERSHIP                           | RETAINED VANTAGE DATA CTRS ISSUER LLC / VANTAGE DATA CTRS CDA QC4 LTD PARTNERSHIP 5.091% 08/15/2050 144A                         | CUSIP: 76134KAM6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      546000 | PA      | $548004.69     | 0.00%             | 2050-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.875% 08/31/2032                                                                                                      | CUSIP: 91282CNW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    65990000 | PA      | $66379238.06   | 0.15%             | 2032-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEACE PARK CLO LTD                                                                                          | PEACE PARK CLO LTD 2021-1A AR TSFR3M+125 10/20/2038 144A                                                                         | CUSIP: 70470MAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5651000 | PA      | $5661098.34    | 0.01%             | 2038-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AGL CLO 44 LTD                                                                                              | AGL CLO 44 LTD C TSFR3M+180 10/22/2037 144A                                                                                      | CUSIP: 00121RAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $247144.00     | 0.00%             | 2037-10-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2019-1 LTD                                                                                | PALMER SQUARE CLO 2019-1 LTD A1R2 TSFR3M+125 08/14/2038 144A                                                                     | CUSIP: 69700GAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1100000 | PA      | $1100599.50    | 0.00%             | 2038-08-14      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| INVESCO CLO LTD                                                                                             | INVESCO CLO LTD 2021-2A BR TSFR3M+ 07/15/2034 144A                                                                               | CUSIP: 46149MAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2500000 | PA      | $2497037.50    | 0.01%             | 2034-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                                                    | EQT CORP 6.5% 07/01/2027                                                                                                         | CUSIP: 26884LAT6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      785000 | PA      | $801904.35     | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                                                    | EQT CORP 4.5% 01/15/2029                                                                                                         | CUSIP: 26884LAX7<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     3499000 | PA      | $3501850.39    | 0.01%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APA CORP                                                                                                    | APA CORP 4.25% 01/15/2030                                                                                                        | CUSIP: 03743QAZ1<br>LEI: 549300VCIWLRHYVSHC79 | Long             | DBT              | CORP              | US        |      205000 | PA      | $201249.91     | 0.00%             | 2030-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APA CORP                                                                                                    | APA CORP 5.25% 02/01/2042                                                                                                        | CUSIP: 03743QBC1<br>LEI: 549300VCIWLRHYVSHC79 | Long             | DBT              | CORP              | US        |       73000 | PA      | $61244.50      | 0.00%             | 2042-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AMERICA INC                                                                           | AMCOR FLEXIBLES NORTH AMERICA INC 5.1% 03/17/2030                                                                                | CUSIP: 02344AAG3<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |      500000 | PA      | $513131.30     | 0.00%             | 2030-03-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AMERICA INC                                                                           | AMCOR FLEXIBLES NORTH AMERICA INC 5.5% 03/17/2035                                                                                | CUSIP: 02344AAH1<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |       65000 | PA      | $67406.36      | 0.00%             | 2035-03-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XVIII LTD                                                                                  | SIXTH STREET CLO XVIII LTD 2021-18A A1R TSFR3M+125 10/17/2038 144A                                                               | CUSIP: 83012HAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3554000 | PA      | $3558680.62    | 0.01%             | 2038-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | GSCM SWAP REC 3.804 08/25/26                                                                                                     | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     5980000 | NC      | $180430.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | GSCM SWAP PAY 3.804 08/25/26                                                                                                     | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     5980000 | NC      | $106537.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SILVER POINT CLO 12 LTD                                                                                     | SILVER POINT CLO 12 LTD A1 TSFR3M+ 10/15/2038 144A                                                                               | CUSIP: 82809MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270641.79     | 0.00%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 08/01/2053#CB6884                                                                                                 | CUSIP: 3140QSUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      870391 | PA      | $908104.78     | 0.00%             | 2053-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 05/01/2053#CB6340                                                                                                 | CUSIP: 3140QSBJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      600078 | PA      | $626501.41     | 0.00%             | 2053-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 6.5% 09/01/2053#RA9868                                                                                                 | CUSIP: 3133KR6D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      277465 | PA      | $289487.61     | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6.5% 02/01/2053#RA8566                                                                                                 | CUSIP: 3133KQQT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      129934 | PA      | $135736.96     | 0.00%             | 2053-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 01/01/2053#CB5498                                                                                                 | CUSIP: 3140QRDC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      219226 | PA      | $229016.47     | 0.00%             | 2053-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 02/01/2053#BX2365                                                                                                 | CUSIP: 3140N6TX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24794 | PA      | $25868.50      | 0.00%             | 2053-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 01/01/2053#BX6537                                                                                                 | CUSIP: 3140NBHP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19784 | PA      | $20641.08      | 0.00%             | 2053-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 12/01/2052#CB5324                                                                                                 | CUSIP: 3140QQ4J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52105 | PA      | $54448.17      | 0.00%             | 2052-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 11/01/2052#CB5157                                                                                                 | CUSIP: 3140QQWT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101861 | PA      | $106441.76     | 0.00%             | 2052-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHESHIRE 2025 1 PLC                                                                                         | CHESHIRE PLC 2025-1 C STEP 06/28/2048 REGS                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |      100000 | PA      | $132290.58     | 0.00%             | 2048-06-28      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                                                      | SEMPRA 6.375%/VAR 04/01/2056                                                                                                     | CUSIP: 816851BW8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |      539000 | PA      | $549074.90     | 0.00%             | 2056-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2019-II LTD                                                                                    | CIFC FUNDING 2019-II LTD D1RR TSFR3M+260 10/17/2038 144A                                                                         | CUSIP: 12554ABJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      550000 | PA      | $551533.95     | 0.00%             | 2038-10-17      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| OHA LOAN FUNDING 2015-1 LTD                                                                                 | OHA LOAN FUNDING LTD 2015-1A A1R4 TSFR3M+125 10/19/2038 144A                                                                     | CUSIP: 67109BDN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250497.50     | 0.00%             | 2038-10-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2021-2 LTD                                                                               | ROCKFORD TOWER CLO 2021-2A LTD BR TSFR3M+170 07/20/2034 144A                                                                     | CUSIP: 77341LAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5080000 | PA      | $5080198.12    | 0.01%             | 2034-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VONOVIA SE                                                                                                  | VONOVIA SE 5.717% 09/03/2035 REGS                                                                                                | CUSIP: N/A<br>LEI: 5299005A2ZEP6AP7KM81       | Long             | DBT              | CORP              | DE        |     1060000 | PA      | $678667.00     | 0.00%             | 2035-09-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                                           | NATWEST GROUP PLC 3.632%/VAR 09/03/2034 REGS                                                                                     | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |      650000 | PA      | $756466.04     | 0.00%             | 2034-09-03      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                                                   | GNII II 6% 02/01/2056 #TBA                                                                                                       | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    34750000 | PA      | $35397489.80   | 0.08%             | 2056-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                                                        | UMBS 30YR 4.5% 02/01/2056 #TBA                                                                                                   | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    50000000 | PA      | $48876955.00   | 0.11%             | 2056-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIER GAS TRANSPORT GMBH                                                                                     | VIER GAS TRANSPORT GMBH 3.625% 09/08/2033 REGS                                                                                   | CUSIP: N/A<br>LEI: 529900AGED6PJE9AVL37       | Long             | DBT              | CORP              | DE        |      400000 | PA      | $463128.17     | 0.00%             | 2033-09-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                                                                     | KODIAK GAS SERVICES LLC 6.75% 10/01/2035 144A                                                                                    | CUSIP: 50012LAE4<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |      155000 | PA      | $159260.33     | 0.00%             | 2035-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                                                          | CANADIAN IMPERIAL BK OF COMM 4.58%/VAR 09/08/2031                                                                                | CUSIP: 13607QFE7<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |     4500000 | PA      | $4539941.10    | 0.01%             | 2031-09-08      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                                           | CIGNA GROUP (THE) 5.25% 01/15/2036                                                                                               | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     3050000 | PA      | $3127428.40    | 0.01%             | 2036-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                                                                     | KODIAK GAS SERVICES LLC 6.5% 10/01/2033 144A                                                                                     | CUSIP: 50012LAD6<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |      190000 | PA      | $193810.26     | 0.00%             | 2033-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL POWR and LIGHT CO                                                                            | JERSEY CENTRAL POWR and LIGHT CO 4.15% 01/15/2029 144A                                                                           | CUSIP: 476556DJ1<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     4900000 | PA      | $4902542.37    | 0.01%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                                                          | ROYALTY PHARMA PLC 4.45% 03/25/2031                                                                                              | CUSIP: 78081BAT0<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     8100000 | PA      | $8083978.04    | 0.02%             | 2031-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IHG FINANCE LLC                                                                                             | IHG FINANCE LLC 3.375% 09/10/2030 REGS                                                                                           | CUSIP: N/A<br>LEI: 213800DXTXQ1YC8UP313       | Long             | DBT              | CORP              | US        |      250000 | PA      | $291311.17     | 0.00%             | 2030-09-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                                               | VOLKSWAGEN GROUP AMER FIN LLC 4.45% 09/11/2027 144A                                                                              | CUSIP: 928668CV2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     4200000 | PA      | $4211354.45    | 0.01%             | 2027-09-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                                                | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6.75% 03/15/2034 144A                                               | CUSIP: 87470LAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      105000 | PA      | $105124.11     | 0.00%             | 2034-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENTURY CMNTYS INC                                                                                          | CENTURY COMMUNITIES INC 6.625% 09/15/2033 144A                                                                                   | CUSIP: 156504AN2<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |      130000 | PA      | $131826.24     | 0.00%             | 2033-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                                                   | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 6.75% 09/15/2032 144A                                                                  | CUSIP: 18060TAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      130000 | PA      | $133714.75     | 0.00%             | 2032-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                                                        | CLEVELAND-CLIFFS INC 7.625% 01/15/2034 144A                                                                                      | CUSIP: 18589GAA3<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      130000 | PA      | $134891.25     | 0.00%             | 2034-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | LCH OIS SOFRV3.5% MAC 12/17/27                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -190521000 | NC      | $430003.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | LCH OIS SOFRV3.5% MAC 12/17/28                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -188233000 | NC      | $753840.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | LCH OIS SOFRV3.75% MAC 12/17/29                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -63960000 | NC      | $330126.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | LCH OIS SOFRV3.75% MAC 12/17/32                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -22188000 | NC      | $117827.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | LCH OIS SOFRV3.75% MAC 12/17/35                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     4392000 | NC      | $-32894.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | LCH OIS SOFRV3.75% MAC 12/17/45                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -1834000 | NC      | $29336.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | LCH OIS SOFRV3.75% MAC 12/17/30                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -5000000 | NC      | $-2113.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 25-K761 A2 4.4% 06/25/2032                                                                        | CUSIP: 3137HN4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2900000 | PA      | $2941882.09    | 0.01%             | 2032-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMETIC GROUP AB                                                                                            | DOMETIC GROUP AB 5% 09/11/2030 REGS                                                                                              | CUSIP: N/A<br>LEI: 549300STIPMK5VSA7Y59       | Long             | DBT              | CORP              | SE        |      100000 | PA      | $117678.29     | 0.00%             | 2030-09-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 5.174%/VAR 09/11/2036                                                                                              | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2180000 | PA      | $2224711.63    | 0.01%             | 2036-09-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                                               | CITIGROUP INC 4.503%/VAR 09/11/2031                                                                                              | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     5157000 | PA      | $5193166.66    | 0.01%             | 2031-09-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TACO BELL FDG LLC                                                                                           | TACO BELL FDG LLC 4.821% 08/25/2055 144A                                                                                         | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5434000 | PA      | $5442737.33    | 0.01%             | 2055-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                                                   | SUNOCO LP 7.875%/VAR PERP 144A                                                                                                   | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | EP               | CORP              | US        |     1835000 | PA      | $1867112.50    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                                                   | SUNOCO LP 5.625% 03/15/2031 144A                                                                                                 | CUSIP: 86765KAF6<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      195000 | PA      | $196109.36     | 0.00%             | 2031-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                                                   | SUNOCO LP 5.875% 03/15/2034 144A                                                                                                 | CUSIP: 86765KAG4<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      130000 | PA      | $130837.46     | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                                                 | AVOLON HOLDINGS FUNDING LTD 4.95% 10/15/2032 144A                                                                                | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      210000 | PA      | $208313.06     | 0.00%             | 2032-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SIERRA PACIFIC POWER CO                                                                                     | SIERRA PACIFIC POWER CO 6.375%/VAR 12/15/2055                                                                                    | CUSIP: 826418BR5<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |      325000 | PA      | $322174.68     | 0.00%             | 2055-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.375% 09/15/2028                                                                                                      | CUSIP: 91282CNY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1266000 | PA      | $1262043.75    | 0.00%             | 2028-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNIBAIL-RODAMCO                                                                                             | UNIBAIL-RODAMCO EUAMDB05+NA PERP REGS                                                                                            | CUSIP: N/A<br>LEI: 969500SHQITWXSIS7N89       | Long             | EP               | CORP              | FR        |      100000 | PA      | $118283.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                                           | IRON MOUNTAIN INC 4.75% 01/15/2034 REGS                                                                                          | CUSIP: N/A<br>LEI: SQL3F6CKNNBM3SQGHX24       | Long             | DBT              | CORP              | US        |      100000 | PA      | $113533.05     | 0.00%             | 2034-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 08/01/2055#CC0868                                                                                                   | CUSIP: 3140Y66E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3569567 | PA      | $3717921.95    | 0.01%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+110 FB 11/25/2054                                                                         | CUSIP: 3137HHF97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     8556006 | PA      | $8573948.02    | 0.02%             | 2054-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTH WEST WATER FINANCE PLC                                                                                | SOUTH WEST WATER FINANCE PLC 5.25% 09/15/2031 REGS                                                                               | CUSIP: N/A<br>LEI: 213800OV68U446W4NV89       | Long             | DBT              | CORP              | GB        |      340000 | PA      | $453673.04     | 0.00%             | 2031-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | SWP:IFS 2.631500 09/09/2030 USC                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -8928000 | NC      | $-69227.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5510 FM SOFR30A+ 02/25/2055                                                                       | CUSIP: 3137HJMT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     6924351 | PA      | $6949411.35    | 0.02%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                                          | WELLS FARGO and CO NEW 4.892%/VAR 09/15/2036                                                                                     | CUSIP: 95000U4B6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2030000 | PA      | $2047443.71    | 0.00%             | 2036-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                                                       | UBER TECHNOLOGIES INC 4.15% 01/15/2031                                                                                           | CUSIP: 90353TAT7<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     2356000 | PA      | $2345678.60    | 0.01%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                                                       | UBER TECHNOLOGIES INC 4.8% 09/15/2035                                                                                            | CUSIP: 90353TAU4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     2938000 | PA      | $2936666.74    | 0.01%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VZ SECURED FINANCING BV                                                                                     | VZ SECURED FINANCING BV 5.25% 01/15/2033 REGS                                                                                    | CUSIP: N/A<br>LEI: 549300MG611MYCOWY949       | Long             | DBT              | CORP              | NL        |      100000 | PA      | $115193.68     | 0.00%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NCL CORP LTD                                                                                                | NCL CORP LTD 5.875% 01/15/2031 144A                                                                                              | CUSIP: 62886HBY6<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |      130000 | PA      | $128290.27     | 0.00%             | 2031-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                                                         | ELEVANCE HEALTH INC 5% 01/15/2036                                                                                                | CUSIP: 036752BK8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      840000 | PA      | $841398.47     | 0.00%             | 2036-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMKOR TECHNOLOGY INC                                                                                        | AMKOR TECHNOLOGY INC 5.875% 10/01/2033 144A                                                                                      | CUSIP: 031652BL3<br>LEI: 529900VHLRTKPWZJBM84 | Long             | DBT              | CORP              | US        |      145000 | PA      | $147612.90     | 0.00%             | 2033-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FINANCE CORP                                                | ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FIN CORP 5.75% 10/15/2033 144A                                                   | CUSIP: 03690AAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      170000 | PA      | $170840.48     | 0.00%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                                                     | BANK OF NOVA SCOTIA 4.338%/VAR 09/15/2031                                                                                        | CUSIP: 06418GAW7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |      300000 | PA      | $299596.10     | 0.00%             | 2031-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT VAR 05/25/2030                                                                                    | CUSIP: 3137HN4R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1400000 | PA      | $1423276.68    | 0.00%             | 2030-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 4.87474%/VAR 03/25/2030                                                                           | CUSIP: 3137HN4S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3698735 | PA      | $3698729.80    | 0.01%             | 2030-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HARLEY DAVIDSON FINANCIAL SERVICES INC                                                                      | HARLEY DAVIDSON FINL SVCS INC CP 0 12/02/2025                                                                                    | CUSIP: 41282JZ20<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $999538.30     | 0.00%             | 2025-12-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                                                    | EQT CORP 6.375% 04/01/2029                                                                                                       | CUSIP: 26884LAZ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1358000 | PA      | $1406066.49    | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                                                    | EQT CORP 5.5% 07/15/2028                                                                                                         | CUSIP: 26884LAV1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      101000 | PA      | $103190.97     | 0.00%             | 2028-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                                                    | EQT CORP 4.75% 01/15/2031                                                                                                        | CUSIP: 26884LBD0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    11007000 | PA      | $11081789.70   | 0.03%             | 2031-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                                                    | EQT CORP 7.5% 06/01/2030                                                                                                         | CUSIP: 26884LBB4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     4587000 | PA      | $5063633.24    | 0.01%             | 2030-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NLG GLOBAL FUNDING                                                                                          | NLG GLOBAL FUNDING 4.35% 09/15/2030 144A                                                                                         | CUSIP: 62915W2B8<br>LEI: 635400SKBQOWEJZLTW68 | Long             | DBT              | CORP              | US        |     5400000 | PA      | $5352867.83    | 0.01%             | 2030-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINL SVC US CORP                                                                                 | STELLANTIS FINL SVC US CORP 4.95% 09/15/2028 144A                                                                                | CUSIP: 85855FAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5900000 | PA      | $5942705.50    | 0.01%             | 2028-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINL SVC US CORP                                                                                 | STELLANTIS FINL SVC US CORP 5.4% 09/15/2030 144A                                                                                 | CUSIP: 85855FAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6498000 | PA      | $6558300.66    | 0.01%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                                                            | UWM HOLDINGS LLC 6.25% 03/15/2031 144A                                                                                           | CUSIP: 903522AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      161000 | PA      | $161711.81     | 0.00%             | 2031-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REPSOL E and P CAPITAL MARKETS US LLC                                                                       | REPSOL E and P CAPITAL MARKETS US LLC 5.204% 09/16/2030 144A                                                                     | CUSIP: 76026AAB3<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |      280000 | PA      | $282575.96     | 0.00%             | 2030-09-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REPSOL E and P CAPITAL MARKETS US LLC                                                                       | REPSOL E and P CAPITAL MARKETS US LLC 4.805% 09/16/2028 144A                                                                     | CUSIP: 76026AAA5<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |      235000 | PA      | $236897.43     | 0.00%             | 2028-09-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REPSOL E and P CAPITAL MARKETS US LLC                                                                       | REPSOL E and P CAPITAL MARKETS US LLC 5.976% 09/16/2035 144A                                                                     | CUSIP: 76026AAC1<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |      605000 | PA      | $620296.20     | 0.00%             | 2035-09-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ICG US CLO 2016-1 LTD                                                                                       | ICG US CLO 2016-1 LTD A2R3 TSFR3M+160 04/29/2034 144A                                                                            | CUSIP: 44931NBE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5150000 | PA      | $5151941.55    | 0.01%             | 2034-04-29      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NAVIENT REFINANCE LN TR 2025-B                                                                              | NAVIENT REFINANCE LN TR 2025-B A 4.72% 09/15/2055 144A                                                                           | CUSIP: 63943NAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      587987 | PA      | $589668.11     | 0.00%             | 2055-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                                   | BOEING CO-THE SNR S* ICE 12/20/2030                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |     9400000 | NC      | $-24797.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                                                        | COLOMBIA REPUBLIC OF 3.75% 09/19/2028                                                                                            | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |     5310000 | PA      | $6146609.36    | 0.01%             | 2028-09-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2025-VI LTD                                                                                    | CIFC FUNDING 2025-VI LTD A1 TSFR3M+125 10/23/2038 144A                                                                           | CUSIP: 171933AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2185000 | PA      | $2187798.99    | 0.00%             | 2038-10-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                                                        | COLOMBIA REPUBLIC OF 5% 09/19/2032                                                                                               | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |     1146000 | PA      | $1287230.42    | 0.00%             | 2032-09-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN ELECTRIC CO INC                                                                                    | HAWAIIAN ELECTRIC CO INC 6% 10/01/2033 144A                                                                                      | CUSIP: 419866AV0<br>LEI: 549300PQE8D806LWQV52 | Long             | DBT              | CORP              | US        |       95000 | PA      | $96190.92      | 0.00%             | 2033-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| QTS ISSUER ABS II LLC                                                                                       | QTS ISSUER ABS II LLC 5.044% 10/05/2055 144A                                                                                     | CUSIP: 74690FAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      662000 | PA      | $664898.70     | 0.00%             | 2055-10-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2025-A                                                                         | WORLD OMNI SELECT AUTO TRUST 2025-A 4.08% 08/15/2031                                                                             | CUSIP: 98164UAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      645000 | PA      | $645052.50     | 0.00%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                                                                         | AFFIRM MASTER TRUST 4.45% 10/16/2034 144A                                                                                        | CUSIP: 00833BAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15500000 | PA      | $15528785.05   | 0.04%             | 2034-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NAVIGATOR AIRCRAFT ABS LTD                                                                                  | NAVIGATOR AIRCRAFT ABS LTD 1 A 0% 10/15/2050 144A                                                                                | CUSIP: 63943GAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5018863 | PA      | $4991277.45    | 0.01%             | 2050-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | FSWP: JPY 1.007 09/11/2027 FTO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  1104265000 | NC      | $-5165.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DATABANK ISSUER II LLC                                                                                      | DATABANK ISSUER II LLC 5.18% 09/27/2055 144A                                                                                     | CUSIP: 23802YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2575000 | PA      | $2547712.47    | 0.01%             | 2055-09-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                                                   | TORONTO DOMINION BANK 6.35%/VAR 10/31/2085                                                                                       | CUSIP: 89116C4H7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     1885000 | PA      | $1905733.12    | 0.00%             | 2085-10-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BENEFIT STR PARTNERS CLO 42 LTD / LLC                                                                       | BENEFIT STR PARTNERS CLO 42 LTD / LLC 42A A TSFR3M+130 10/25/2038 144A                                                           | CUSIP: 08187LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250849.25     | 0.00%             | 2038-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MILA 2025-1 BV                                                                                              | MILA 2025-1 BV 24-1 D 1MEUR+135 10/12/2042 REGS                                                                                  | CUSIP: N/A<br>LEI: 72450098VTA940FX5997       | Long             | ABS-CBDO         | CORP              | NL        |      100000 | PA      | $115606.54     | 0.00%             | 2042-10-12      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MILA 2025-1 BV                                                                                              | MILA 2025-1 BV 25-1 E 1MEUR+272 10/12/2042 REGS                                                                                  | CUSIP: N/A<br>LEI: 72450098VTA940FX5997       | Long             | ABS-CBDO         | CORP              | NL        |      100000 | PA      | $115670.92     | 0.00%             | 2042-10-12      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | CITI SWAP PAY 3.855 09/12/30                                                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |     8870000 | NC      | $310485.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | CITI SWAP REC 3.855 09/12/30                                                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |     8870000 | NC      | $282258.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 4.5% 08/01/2052#QE6769                                                                                                 | CUSIP: 3133BGQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3944893 | PA      | $3894483.30    | 0.01%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROLOGIS EURO FINANCE LLC                                                                                   | PROLOGIS EURO FINL LLC 3.25% 09/22/2032                                                                                          | CUSIP: 74341EAT9<br>LEI: 549300MI5D1784PRQH06 | Long             | DBT              | CORP              | US        |      265000 | PA      | $304195.79     | 0.00%             | 2032-09-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CBRE EUROPE LOGISTICS PARTNERS SCA SICAV-SIF                                                                | CBRE EUROPE LOGISTICS PARTNERS SCA SICAV-SIF 3.5% 09/22/2032 REGS                                                                | CUSIP: N/A<br>LEI: 529900ZG3L6Z4K64S041       | Long             | DBT              | CORP              | LU        |      500000 | PA      | $572507.99     | 0.00%             | 2032-09-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TACALA INVESTMENT CORP                                                                                      | TACALA TERM B 1LN 01/31/2031                                                                                                     | CUSIP: 87339PAE3<br>LEI: 549300XTM341KBSTDI88 | Long             | LON              | CORP              | US        |      392458 | PA      | $394036.05     | 0.00%             | 2031-01-31      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LN TR 2025-C                                                                                 | NELNET STUDENT LN TR 2025-CA A1A 4.67% 06/22/2065 144A                                                                           | CUSIP: 64035UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7191265 | PA      | $7193596.93    | 0.02%             | 2065-06-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MAD COML MTG TR 2025-11MD                                                                                   | MAD COML MTG TR 2025-11MD C CSTR 10/15/2042 144A                                                                                 | CUSIP: 55616AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2065000 | PA      | $2091953.21    | 0.00%             | 2042-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LN TR 2025-C                                                                                 | NELNET STUDENT LN TR 2025-CA A1B SOFR30A+135 06/22/2065 144A                                                                     | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6447844 | PA      | $6472756.69    | 0.01%             | 2065-06-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                                             | SANTANDER UK GROUP HOLDINGS PLC 4.32%/VAR 09/22/2029                                                                             | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      470000 | PA      | $470517.83     | 0.00%             | 2029-09-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TOPBUILD CORP                                                                                               | TOPBUILD CORP 5.625% 01/31/2034 144A                                                                                             | CUSIP: 89055FAD5<br>LEI: 5493007YSKHOL4RWII46 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1621842.32    | 0.00%             | 2034-01-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 36R LTD                                                                  | NEUBERGER BERMAN LOAN ADVISERS CLO LTD 2020-36RA A TSFR3M+127 07/20/2039 144A                                                    | CUSIP: 64090EAA4<br>LEI: 254900RBT2LAQQHMHG60 | Long             | ABS-CBDO         | CORP              | KY        |      690000 | PA      | $691401.39     | 0.00%             | 2039-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN AXLE and MANUFACTURING INC                                                                         | AMERICAN AXLE and MFG INC 6.375% 10/15/2032 144A                                                                                 | CUSIP: 02406PBC3<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100613.40     | 0.00%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN AXLE and MANUFACTURING INC                                                                         | AMERICAN AXLE and MFG INC 7.75% 10/15/2033 144A                                                                                  | CUSIP: 02406PBD1<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |      185000 | PA      | $186839.46     | 0.00%             | 2033-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| USA COMPRESSION PARTNERS LP / USA COMPRESSION FIN CORP                                                      | USA COMPRESSION PARTNERS LP / USA COMPRESSION FIN CORP 6.25% 10/01/2033 144A                                                     | CUSIP: 91740PAH1<br>LEI: 549300ZWL4J1LYMOWK56 | Long             | DBT              | CORP              | US        |      156000 | PA      | $157398.23     | 0.00%             | 2033-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                                                                                 | TRUIST BANK 2025-1 B 4.728% 09/26/2033 144A                                                                                      | CUSIP: 897926CB5<br>LEI: JJKC32MCHWDI71265Z06 | Long             | ABS-CBDO         | CORP              | US        |      427163 | PA      | $427531.71     | 0.00%             | 2033-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                                                                          | RWE FINANCE US LLC 5.125% 09/18/2035 144A                                                                                        | CUSIP: 749983AC6<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |      185000 | PA      | $184040.46     | 0.00%             | 2035-09-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIVE POINT OPERATING CO LP                                                                                  | FIVE POINT OPERATING CO LP 8% 10/01/2030 144A                                                                                    | CUSIP: 33834YAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      370000 | PA      | $386288.88     | 0.00%             | 2030-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LN TR 2025-C                                                                                 | NELNET STUDENT LN TR 2025-C 5.82% 06/22/2065 144A                                                                                | CUSIP: 64035UAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      370000 | PA      | $368250.75     | 0.00%             | 2065-06-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP REC 3.853 09/16/30                                                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    11800000 | NC      | $374668.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP PAY 3.853 09/16/30                                                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    11800000 | NC      | $413402.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BOAM SWAP PAY 3.565 09/15/26                                                                                                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |     8310000 | NC      | $234081.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BOAM SWAP REC 3.565 09/15/26                                                                                                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |     8310000 | NC      | $169339.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ITHACA ENERGY NORTH SEA PLC                                                                                 | ITHACA ENERGY NORTH SEA PLC 5.5% 10/01/2031 REGS                                                                                 | CUSIP: N/A<br>LEI: 213800BMMUN3AKWBIO91       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $116409.21     | 0.00%             | 2031-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                                                   | TORONTO DOMINION BANK 3.357% 09/22/2032 REGS                                                                                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | Long             | DBT              | CORP              | CA        |      435000 | PA      | $503352.58     | 0.00%             | 2032-09-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 4.5% 10/01/2053#SL1660                                                                                                 | CUSIP: 31427NZ28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3851440 | PA      | $3792355.16    | 0.01%             | 2053-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                                                                           | CHORD ENERGY CORP 6% 10/01/2030 144A                                                                                             | CUSIP: 674215AQ1<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |      130000 | PA      | $131077.57     | 0.00%             | 2030-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOLSTICE ADVANCED MATERIALS INC                                                                             | SOLSTICE ADVANCED MATERIALS INC 5.625% 09/30/2033 144A                                                                           | CUSIP: 83443QAA1<br>LEI: 2138004GZ4H9TW6HK435 | Long             | DBT              | CORP              | US        |      850000 | PA      | $854651.20     | 0.00%             | 2033-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                                                | MEXICO UNITED MEXICAN STATES 5.375% 03/22/2033                                                                                   | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     4085000 | PA      | $4074787.50    | 0.01%             | 2033-03-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                                                | MEXICO UNITED MEXICAN STATES 4.75% 03/22/2031                                                                                    | CUSIP: 91087BBJ8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     4100000 | PA      | $4052850.00    | 0.01%             | 2031-03-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                                                | MEXICO UNITED MEXICAN STATES 5.625% 09/22/2035                                                                                   | CUSIP: 91087BBL3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     2211000 | PA      | $2191101.00    | 0.00%             | 2035-09-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                                                                   | UST BILLS 0% 01/20/2026                                                                                                          | CUSIP: 912797SG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      124000 | PA      | $123344.84     | 0.00%             | 2026-01-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | GSCM SWAP PAY 3.853 09/16/30                                                                                                     | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     8380000 | NC      | $293314.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | GSCM SWAP REC 3.853 09/16/30                                                                                                     | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     8380000 | NC      | $265807.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HAVN TR 2025-MOB                                                                                            | HAVN TR 2025-MOB A TSFR1M+175 10/15/2027 144A                                                                                    | CUSIP: 40408XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      920000 | PA      | $920287.50     | 0.00%             | 2035-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                                                                       | DIRECTV FINANCING LLC 8.875% 02/01/2030 144A                                                                                     | CUSIP: 254945AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       31000 | PA      | $30663.60      | 0.00%             | 2030-02-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 4.389% 04/25/2035                                                                                 | CUSIP: 3136BXNE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3300000 | PA      | $3299513.25    | 0.01%             | 2035-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BFLD COML MTG TR 2025-5MW                                                                                   | BFLD COMMERCIAL MORTGAGE TRUST 2025-5MW VAR 10/10/2042 144A                                                                      | CUSIP: 088921AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      115000 | PA      | $116649.80     | 0.00%             | 2042-10-10      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | GSCM SWAP PAY 3.887 09/17/30                                                                                                     | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     8600000 | NC      | $295779.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | GSCM SWAP REC 3.887 09/17/30                                                                                                     | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     8600000 | NC      | $278745.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BFLD COML MTG TR 2025-5MW                                                                                   | BFLD COMMERCIAL MORTGAGE TRUST 2025-5MW A 4.67418% 10/10/2042 144A                                                               | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      161000 | PA      | $161728.70     | 0.00%             | 2042-10-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RCKT MTG TR 2025-CES9                                                                                       | RCKT MTG TR 2025-CES9 A1A VAR 09/25/2055 144A                                                                                    | CUSIP: 74942JAA2<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-CBDO         | CORP              | US        |     6160947 | PA      | $6139968.47    | 0.01%             | 2055-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                                                                         | AFFIRM MASTER TRUST 25-3A B 4.75% 10/16/2034 144A                                                                                | CUSIP: 00833BAP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5700000 | PA      | $5702270.88    | 0.01%             | 2034-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ATLANTIC AVE 2025-4 LTD / ATLANTIC AVE 2025-4 LLC                                                           | ATLANTIC AVENUE 2025-4 A LTD A TSFR3M+ 10/15/2038 144A                                                                           | CUSIP: 04822PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3500000 | PA      | $3504837.00    | 0.01%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                                                | AT and T INC 4.9% 11/01/2035                                                                                                     | CUSIP: 00206RNC2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     2105000 | PA      | $2097978.88    | 0.00%             | 2035-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                                                | AT and T INC 5.7% 11/01/2054                                                                                                     | CUSIP: 00206RNE8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     1455000 | PA      | $1428187.17    | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                                            | BAT CAPITAL CORP 4.625% 03/22/2033                                                                                               | CUSIP: 054989AF5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1270000 | PA      | $1267854.89    | 0.00%             | 2033-03-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.875% 09/30/2032                                                                                                      | CUSIP: 91282CNZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13700000 | PA      | $13774921.88   | 0.03%             | 2032-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.625% 09/30/2030                                                                                                      | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    86900000 | PA      | $86981468.75   | 0.20%             | 2030-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN TRANSN AUTH NY RV                                                                              | NY MTA TRANSP 6.814% 11/15/2040                                                                                                  | CUSIP: 59261A6J1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       15000 | PA      | $17082.68      | 0.00%             | 2040-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                                                | UBS GROUP AG 5.01%/VAR 03/23/2037 144A                                                                                           | CUSIP: 225401BP2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      620000 | PA      | $620108.02     | 0.00%             | 2037-03-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                                                       | MINERAL RESOURCES LTD 7% 04/01/2031 144A                                                                                         | CUSIP: 603051AF0<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |      530000 | PA      | $550868.75     | 0.00%             | 2031-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                                                 | ROYAL CARIBBEAN CRUISES LTD 5.375% 01/15/2036                                                                                    | CUSIP: 78017TAB9<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      370000 | PA      | $374030.77     | 0.00%             | 2036-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SECUCOR FINANCE 2013-1 DAC                                                                                  | SECUCOR FINANCE 2013-1 F DAC 1MEUR+620 09/20/2036 REGS                                                                           | CUSIP: N/A<br>LEI: 2138001E8BAK3OXZGG87       | Long             | ABS-CBDO         | CORP              | IE        |      200000 | PA      | $232067.26     | 0.00%             | 2036-09-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 4.9% 02/15/2038                                                                                                     | CUSIP: 11135FCX7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      640000 | PA      | $638798.64     | 0.00%             | 2038-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                                           | DELL INTL/EMC CORP 4.15% 02/15/2029                                                                                              | CUSIP: 24703DBR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2377000 | PA      | $2373776.03    | 0.01%             | 2029-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C12 MTG TR                                                                                        | BMO 2025-5C12 A3 MORTGAGE TRUST 5.18% 10/15/2058                                                                                 | CUSIP: 09663VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17950000 | PA      | $18530806.36   | 0.04%             | 2058-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                                           | DELL INTL/EMC CORP 4.5% 02/15/2031                                                                                               | CUSIP: 24703DBS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6241000 | PA      | $6241561.88    | 0.01%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                                                   | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 5% 11/15/2035                                                          | CUSIP: 00774MBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      286000 | PA      | $284274.52     | 0.00%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                                           | DELL INTL/EMC CORP 4.75% 10/06/2032                                                                                              | CUSIP: 24703DBT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3136000 | PA      | $3144377.32    | 0.01%             | 2032-10-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SECUCOR FINANCE 2013-1 DAC                                                                                  | SECUCOR FINANCE 2013-1 E DAC 1MEUR+450 09/20/2036 REGS                                                                           | CUSIP: N/A<br>LEI: 2138001E8BAK3OXZGG87       | Long             | ABS-CBDO         | CORP              | IE        |      100000 | PA      | $115477.22     | 0.00%             | 2036-09-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                                           | DELL INTL/EMC CORP 5.1% 02/15/2036                                                                                               | CUSIP: 24703DBU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5100000 | PA      | $5093137.24    | 0.01%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SECUCOR FINANCE 2013-1 DAC                                                                                  | SECUCOR FINANCE 2013-1 D DAC 1MEUR+340 09/20/2036 REGS                                                                           | CUSIP: N/A<br>LEI: 2138001E8BAK3OXZGG87       | Long             | ABS-CBDO         | CORP              | IE        |      200000 | PA      | $230958.85     | 0.00%             | 2036-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KINBANE 2025-RPL 2 DAC                                                                                      | KINBANE 2025-RPL 2 DAC 1MEUR+110 08/24/2075 144A                                                                                 | CUSIP: N/A<br>LEI: 635400WTRFYG7SVTRF15       | Long             | ABS-CBDO         | CORP              | IE        |     2300000 | PA      | $2665351.56    | 0.01%             | 2075-08-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SCIENCE APPLICATIONS INTERNATIONAL CORP                                                                     | SCIENCE APPLICATIONS INTERNATIONAL CORP 5.875% 11/01/2033 144A                                                                   | CUSIP: 808625AB3<br>LEI: 549300LZPNZIXQGZPZ48 | Long             | DBT              | CORP              | US        |      385000 | PA      | $383510.90     | 0.00%             | 2033-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL AND GAS INC                                                                                    | NORTHERN OIL AND GAS INC 7.875% 10/15/2033 144A                                                                                  | CUSIP: 665531AL3<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |      248000 | PA      | $241353.67     | 0.00%             | 2033-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP                                                                                            | LAMAR MEDIA CORP 5.375% 11/01/2033 144A                                                                                          | CUSIP: 513075CA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      130000 | PA      | $130141.67     | 0.00%             | 2033-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CROSSCOUNTRY INTERMEDIATE HOLDCO LLC                                                                        | CROSSCOUNTRY INTERMEDIATE HOLDCO LLC 6.5% 10/01/2030 144A                                                                        | CUSIP: 22757VAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      130000 | PA      | $131650.48     | 0.00%             | 2030-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST INC                                                                                 | STARWOOD PPTY TR INC 5.25% 10/15/2028 144A                                                                                       | CUSIP: 85571BBF1<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |     1855000 | PA      | $1867678.93    | 0.00%             | 2028-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FONDO DE TITULIZACION SANTANDER CONSUMO 9                                                                   | FONDO DE TITULIZACION SANTANDER CONSUMO 9 3MEUR+487 10/25/2040 REGS                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | ES        |      500000 | PA      | $580098.47     | 0.00%             | 2040-10-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 2% 05/01/2052#FA0659                                                                                              | CUSIP: 3140W0WV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      608357 | PA      | $504723.36     | 0.00%             | 2052-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C12 MTG TR                                                                                        | BMO 2025-5C12 MTG TR VAR 10/15/2058                                                                                              | CUSIP: 09663VAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5700000 | PA      | $200557.35     | 0.00%             | 2058-10-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| RENAULT SA                                                                                                  | RENAULT SA 3.875% 09/30/2030 REGS                                                                                                | CUSIP: N/A<br>LEI: 969500F7JLTX36OUI695       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $116307.47     | 0.00%             | 2030-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES LLC                                                                                     | UNITI GROUP TERM B 1LN 10/6/2032                                                                                                 | CUSIP: 97381JAK9<br>LEI: 549300L3SXBFJVGRCF66 | Long             | LON              | CORP              | US        |      230000 | PA      | $228707.40     | 0.00%             | 2032-10-06      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE SARL                                                                                   | ION PLATFORM FINANCE SARL 6.875% 09/30/2032 REGS                                                                                 | CUSIP: N/A<br>LEI: 6488IU1F9M51Z3P60R77       | Long             | DBT              | CORP              | LU        |      200000 | PA      | $224118.20     | 0.00%             | 2032-09-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SKYMILES IP LTD                                                                                             | DELTA AIR LINES SKYMILES TERM B 1LN 10/20/2028                                                                                   | CUSIP: 24736CBT0<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | KY        |      373574 | PA      | $375034.81     | 0.00%             | 2028-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE SARL                                                                                   | ION PLATFORM FINANCE SARL 6.5% 09/30/2030 REGS                                                                                   | CUSIP: N/A<br>LEI: 6488IU1F9M51Z3P60R77       | Long             | DBT              | CORP              | LU        |      104000 | PA      | $117280.17     | 0.00%             | 2030-09-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GILDAN ACTIVEWEAR INC                                                                                       | GILDAN ACTIVEWEAR INC 4.7% 10/07/2030 144A                                                                                       | CUSIP: 375916AF0<br>LEI: 549300SB3IBI34M00Z45 | Long             | DBT              | CORP              | CA        |      409000 | PA      | $407958.40     | 0.00%             | 2030-10-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                                                        | ENEL FINANCE INTL NV 5% 09/30/2035 144A                                                                                          | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     1600000 | PA      | $1596382.45    | 0.00%             | 2035-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                                                        | ENEL FINANCE INTL NV 4.375% 09/30/2030 144A                                                                                      | CUSIP: 29278GBG2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      283000 | PA      | $282614.21     | 0.00%             | 2030-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                                                  | COPT DEFENSE PROPERTIES LP 4.5% 10/15/2030                                                                                       | CUSIP: 12713UAA4<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |      916000 | PA      | $912283.10     | 0.00%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VONOVIA SE                                                                                                  | VONOVIA SE CONV 0.875% 05/20/2032 REGS                                                                                           | CUSIP: N/A<br>LEI: 5299005A2ZEP6AP7KM81       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $114222.87     | 0.00%             | 2032-05-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                                              | AMERICAN ELEC PWR CO INC 5.80%/VAR 03/15/2056                                                                                    | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |     3145000 | PA      | $3123166.47    | 0.01%             | 2056-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                                              | AMERICAN ELEC PWR CO INC 6.05%/VAR 03/15/2056                                                                                    | CUSIP: 02557TAF6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |       65000 | PA      | $64988.40      | 0.00%             | 2056-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                                                                   | UST BILLS 0% 01/27/2026                                                                                                          | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      868000 | PA      | $862766.08     | 0.00%             | 2026-01-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2021-4 LTD                                                                                       | CANYON CLO 2021-4 LTD AR TSFR3M+110 10/15/2034 144A                                                                              | CUSIP: 13877PAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5700000 | PA      | $5694305.70    | 0.01%             | 2034-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                                                        | ENEL FINANCE INTL NV 5.75% 09/30/2055 144A                                                                                       | CUSIP: 29278GBJ6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      590000 | PA      | $581336.43     | 0.00%             | 2055-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 4.421% 05/25/2030                                                                                 | CUSIP: 3137HN6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3000000 | PA      | $3052572.00    | 0.01%             | 2030-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NICKEL INDUSTRIES LTD                                                                                       | NICKEL INDUSTRIES LTD 9% 09/30/2030 REGS                                                                                         | CUSIP: N/A<br>LEI: 54930007K0WX53TSIK16       | Long             | DBT              | CORP              | AU        |      285000 | PA      | $293193.75     | 0.00%             | 2030-09-30      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                                   | CDX IG45 5Y ICE 12/20/2030                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |   433800000 | NC      | $634679.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY CORP                                                                                         | ALLIANT ENERGY CORP 5.75%/VAR 04/01/2056                                                                                         | CUSIP: 018802AF5<br>LEI: 5493009ML300G373MZ12 | Long             | DBT              | CORP              | US        |     1650000 | PA      | $1643914.14    | 0.00%             | 2056-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BROADSTONE NET LEASE LLC                                                                                    | BROADSTONE NET LEASE LLC 5% 11/01/2032                                                                                           | CUSIP: 11134GAA8<br>LEI: 54930089IBT6J4WBTI50 | Long             | DBT              | CORP              | US        |     1465000 | PA      | $1468436.64    | 0.00%             | 2032-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 4.45% 09/26/2030                                                                                                     | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     3888000 | PA      | $3831128.24    | 0.01%             | 2030-09-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 4.8% 09/26/2032                                                                                                      | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     2982000 | PA      | $2931616.81    | 0.01%             | 2032-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 5.2% 09/26/2035                                                                                                      | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    10350000 | PA      | $10141863.67   | 0.02%             | 2035-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 5.875% 09/26/2045                                                                                                    | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     2619000 | PA      | $2469497.68    | 0.01%             | 2045-09-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 5.95% 09/26/2055                                                                                                     | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     6875000 | PA      | $6442122.57    | 0.01%             | 2055-09-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP 6.1% 09/26/2065                                                                                                      | CUSIP: 68389XDT9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     3028000 | PA      | $2819884.80    | 0.01%             | 2065-09-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CO LLC                                                                              | NISSAN MOTOR ACCEPTANCE CO LLC 5.625% 09/29/2028 144A                                                                            | CUSIP: 65480CAK1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |       68000 | PA      | $67827.42      | 0.00%             | 2028-09-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES LLC                                                                                     | WINDSTREAM SERVICES LLC 7.5% 10/15/2033 144A                                                                                     | CUSIP: 97382BAB5<br>LEI: 549300L3SXBFJVGRCF66 | Long             | DBT              | CORP              | US        |      165000 | PA      | $167917.37     | 0.00%             | 2033-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CO LLC                                                                              | NISSAN MOTOR ACCEPTANCE CO LLC 6.125% 09/30/2030 144A                                                                            | CUSIP: 65480CAL9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      260000 | PA      | $257673.44     | 0.00%             | 2030-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                                              | NRG ENERGY INC 5.75% 01/15/2034 144A                                                                                             | CUSIP: 629377DC3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      845000 | PA      | $851774.37     | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                                              | NRG ENERGY INC 6% 01/15/2036 144A                                                                                                | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      455000 | PA      | $462094.36     | 0.00%             | 2036-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENCORE CAPITAL GROUP INC                                                                                    | ENCORE CAP GROUP INC 6.625% 04/15/2031 144A                                                                                      | CUSIP: 292554AS1<br>LEI: 5493000UVC6H49CIH830 | Long             | DBT              | CORP              | US        |      135000 | PA      | $134958.60     | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PEER USA LLC                                                                                                | ACTION TERM B 1LN 9/29/2032                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      367348 | PA      | $367729.95     | 0.00%             | 2032-09-29      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                                              | NRG ENERGY INC 5.407% 10/15/2035 144A                                                                                            | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      803000 | PA      | $804020.61     | 0.00%             | 2035-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PARK AVE INSTL ADVISERS CLO LTD 2017-1                                                                      | PARK AVE INSTL ADVISERS CLO LTD 2017-1 A2R2 TSFR3M+155 02/14/2034 144A                                                           | CUSIP: 70017KBA6<br>LEI: 549300ZWX1MRCB6KO574 | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $1999956.00    | 0.00%             | 2034-02-14      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM5                                                         | SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM5 VAR 08/25/2065 144A                                                          | CUSIP: 80262CAA6<br>LEI: 254900FHBJ2YHHBOAU80 | Long             | ABS-CBDO         | CORP              | US        |     6283036 | PA      | $6290754.81    | 0.01%             | 2065-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OHA LOAN FUNDING 2013-2 LTD                                                                                 | OHA LOAN FUNDING 2013-2 LTD AR2 TSFR3M+122 10/20/2038 144A                                                                       | CUSIP: 67104LAK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1180000 | PA      | $1180254.88    | 0.00%             | 2038-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                                                                                           | CLEAN HARBORS INC 5.75% 10/15/2033 144A                                                                                          | CUSIP: 184496AR8<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |      130000 | PA      | $132868.58     | 0.00%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SPA                                                                               | CASSA DEPOSITI E PRESTITI SPA 4.375% 10/01/2030 144A                                                                             | CUSIP: 147918AF3<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | NUSS              | IT        |     1200000 | PA      | $1206331.86    | 0.00%             | 2030-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                                              | NRG ENERGY INC 4.734% 10/15/2030 144A                                                                                            | CUSIP: 629377DA7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      210000 | PA      | $209612.76     | 0.00%             | 2030-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2025-INV2                                                                                   | NYMT LOAN TRUST 2025-INV2 5% 10/25/2060 144A                                                                                     | CUSIP: 62957JAC5<br>LEI: 254900EYRFLK2LMLVT67 | Long             | ABS-CBDO         | CORP              | US        |     6762836 | PA      | $6773760.45    | 0.02%             | 2060-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC                                                                   | FLATIRON CLO 20 LTD / LLC 20-1A A1R2 TSFR3M+124 11/20/2038 144A                                                                  | CUSIP: 33883MAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8080000 | PA      | $8084872.24    | 0.02%             | 2038-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2020-8R LTD                                                                                         | OCP CLO 2020-8R LTD AR2 TSFR3M+122 10/17/2038 144A                                                                               | CUSIP: 670898AW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4223000 | PA      | $4227206.11    | 0.01%             | 2038-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DEEPOCEAN LTD                                                                                               | DEEPOCEAN LTD 6% 04/08/2031 REGS                                                                                                 | CUSIP: N/A<br>LEI: 213800OYKN2J6ZFIFU40       | Long             | DBT              | CORP              | JE        |      100000 | PA      | $117951.09     | 0.00%             | 2031-04-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HLDGS INC                                                                                        | ZAYO GROUP HLDGS INC PIK VAR 03/09/2030 144A                                                                                     | CUSIP: 98919VAC9<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | DBT              | CORP              | US        |      572544 | PA      | $527542.04     | 0.00%             | 2030-03-09      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                                               | BGC GROUP INC 6.15% 04/02/2030                                                                                                   | CUSIP: 05555LAD3<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    10600000 | PA      | $10924635.49   | 0.02%             | 2030-04-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NRTH COMMERCIAL MORTGAGE TRUST 2025-PARK                                                                    | NRTH COMMERCIAL MORTGAGE TRUST 2025-PARK A TSFR1M+ 10/15/2040 144A                                                               | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      135000 | PA      | $134999.96     | 0.00%             | 2040-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                                                                            | BLACK HILLS CORP 4.55% 01/31/2031                                                                                                | CUSIP: 092113AY5<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |     6000000 | PA      | $6002053.20    | 0.01%             | 2031-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-HE2                                                                          | TOWD POINT MORTGAGE TRUST 2025-HE2 5.68997% 09/25/2065 144A                                                                      | CUSIP: 89183PAA4<br>LEI: 254900HCCXAYNB40M417 | Long             | ABS-CBDO         | CORP              | US        |     4487916 | PA      | $4492584.79    | 0.01%             | 2065-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WATER US HOLDING CORPORATION                                                                        | OLYMPUS WATER US HOLDING CORPORATION 6.125% 02/15/2033 REGS                                                                      | CUSIP: N/A<br>LEI: 549300YU2GGVCBN3MY89       | Long             | DBT              | CORP              | US        |      100000 | PA      | $114327.61     | 0.00%             | 2033-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                                                        | EXTENDED STAY AMERICA TRUST 2025-ESH VAR 10/15/2042 144A                                                                         | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5262000 | PA      | $5270210.82    | 0.01%             | 2042-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                                                        | EXTENDED STAY AMERICA TRUST 2025-ESH B TSFR1M+160 10/15/2042 144A                                                                | CUSIP: 30227TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1555000 | PA      | $1557911.89    | 0.00%             | 2042-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                                                        | EXTENDED STAY AMERICA TRUST 2025-ESH C TSFR1M+185 10/15/2042 144A                                                                | CUSIP: 30227TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      580000 | PA      | $581824.62     | 0.00%             | 2042-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2020-8R LTD                                                                                         | OCP CLO 2020-8R LTD B1R2 TSFR3M+150 10/17/2038 144A                                                                              | CUSIP: 670898AY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250497.25     | 0.00%             | 2038-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                                                                                               | P3 GROUP SARL 3.75% 04/02/2033 REGS                                                                                              | CUSIP: N/A<br>LEI: 529900GR62MT0O5VW110       | Long             | DBT              | CORP              | LU        |      300000 | PA      | $344164.69     | 0.00%             | 2033-04-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO/THE                                                                                             | CHEMOURS CO/THE TERM 1LN B3 10/15/2032                                                                                           | CUSIP: 16384YAM9<br>LEI: 549300M1BOLNXL8DOV14 | Long             | LON              | CORP              | US        |      160000 | PA      | $154400.00     | 0.00%             | 2032-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VELOCITY COML CAP LN TR 2023-1                                                                              | VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2023-1 VAR 01/25/2053 144A                                                                | CUSIP: 92259VAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119485 | PA      | $115518.46     | 0.00%             | 2053-01-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| ELSTREE 2025-2 1ST PLC                                                                                      | ELSTREE 252-1ST PLC STEP 10/21/2065 REGS                                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |      100000 | PA      | $131146.21     | 0.00%             | 2065-10-21      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NIDDA HEALTHCARE HOLDING GMBH                                                                               | NIDDA HEALTHCARE HOLDING GMBH FRN 3MEUR+325 10/15/2032 REGS                                                                      | CUSIP: N/A<br>LEI: 549300Q89C4WAO6L0L19       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $116909.67     | 0.00%             | 2032-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WBI OPERATING LLC                                                                                           | WBI OPERATING LLC 6.25% 10/15/2030 144A                                                                                          | CUSIP: 92944BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      170000 | PA      | $170068.01     | 0.00%             | 2030-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WBI OPERATING LLC                                                                                           | WBI OPERATING LLC 6.5% 10/15/2033 144A                                                                                           | CUSIP: 92944BAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      170000 | PA      | $169917.55     | 0.00%             | 2033-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                                                                          | VIKING CRUISES LTD 5.875% 10/15/2033 144A                                                                                        | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |     1150000 | PA      | $1168643.86    | 0.00%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                                                 | ORACLE CORP CP 0% 01/16/2026                                                                                                     | CUSIP: 6840C3AG8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    13300000 | PA      | $13227045.51   | 0.03%             | 2026-01-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WOLFSPEED INC/DE                                                                                            | WOLFSPEED INC/DE PIK VAR 06/23/2030 144A                                                                                         | CUSIP: 977852AK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       58732 | PA      | $64311.54      | 0.00%             | 2030-06-23      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                                   | ICE: (CDX.NA.HY.45.V1) SWAP/CDSWAP 5.0 12/20/30                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |   -18660000 | NC      | $-89517.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                                   | CDX HY45 5Y ICE                                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |   200000000 | NC      | $1248255.15    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+ 10/25/2055                                                                               | CUSIP: 3137HNCM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     6390156 | PA      | $6400215.11    | 0.01%             | 2055-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                                                 | PACIFIC GAS and ELECTRIC CO 6.1% 10/15/2055                                                                                      | CUSIP: 694308KZ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1685000 | PA      | $1694889.25    | 0.00%             | 2055-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                                               | CARNIVAL CORP 5.125% 05/01/2029 144A                                                                                             | CUSIP: 143658CB6<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     1040000 | PA      | $1048701.68    | 0.00%             | 2029-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INTERNATIONAL LTD                                                                                | TRANSOCEAN INTERNATIONAL LTD 7.875% 10/15/2032 144A                                                                              | CUSIP: 893814AA1<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |       35000 | PA      | $36484.35      | 0.00%             | 2032-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP CY885799 12/15/56 S                                                                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     1700000 | NC      | $-23036.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                                                            | ALTICE FRANCE SA 6.5% 04/15/2032 144A                                                                                            | CUSIP: 02090DAD0<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      328317 | PA      | $319429.20     | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                                                            | ALTICE FRANCE SA 6.875% 07/15/2032 144A                                                                                          | CUSIP: 02090DAE8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |       40000 | PA      | $38988.57      | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                                                            | ALTICE FRANCE SA 9.5% 11/01/2029 144A                                                                                            | CUSIP: 02090DAA6<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |       43841 | PA      | $44994.59      | 0.00%             | 2029-11-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| KUWAIT ST                                                                                                   | KUWAIT ST 4.016% 10/09/2028 144A                                                                                                 | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     3100000 | PA      | $3099721.00    | 0.01%             | 2028-10-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KUWAIT ST                                                                                                   | KUWAIT ST 4.136% 10/09/2030 144A                                                                                                 | CUSIP: 501499AE7<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     3100000 | PA      | $3100995.72    | 0.01%             | 2030-10-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KUWAIT ST                                                                                                   | KUWAIT ST 4.652% 10/09/2035 144A                                                                                                 | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     2400000 | PA      | $2404848.00    | 0.01%             | 2035-10-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REPUBLIC FIN ISSUANCE TR 2025-A                                                                             | REPUBLIC FIN ISSUANCE TR 2025-A 4.59% 11/20/2034 144A                                                                            | CUSIP: 76042FAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      743000 | PA      | $744610.45     | 0.00%             | 2034-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                                                                      | CENTERPOINT ENERGY INC 5.95%/VAR 04/01/2056                                                                                      | CUSIP: 15189TBS5<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1617388.80    | 0.00%             | 2056-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC                                                                                        | ALPHA GENERATION LLC 6.25% 01/15/2034 144A                                                                                       | CUSIP: 02073LAC5<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |      170000 | PA      | $170266.73     | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TR 2025-OMG                                                                                              | BX TR 2025-OMG TSFR1M+135 10/15/2027 144A                                                                                        | CUSIP: 05619HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250000 | PA      | $250312.50     | 0.00%             | 2042-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                                           | DB MASTER FIN LLC 4.891% 08/20/2055 144A                                                                                         | CUSIP: 233046AU5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |     3325000 | PA      | $3348717.23    | 0.01%             | 2055-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                                           | DB MASTER FIN LLC 0% 08/20/2055 144A                                                                                             | CUSIP: 233046AW1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |     2200000 | PA      | $2215393.62    | 0.01%             | 2055-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                                                    | VISTRA OPERATIONS CO LLC 4.6% 10/15/2030 144A                                                                                    | CUSIP: 92840VAV4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      386000 | PA      | $385178.13     | 0.00%             | 2030-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROCKET COMPANIES INC                                                                                        | ROCKET COS INC 6.5% 08/01/2029 144A                                                                                              | CUSIP: 77311WAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      275000 | PA      | $285255.58     | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 08/01/2055#RJ4643                                                                                                   | CUSIP: 3142GVER8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3638412 | PA      | $3789628.16    | 0.01%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 08/01/2055#FA2563                                                                                                   | CUSIP: 3140W2Z53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1369138 | PA      | $1424404.01    | 0.00%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                                                                               | MODIVCARE TERM DD 1LN 02/22/2026                                                                                                 | CUSIP: 60783LAJ9<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | LON              | CORP              | US        |      271963 | PA      | $263804.11     | 0.00%             | 2026-02-22      | Variable      | 0.11%                 | No            |                  3 | On Loan: No      |
| ZIGGO BV                                                                                                    | VODAFONEZIGGO TERM B 1LN 1/15/2033                                                                                               | CUSIP: N/A<br>LEI: 213800TQASLF9JXH5J59       | Long             | LON              | CORP              | NL        |      247972 | PA      | $243788.23     | 0.00%             | 2033-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| KENYA REPUBLIC OF                                                                                           | KENYA REPUBLIC OF 7.875% 10/09/2033 144A                                                                                         | CUSIP: 491798AP9<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      320000 | PA      | $306800.00     | 0.00%             | 2033-10-09      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| KENYA REPUBLIC OF                                                                                           | KENYA REPUBLIC OF 8.8% 10/09/2038 144A                                                                                           | CUSIP: 491798AQ7<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      452000 | PA      | $437169.88     | 0.00%             | 2038-10-09      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                                                    | VISTRA OPERATIONS CO LLC 4.3% 10/15/2028 144A                                                                                    | CUSIP: 92840VAX0<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     1617000 | PA      | $1612852.40    | 0.00%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                                                        | ROMANIA REPUBLIC OF 5.375% 06/07/2033 144A                                                                                       | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |    11400000 | PA      | $13430510.48   | 0.03%             | 2033-06-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                                                    | LUXCO 3                                                                                                                          | CUSIP: N/A<br>LEI: 5299000JVHXKJPOE6H40       | Long             | EC               | CORP              | LU        |        1584 | NS      | $23985.83      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 3% 03/01/2052#FA2675                                                                                                   | CUSIP: 3140W26M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      886920 | PA      | $804831.77     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2% 12/01/2051#FA3043                                                                                                   | CUSIP: 3140W3LZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      362823 | PA      | $297841.76     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 12/01/2051#FM9768                                                                                                 | CUSIP: 3140XD2A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1570424 | PA      | $1359622.95    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 2.5% 03/01/2052#FS0967                                                                                                 | CUSIP: 3140XGCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1541741 | PA      | $1333826.70    | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 07/01/2052#SL0488                                                                                                   | CUSIP: 31427MRJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6071222 | PA      | $5471359.31    | 0.01%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 10/01/2051#SL2248                                                                                                   | CUSIP: 31427PQA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      541531 | PA      | $490733.01     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 3% 03/01/2052#SL2250                                                                                                   | CUSIP: 31427PQC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      706949 | PA      | $639529.40     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                                                 | CDS: (ITRAXX.XO.44 20-35%) SWAP/CDSWAP 5.0 12/20/2030                                                                            | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | GB        |      227000 | NC      | $37685.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XVIII LTD                                                                       | BENEFIT STREET PARTNERS CLO XVIII LTD 19-18A AR2 TSFR3M+ 10/15/2038 144A                                                         | CUSIP: 08186PAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      360000 | PA      | $360302.40     | 0.00%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2025-4 LTD                                                                                | PALMER SQUARE CLO 2025-4 LTD A TSFR3M+ 10/20/2038 144A                                                                           | CUSIP: 696916AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250575.75     | 0.00%             | 2038-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLUB CAP PRIVATE CR FD CLO 2                                                                               | GOLUB CAPITAL PRIVATE CREDIT FUND CLO 2 25-1A A1 TSFR3M+ 10/18/2039 144A                                                         | CUSIP: 38181WAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      680000 | PA      | $681015.92     | 0.00%             | 2039-10-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HILL FL 2025-1 BV                                                                                           | HILL FL 2025-1FL E BV 1MEUR+ 10/18/2032 REGS                                                                                     | CUSIP: N/A<br>LEI: 72450069R7MTUFTXDC59       | Long             | ABS-CBDO         | CORP              | NL        |      218000 | PA      | $252955.39     | 0.00%             | 2032-10-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMOURS INC                                                                                       | DUPONT DE NEMOURS INC 4.725% 11/15/2028 144A                                                                                     | CUSIP: 26614NAC6<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |     2423000 | PA      | $2454743.89    | 0.01%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GTC FINANCE DAC                                                                                             | GTC FINANCE DAC 6.5% 10/15/2030 REGS                                                                                             | CUSIP: N/A<br>LEI: 213800BQ2YULQCB6M521       | Long             | DBT              | CORP              | IE        |      485000 | PA      | $509306.62     | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XXXIX                                                                                            | APIDOS CLO XXXIX 22-39A A1R TSFR3M+ 10/21/2038 144A                                                                              | CUSIP: 03766HAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250268.75     | 0.00%             | 2038-10-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BRIDGE STREET CLO VI LTD                                                                                    | BRIDGE STREET CLO VI LTD 2025-2A A1 TSFR3M+128 01/15/2039 144A                                                                   | CUSIP: 10806PAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      370000 | PA      | $370540.57     | 0.00%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 2025-2                                                                         | DELL EQUIPMENT FINANCE TRUST 2025-2 4.1% 02/22/2028 144A                                                                         | CUSIP: 24703VAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1700000 | PA      | $1701004.53    | 0.00%             | 2028-02-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GT LOAN FINANCING I LTD 2013-1                                                                              | GT LOAN FINANCING I LTD 2013-1A AR2 TSFR3M+122 04/28/2039 144A                                                                   | CUSIP: 36248MAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      810000 | PA      | $810405.00     | 0.00%             | 2039-04-28      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TRESTLES CLO IX LTD                                                                                         | TRESTLES CLO LTD 25-9A A1 TSFR3M+126 01/15/2039 144A                                                                             | CUSIP: 894932AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      360000 | PA      | $360327.60     | 0.00%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I PLC                                                                                  | VMED O2 UK FINANCING I PLC 6.75% 01/15/2033 144A                                                                                 | CUSIP: 92858RAE0<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $199172.96     | 0.00%             | 2033-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                                                   | TORONTO DOMINION BANK 4.928% 10/15/2035                                                                                          | CUSIP: 89115KAJ9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     1845000 | PA      | $1863477.95    | 0.00%             | 2035-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 2025-2                                                                         | DELL EQUIPMENT FINANCE TRUST 2025-2 4.12% 03/24/2031 144A                                                                        | CUSIP: 24703VAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1700000 | PA      | $1703127.83    | 0.00%             | 2031-03-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GETTY IMAGES INC                                                                                            | GETTY IMAGES INC 10.5% 11/15/2030 144A                                                                                           | CUSIP: 374276AR4<br>LEI: 5493005NV20IG4VEKZ40 | Long             | DBT              | CORP              | US        |      415000 | PA      | $424021.27     | 0.00%             | 2030-11-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT K548 A2 VAR 09/25/2030                                                                            | CUSIP: 3137HNN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1521893.25    | 0.00%             | 2030-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                                                 | SELL SCDS: (SOFTBK) SWAP/CDSWAP 1.00000% 06/20/2026                                                                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | GB        |     2630000 | NC      | $-1166.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                                                     | ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL 9% 08/01/2029 144A                                                       | CUSIP: 46206AAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      125000 | PA      | $124849.20     | 0.00%             | 2029-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                                                     | ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL 8.75% 05/01/2029 144A                                                    | CUSIP: 46206AAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      283000 | PA      | $280206.53     | 0.00%             | 2029-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                                                     | ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL 5% 05/01/2028 144A                                                       | CUSIP: 46206AAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       60000 | PA      | $55905.52      | 0.00%             | 2028-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                                                                   | UST BILLS 0% 02/10/2026                                                                                                          | CUSIP: 912797SQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      183000 | PA      | $181665.19     | 0.00%             | 2026-02-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DANAOS CORP                                                                                                 | DANAOS CORP 6.875% 10/15/2032 144A                                                                                               | CUSIP: 23585WAC8<br>LEI: 734IM3DNDNT36T7YTD24 | Long             | DBT              | CORP              | MH        |      100000 | PA      | $101777.30     | 0.00%             | 2032-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SIERRA TIMESHARE 2025-3 RECEIVABLES FDG LLC                                                                 | SIERRA TIMESHARE 2025-3 RECEIVABLES FDG LLC 6.54% 08/22/2044 144A                                                                | CUSIP: 82650FAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2093855 | PA      | $2103880.74    | 0.00%             | 2044-08-22      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | CITI SWAP PAY 3.646 01/07/26                                                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |     7800000 | NC      | $49395.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | CITI SWAP REC 3.646 01/07/26                                                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |     7800000 | NC      | $72789.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DZ BANK AG DEUTSCHE ZENTRAL GE NOSSENSCHAFTSBANK                                                            | DZ BANK AG DEUT ZENT GENOSBANK 3.706%/VAR 10/15/2035 REGS                                                                        | CUSIP: N/A<br>LEI: 529900HNOAA1KXQJUQ27       | Long             | DBT              | CORP              | DE        |      200000 | PA      | $231779.91     | 0.00%             | 2035-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                                                                         | JAPAN GOVERNMENT OF 3.2% 09/20/2055                                                                                              | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |    66700000 | PA      | $418347.63     | 0.00%             | 2055-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX CORP                                                                                              | TD SYNNEX CORP 4.3% 01/17/2029                                                                                                   | CUSIP: 87162WAM2<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |     3305000 | PA      | $3303743.80    | 0.01%             | 2029-01-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEACEHEALTH OBLIGATED GROUP                                                                                 | PEACEHEALTH OBLIGATED GROUP 4.335% 11/15/2028                                                                                    | CUSIP: 70462GAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      815000 | PA      | $819691.34     | 0.00%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BPR COML MTG TR 2025-STAR                                                                                   | BPR COML MTG TR 2025-STAR A CSTR 11/05/2042 144A                                                                                 | CUSIP: 05619DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      190000 | PA      | $192134.94     | 0.00%             | 2042-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OPAL LLC                                                                                                    | OPELLA TERM B 1LN 04/23/2032                                                                                                     | CUSIP: N/A<br>LEI: 549300UVLT8403Q4C769       | Long             | LON              | CORP              | US        |      173204 | PA      | $174314.30     | 0.00%             | 2032-04-23      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PRM7 TRUST 2025-PRM7                                                                                        | PRM7 TRUST 2025-PRM7 E VAR 11/10/2042 144A                                                                                       | CUSIP: 74290HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1110000 | PA      | $1099579.21    | 0.00%             | 2042-11-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NAVIENT REFINANCE LOAN TRUST 2025-C                                                                         | NAVIENT REFINANCE LOAN TRUST 2025-C A 4.8% 10/15/2055 144A                                                                       | CUSIP: 638973AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      407000 | PA      | $408061.21     | 0.00%             | 2055-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-3                                                              | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-3 A3 4.4% 12/16/2030                                                                | CUSIP: 30185FAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      615000 | PA      | $615426.01     | 0.00%             | 2030-12-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA                                                                    | INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA VAR 11/05/2037 144A                                                                     | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2199000 | PA      | $2217039.72    | 0.01%             | 2037-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES LXII CLO LTD                                                                                           | ARES LXII CLO LTD BR TSFR3M+150 01/25/2034 144A                                                                                  | CUSIP: 00192WAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5100000 | PA      | $5102677.50    | 0.01%             | 2034-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REGATTA XIX FDG LTD / REGATTA XIX FDG LLC                                                                   | REGATTA XIX FDG LTD / REGATTA XIX FDG LLC A1R TSFR3M+ 10/20/2038 144A                                                            | CUSIP: 75888EAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250144.25     | 0.00%             | 2038-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                                                                                     | TALEN ENERGY SUPPLY LLC 6.25% 02/01/2034 144A                                                                                    | CUSIP: 87422VAM0<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |      285000 | PA      | $290393.34     | 0.00%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                                                                                     | TALEN ENERGY SUPPLY LLC 6.5% 02/01/2036 144A                                                                                     | CUSIP: 87422VAN8<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |      300000 | PA      | $310165.58     | 0.00%             | 2036-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 06/01/2054#CB8687                                                                                                 | CUSIP: 3140QUUM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21510 | PA      | $21876.81      | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2025-4                                                                              | CARMAX AUTO OWNER TRUST 2025-4 3.97% 12/16/2030                                                                                  | CUSIP: 14320HAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1500000 | PA      | $1502458.35    | 0.00%             | 2030-12-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 12/01/2054#DC9218                                                                                                 | CUSIP: 3140AXG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6741101 | PA      | $6849993.18    | 0.02%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CIP COMMERCIAL MORTGAGE TRUST 2025-SBAY                                                                     | CIP COMMERCIAL MORTGAGE TRUST 2025-SBAY E TSFR1M+400 10/15/2037 144A                                                             | CUSIP: 12576AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      527000 | PA      | $527632.40     | 0.00%             | 2037-10-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 04/01/2055#DD5649                                                                                                 | CUSIP: 3140B6H32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      985695 | PA      | $999276.18     | 0.00%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 09/01/2055#DF0374                                                                                                 | CUSIP: 3140BQMY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3480714 | PA      | $3525975.18    | 0.01%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                                                                         | JAPAN GOVERNMENT OF 1.3% 09/20/2030                                                                                              | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   507500000 | PA      | $3246563.97    | 0.01%             | 2030-09-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VW CREDIT INC                                                                                               | VW CREDIT INC CP 0% 01/13/2026                                                                                                   | CUSIP: 91842KAD8<br>LEI: 549300UUPJ2NXDB68M19 | Long             | DBT              | CORP              | US        |     5800000 | PA      | $5769762.86    | 0.01%             | 2026-01-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 25-42 FA SOFR30A+150 06/25/2055                                                                   | CUSIP: 3136BWKS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      414063 | PA      | $417091.21     | 0.00%             | 2055-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA 25-42 FE SOFR30A+155 06/25/2055                                                                   | CUSIP: 3136BWLP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      757399 | PA      | $763565.96     | 0.00%             | 2055-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5515 FB SOFR30A+140 03/25/2055                                                                    | CUSIP: 3137HKJ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      420270 | PA      | $422635.29     | 0.00%             | 2055-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5543 FC SOFR30A+150 06/25/2055                                                                    | CUSIP: 3137HLLC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      440785 | PA      | $444008.53     | 0.00%             | 2055-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5543 FG SOFR30A+150 06/25/2055                                                                    | CUSIP: 3137HLLF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      444171 | PA      | $447459.08     | 0.00%             | 2055-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 5543 FM SOFR30A+150 06/25/2055                                                                    | CUSIP: 3137HLLH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      589156 | PA      | $593517.12     | 0.00%             | 2055-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO 2015-4 LTD                                                                                 | BLUEMOUNTAIN CLO 2015-4 LTD CR2 TSFR3M+ 04/20/2030 144A                                                                          | CUSIP: 09628NBA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1000595.00    | 0.00%             | 2030-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+ 12/25/2054                                                                               | CUSIP: 3136BTQ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      172691 | PA      | $173671.45     | 0.00%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+ 08/25/2054                                                                                   | CUSIP: 3136BVAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      300163 | PA      | $301869.43     | 0.00%             | 2054-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF5 LLC                                                                                          | PRPM 2025-RCF5 LLC 4.839% 10/25/2055 144A                                                                                        | CUSIP: 69384AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2200000 | PA      | $2193130.06    | 0.00%             | 2055-10-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+150 05/25/2055                                                                            | CUSIP: 3137HL3Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      574854 | PA      | $579108.90     | 0.00%             | 2055-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+160 05/25/2055                                                                                | CUSIP: 3136BVN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      695326 | PA      | $700579.45     | 0.00%             | 2055-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST 2025-B                                                                       | MARINER FINANCE ISSUANCE TRUST 2025-BA A 4.59% 11/22/2038 144A                                                                   | CUSIP: 56847TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      595000 | PA      | $598135.59     | 0.00%             | 2038-11-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 07/01/2055#DD9902                                                                                                 | CUSIP: 3140BBAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      998985 | PA      | $1011975.12    | 0.00%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 04/01/2053#BX9136                                                                                                 | CUSIP: 3140NEEJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      149808 | PA      | $152050.57     | 0.00%             | 2053-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 10/01/2055#RQ0056                                                                                                 | CUSIP: 3142J6B28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      987871 | PA      | $1000717.04    | 0.00%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V18 MORTGAGE TRUST                                                                           | BENCHMARK 2025-V18 MORTGAGE TRUST 5.18365% 10/15/2030                                                                            | CUSIP: 08164EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      326000 | PA      | $337551.32     | 0.00%             | 2058-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-D                                                                               | OPORTUN ISSUANCE TRUST 2025-D 4.53% 02/08/2033 144A                                                                              | CUSIP: 68379HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3900000 | PA      | $3903781.44    | 0.01%             | 2033-02-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF 25-2 FG SOFR30A+ 02/25/2055                                                                           | CUSIP: 3136BUXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1033202 | PA      | $1040163.85    | 0.00%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CIP COMMERCIAL MORTGAGE TRUST 2025-SBAY                                                                     | CIP COMMERCIAL MORTGAGE TRUST 2025-SBAY A TSFR1M+ 10/15/2037 144A                                                                | CUSIP: 12576AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      926000 | PA      | $926577.82     | 0.00%             | 2037-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NYC COML MTG TR 2025-11X                                                                                    | NYC COML MTG TR 2025-11X A TSFR1M+174.3 10/15/2037 144A                                                                          | CUSIP: 67122NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      380000 | PA      | $380474.32     | 0.00%             | 2040-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| STONEWEG EREIT LUX FINCO SARL                                                                               | STONEWEG EREIT LUX FINCO SARL 4.125% 02/22/2033 REGS                                                                             | CUSIP: N/A<br>LEI: 213800VKBKU9G6DF2O19       | Long             | DBT              | CORP              | LU        |      525000 | PA      | $601702.79     | 0.00%             | 2033-02-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | GSCM SWAP CDS 12/20/30 UCGIM B                                                                                                   | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |     1050000 | NC      | $-2300.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORP                                                                                 | AMERICAN HONDA FINANCE CORP 5.05% 08/20/2031                                                                                     | CUSIP: 026657BH8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |      305000 | PA      | $407556.68     | 0.00%             | 2031-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 4.939%/VAR 10/21/2036                                                                              | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1540000 | PA      | $1545735.31    | 0.00%             | 2036-10-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                                               | GOLDMAN SACHS GROUP INC (THE) 4.369%/VAR 10/21/2031                                                                              | CUSIP: 38141GD35<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2145000 | PA      | $2147528.29    | 0.00%             | 2031-10-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CIRSA FINANCE INTERNATIONAL SARL                                                                            | CIRSA FINANCE INTERNATIONAL SARL FRN 3MEUR+300 10/15/2032 REGS                                                                   | CUSIP: N/A<br>LEI: 254900KUJN6DHWH2K029       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $117040.84     | 0.00%             | 2032-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WULF COMPUTE LLC                                                                                            | WULF COMPUTE LLC 7.75% 10/15/2030 144A                                                                                           | CUSIP: 982911AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      615000 | PA      | $635861.08     | 0.00%             | 2030-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNPI SWAP CDS 12/20/30 SOCGEN B                                                                                                  | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |      900000 | NC      | $3909.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                                         | GSCOFI SWAP CY873245 04/17/65 B                                                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     3199332 | NC      | $22803.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V18 MORTGAGE TRUST                                                                           | BENCHMARK 2025-V18 MORTGAGE TRUST V18 XB CSTR VAR 06/15/2030 144A                                                                | CUSIP: 08164EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    28892000 | PA      | $574950.80     | 0.00%             | 2058-10-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 09/01/2055#DE5032                                                                                                 | CUSIP: 3140BHSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      624386 | PA      | $632505.08     | 0.00%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2025-4                                                                              | CARMAX AUTO OWNER TRUST 2025-4 4.42% 07/15/2031                                                                                  | CUSIP: 14320HAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      400000 | PA      | $400561.64     | 0.00%             | 2031-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORTHUMBRIAN WATER FINANCE PLC                                                                              | NORTHUMBRIAN WATER FINANCE PLC 5.375% 07/22/2032 REGS                                                                            | CUSIP: N/A<br>LEI: 213800JTFA6F3S7XX781       | Long             | DBT              | CORP              | GB        |      375000 | PA      | $499736.22     | 0.00%             | 2032-07-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNPI SWAP CDS 12/20/30 DB B                                                                                                      | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |      900000 | NC      | $9262.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNPI SWAP CDS 12/20/30 ASSGEN B                                                                                                  | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |     1200000 | NC      | $-7560.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | JPSW SWAP CDS 12/20/30 ISPIM B                                                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |     1000000 | NC      | $-7674.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | BNPI SWAP CDS 12/20/30 BMW B                                                                                                     | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |     2000000 | NC      | $-60178.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FERRELLGAS L P /FERRELLGAS FIN                                                                              | FERRELLGAS L P /FERRELLGAS FIN 9.25% 01/15/2031 144A                                                                             | CUSIP: 315292AU6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      878000 | PA      | $886759.81     | 0.00%             | 2031-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| PUBLIC POWER CORP OF GREECE                                                                                 | PUBLIC POWER CORP OF GREECE 4.25% 10/31/2030 REGS                                                                                | CUSIP: N/A<br>LEI: 213800T9Y5XCOVRZ4Y57       | Long             | DBT              | CORP              | GR        |      100000 | PA      | $119619.43     | 0.00%             | 2030-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CARDS NO3 PLC                                                                                        | LONDON CARDS NO3 PLC STEP 12/15/2035 REGS                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |      118000 | PA      | $156631.45     | 0.00%             | 2035-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 6% 06/01/2054#RJ1718                                                                                                   | CUSIP: 3142GR4C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      464503 | PA      | $479127.05     | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 6% 06/01/2054#RJ1783                                                                                                   | CUSIP: 3142GR6V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      946070 | PA      | $975854.99     | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 6% 04/01/2054#RJ1274                                                                                                   | CUSIP: 3142GRMY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      551738 | PA      | $569107.83     | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 6% 05/01/2054#RJ1528                                                                                                   | CUSIP: 3142GRVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      872686 | PA      | $900161.17     | 0.00%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 11/01/2054#QJ9080                                                                                                   | CUSIP: 3133D1CR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      109532 | PA      | $112321.78     | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 6% 03/01/2054#QI1182                                                                                                   | CUSIP: 3133W7J30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       67525 | PA      | $69634.68      | 0.00%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 02/01/2054#DA8030                                                                                                   | CUSIP: 3140A84Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95500 | PA      | $98484.44      | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 11/01/2054#DC5681                                                                                                   | CUSIP: 3140ATJ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      127315 | PA      | $130557.45     | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6% 03/01/2054#CB8154                                                                                                   | CUSIP: 3140QUBY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1425184 | PA      | $1469718.58    | 0.00%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FIGRE TR 2025-HE6                                                                                           | FIGRE TRUST 2025-HE6 A 5.044% 09/25/2055 144A                                                                                    | CUSIP: 31684NAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5831855 | PA      | $5817451.43    | 0.01%             | 2055-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MONDI FINANCE LTD                                                                                           | MONDI FINANCE LTD 3.375% 05/23/2031 REGS                                                                                         | CUSIP: N/A<br>LEI: 213800BJV32JT6IRCS96       | Long             | DBT              | CORP              | GB        |      135000 | PA      | $156046.36     | 0.00%             | 2031-05-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UPGRADE MASTER PASS-THRU TRUST SERIES 2025-ST7                                                              | UPGRADE MASTER PASS-THRU TRUST SERIES 2025-ST7 4.546% 11/15/2032 144A                                                            | CUSIP: 91533RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      541638 | PA      | $541684.30     | 0.00%             | 2032-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2025-46 LTD / LLC                                                                                   | OCP CLO 2025-46 LTD / LLC A TSFR3M+120 10/15/2038 144A                                                                           | CUSIP: 671023AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2260000 | PA      | $2260607.94    | 0.01%             | 2038-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| UPGRADE MASTER PASS-THRU TRUST SERIES 2025-ST7                                                              | UPGRADE MASTER PASS-THRU TRUST SERIES 2025-ST7 4.979% 11/15/2032 144A                                                            | CUSIP: 91533RAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      194000 | PA      | $194132.25     | 0.00%             | 2032-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM19 TR                                                                                           | OBX 2025-NQM19 TR VAR 10/25/2065 144A                                                                                            | CUSIP: 67449LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1875608 | PA      | $1873772.04    | 0.00%             | 2065-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GGAM MASTER TR INTERNATIONA LTD / LLC                                                                       | GGAM MASTER TR INTERNATIONA LTD / LLC 5.923% 09/30/2060 144A                                                                     | CUSIP: 36173XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7695000 | PA      | $7783245.49    | 0.02%             | 2060-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                                                     | MNGT SWAP CZ030008 12/17/57 B                                                                                                    | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      500000 | NC      | $47430.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RCKTL 2025-2                                                                                                | RCKTL 2025-2 4.48% 11/25/2034 144A                                                                                               | CUSIP: 74939HAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1290000 | PA      | $1290376.55    | 0.00%             | 2034-11-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                                                        | BEIGNET INVESTOR LLC 6.581% 05/30/2049 144A                                                                                      | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    82428000 | PA      | $88872582.90   | 0.20%             | 2049-05-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 4.892%/VAR 10/22/2036                                                                                             | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1738000 | PA      | $1743631.64    | 0.00%             | 2036-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                                              | MORGAN STANLEY 4.133%/VAR 10/18/2029                                                                                             | CUSIP: 61748UAK8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1465000 | PA      | $1464843.03    | 0.00%             | 2029-10-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BRES COML MTG TR 2025-ATCAP                                                                                 | BRES COML MTG TR 2025-ATCAP A TSFR1M+149.379 11/15/2042 144A                                                                     | CUSIP: 05619GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      393000 | PA      | $391747.78     | 0.00%             | 2042-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REGIONAL MGMT ISSUANCE TR 2025-2                                                                            | REGIONAL MGMT ISSUANCE TR 2025-2 A 4.59% 11/16/2037 144A                                                                         | CUSIP: 75908BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      833000 | PA      | $831894.78     | 0.00%             | 2037-11-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Yeoman Capital SA                                                                                           | YEOMAN CAPITAL SA 144A                                                                                                           | CUSIP: 985923101<br>LEI: 549300ORV6YW6ESSNQ21 | Long             | EC               | CORP              | LU        |       61576 | NS      | $390115.42     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| GRUPPO SAN DONATO SPA                                                                                       | GRUPPO SAN DONATO SPA 6.5% 10/31/2031 REGS                                                                                       | CUSIP: N/A<br>LEI: 8156003649DB0704FC22       | Long             | DBT              | CORP              | IT        |      100000 | PA      | $118210.66     | 0.00%             | 2031-10-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 2.6% 02/15/2033                                                                                                     | CUSIP: 11135FCR0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     6229000 | PA      | $5537577.39    | 0.01%             | 2033-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 2.45% 02/15/2031                                                                                                    | CUSIP: 11135FCQ2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    15176000 | PA      | $13950359.68   | 0.03%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 3.5% 02/15/2041                                                                                                     | CUSIP: 11135FCV1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    11980000 | PA      | $9955737.60    | 0.02%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 3.419% 04/15/2033                                                                                                   | CUSIP: 11135FCU3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      983000 | PA      | $921175.72     | 0.00%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 3.469% 04/15/2034                                                                                                   | CUSIP: 11135FCT6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     4325000 | PA      | $3989881.96    | 0.01%             | 2034-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                                                | BROADCOM INC 1.95% 02/15/2028                                                                                                    | CUSIP: 11135FCP4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1620000 | PA      | $1553403.73    | 0.00%             | 2028-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BFLD COMMERCIAL MORTGAGE TRUST 2025-660F                                                                    | BFLD COMMERCIAL MORTGAGE TRUST 2025-660F A TSFR1M+150 11/15/2042 144A                                                            | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      744000 | PA      | $744930.00     | 0.00%             | 2042-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                                                       | TRUIST FINANCIAL CORP 4.964%/VAR 10/23/2036                                                                                      | CUSIP: 89788MAV4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      270000 | PA      | $268630.09     | 0.00%             | 2036-10-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BFLD COMMERCIAL MORTGAGE TRUST 2025-660F                                                                    | BFLD COMMERCIAL MORTGAGE TRUST 2025-660F D TSFR1M+ 11/15/2042 144A                                                               | CUSIP: 05556QAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      168000 | PA      | $168314.63     | 0.00%             | 2042-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MERIDIAN FUNDING 2025-1 PLC                                                                                 | MERIDIAN FUNDING 2025-1 PLC STEP 07/20/2067 REGS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |      100000 | PA      | $131505.90     | 0.00%             | 2068-02-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MERIDIAN FUNDING 2025-1 PLC                                                                                 | MERIDIAN FUNDING 2025-1 PLC STEP 07/20/2067 REGS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |      100000 | PA      | $131666.36     | 0.00%             | 2068-02-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 01/01/2055#SL3073                                                                                                 | CUSIP: 31427QMX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2863858 | PA      | $2915417.69    | 0.01%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VERSANT MEDIA GROUP INC                                                                                     | VERSANT MEDIA GROUP INC 7.25% 01/30/2031 144A                                                                                    | CUSIP: 925283AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       12000 | PA      | $12328.69      | 0.00%             | 2031-01-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DBC 2025-DBC MORTGAGE TRUST                                                                                 | DBC 2025-DBC MORTGAGE TRUST TSFR1M+ 06/15/2038 144A                                                                              | CUSIP: 23306HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $999999.70     | 0.00%             | 2042-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2025-CRE9 ISSUER LLC                                                                               | LOANCORE 2025-CRE9 ISSUER LLC AS TSFR1M+170 08/18/2042 144A                                                                      | CUSIP: 538912AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2100000 | PA      | $2100660.45    | 0.00%             | 2042-08-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                                                   | DEUTSCHE BANK AKTIENGESELLSCH SLA SE ICE                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |    21500000 | NC      | $86292.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RAISING CANE'S RESTAURANTS LLC                                                                              | RAISING CANE'S RESTAURANTS TERM B 1LN 11/03/2032                                                                                 | CUSIP: 75101XAQ0<br>LEI: 254900V6ADXFWHYOED66 | Long             | LON              | CORP              | US        |      248826 | PA      | $248825.75     | 0.00%             | 2032-11-03      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC                                      | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 5.75% 03/31/2034 144A                                     | CUSIP: 01309QAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      430000 | PA      | $433467.52     | 0.00%             | 2034-03-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC                                      | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 5.5% 03/31/2031 144A                                      | CUSIP: 01309QAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      280000 | PA      | $283826.48     | 0.00%             | 2031-03-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                                                                   | UST BILLS 0% 02/24/2026                                                                                                          | CUSIP: 912797SS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      214000 | PA      | $212137.23     | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DBC 2025-DBC MORTGAGE TRUST                                                                                 | DBC 2025-DBC MORTGAGE TRUST TSFR1M+ 06/15/2038 144A                                                                              | CUSIP: 23306HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      251000 | PA      | $251313.37     | 0.00%             | 2042-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2025-CRE9 ISSUER LLC                                                                               | LOANCORE 2025-CRE9 ISSUER LLC A TSFR1M+ 08/18/2042 144A                                                                          | CUSIP: 538912AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $300093.84     | 0.00%             | 2042-08-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UK LOGISTICS 2025-2 DAC                                                                                     | UK LOGISTICS 2025-2 DAC SONIO+ 08/17/2035 REGS                                                                                   | CUSIP: N/A<br>LEI: 635400CRV6HKMHJF8S64       | Long             | ABS-MBS          | CORP              | IE        |      145000 | PA      | $191921.62     | 0.00%             | 2035-08-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+70 09/25/2052                                                                             | CUSIP: 3136BNY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2968407 | PA      | $2935420.70    | 0.01%             | 2052-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VERISURE HOLDING AB                                                                                         | VERISURE TERM B 1LN 11/3/2032                                                                                                    | CUSIP: N/A<br>LEI: 549300VQQCWGISM3N408       | Long             | LON              | CORP              | SE        |      875000 | PA      | $1017529.77    | 0.00%             | 2032-11-03      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMSBURG ECONOMIC DEVELOPMENT AUTHORITY                                                                 | WILLIAMSBURG EC 4.957% 11/1/2035                                                                                                 | CUSIP: 969672AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      885000 | PA      | $894405.69     | 0.00%             | 2035-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN FINANCE SARL                                                                                     | AROUNDTOWN FINANCE SARL EUAMDB05+NA PERP REGS                                                                                    | CUSIP: N/A<br>LEI: 8945006LEXV2KWSWVP51       | Long             | EP               | CORP              | LU        |      100000 | PA      | $113795.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRINITAS EURO CLO VI DA                                                                                     | TRINITAS EURO CLO VI DAC AR 3MEUR+ 01/15/2039 144A                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    15000000 | PA      | $17413674.08   | 0.04%             | 2039-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+55 07/25/2052                                                                             | CUSIP: 3137H7ZT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      408436 | PA      | $405283.28     | 0.00%             | 2052-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+67 08/25/2052                                                                             | CUSIP: 3137H8P62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1270129 | PA      | $1250490.70    | 0.00%             | 2052-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+70 09/25/2052                                                                             | CUSIP: 3137H8V81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1399608 | PA      | $1376953.46    | 0.00%             | 2052-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+75 09/25/2052                                                                             | CUSIP: 3137H8VP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2183667 | PA      | $2163453.79    | 0.00%             | 2052-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+65 09/25/2052                                                                             | CUSIP: 3137H8WP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      670266 | PA      | $667049.91     | 0.00%             | 2052-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.5% 10/31/2027                                                                                                        | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    73737000 | PA      | $73719717.52   | 0.17%             | 2027-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.75% 10/31/2032                                                                                                       | CUSIP: 91282CPF2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   205099000 | PA      | $204618299.22  | 0.46%             | 2032-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.625% 10/31/2030                                                                                                      | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   275674000 | PA      | $275910908.72  | 0.62%             | 2030-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                                            | WHEELS FLEET LEASE FUNDING 1 LLC 25-3A A1 0% 09/18/2040 144A                                                                     | CUSIP: 96328GCP0<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     4410000 | PA      | $4405617.78    | 0.01%             | 2040-09-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MSBAM 2025-5C2                                                                                              | MSBAM 2025-5C2 A3 5.072% 11/15/2030                                                                                              | CUSIP: 61779RBK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2700000 | PA      | $2783834.73    | 0.01%             | 2058-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAP CLO 8 LTD / ANCHORAGE CAP CLO 8 LLC                                                           | ANCHORAGE CAP CLO 8 LTD 16-8A A1R3 TSFR3M+129 10/27/2038 144A                                                                    | CUSIP: 03329KBJ1<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250772.75     | 0.00%             | 2038-10-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CSTL COML MTG TR 2025-GATE2                                                                                 | CSTL COML MTG TR 2025-GATE2 A CSTR 11/10/2042 144A                                                                               | CUSIP: 12676JAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5495000 | PA      | $5496466.62    | 0.01%             | 2042-11-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 4.3% 12/01/2055#JPM6251                                                                                                | CUSIP: N/A<br>LEI: B1V7KEBTPIMZEU4LTD58       | Long             | ABS-MBS          | USGSE             | US        |    43200000 | PA      | $43370437.82   | 0.10%             | 2055-12-01      | Fixed         | 0.04%                 | No            |                  3 | On Loan: No      |
| CSTL COML MTG TR 2025-GATE2                                                                                 | CSTL COML MTG TR 2025-GATE2 VAR 11/10/2042 144A                                                                                  | CUSIP: 12676JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      110000 | PA      | $110006.08     | 0.00%             | 2042-11-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | SLOVAK REPUBLIC OF SWAP 12/20/2027                                                                                               | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DCR              | CORP              | GB        |     1115000 | NC      | $21475.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SC AUSTRIA SARL                                                                                             | SC AUSTRIA SARL 3MEUR+ 07/25/2041 REGS                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | LU        |      100000 | PA      | $116336.63     | 0.00%             | 2041-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                                           | SELL SCDS: (QATAR) SWAP/CDSWAP 1.00000% 12/20/2026                                                                               | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DCR              | CORP              | GB        |     1585000 | NC      | $19050.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5% 09/01/2052#FS5180                                                                                                   | CUSIP: 3140XLXJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2033334 | PA      | $2044267.50    | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                                             | PHILIP MORRIS INTL INC 4% 10/29/2030                                                                                             | CUSIP: 718172DY2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     1675000 | PA      | $1659942.45    | 0.00%             | 2030-10-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORP                                                                                        | KAISER ALUMINUM CORP 5.875% 03/01/2034 144A                                                                                      | CUSIP: 483007AM2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      155000 | PA      | $154487.85     | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORPORATION NEW                                                                                    | AMPHENOL CORPORATION NEW 5.3% 11/15/2055                                                                                         | CUSIP: 032095BB6<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |      468000 | PA      | $455899.67     | 0.00%             | 2055-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 4.6% 11/15/2032                                                                                                          | CUSIP: 404119DE6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     2657000 | PA      | $2656066.70    | 0.01%             | 2032-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC 4.9% 11/15/2035                                                                                                          | CUSIP: 404119DF3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      283000 | PA      | $281923.26     | 0.00%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                                                                       | SOUTHWEST AIRLINES CO 4.375% 11/15/2028                                                                                          | CUSIP: 844741BL1<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |     1035000 | PA      | $1035017.56    | 0.00%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WHITE CAP SUPPLY HOLDINGS LLC                                                                               | WHITE CAP SUPPLY HOLDINGS LLC 7.375% 11/15/2030 144A                                                                             | CUSIP: 96467GAC2<br>LEI: 254900L2N0T6GULCL366 | Long             | DBT              | CORP              | US        |      110000 | PA      | $112190.92     | 0.00%             | 2030-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CSTL COML MTG TR 2025-GATE2                                                                                 | CSTL COML MTG TR 2025-GATE2 D CSTR 11/10/2042 144A                                                                               | CUSIP: 12676JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $200053.82     | 0.00%             | 2042-11-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VOLTAGRID LLC                                                                                               | VOLTAGRID LLC 7.375% 11/01/2030 144A                                                                                             | CUSIP: 92874BAA3<br>LEI: 254900R5BEUGIKK1FM03 | Long             | DBT              | CORP              | US        |      849000 | PA      | $846696.32     | 0.00%             | 2030-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NYC COML MTG TR 2025-28L                                                                                    | NYC COML MTG TR 2025-28L VAR 11/05/2038 144A                                                                                     | CUSIP: 67123JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      414000 | PA      | $414830.73     | 0.00%             | 2038-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PERNOD RICARD SA                                                                                            | PERNOD RICARD SA 3.75% 02/04/2037 REGS                                                                                           | CUSIP: N/A<br>LEI: 52990097YFPX9J0H5D87       | Long             | DBT              | CORP              | FR        |      300000 | PA      | $343447.35     | 0.00%             | 2037-02-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATLAS FDG 2025 2 PLC                                                                                        | ATLAS FDG 2025 2 PLC 25-2 STEP 07/20/2067 REGS                                                                                   | CUSIP: N/A<br>LEI: 213800W2FS9Z1VKVEA38       | Long             | ABS-CBDO         | CORP              | GB        |      100000 | PA      | $132195.13     | 0.00%             | 2067-07-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ATLAS FDG 2025 2 PLC                                                                                        | ATLAS FDG 2025 2 PLC 2 X1 SONIO+ 07/20/2067 REGS                                                                                 | CUSIP: N/A<br>LEI: 213800W2FS9Z1VKVEA38       | Long             | ABS-CBDO         | CORP              | GB        |      108000 | PA      | $142917.25     | 0.00%             | 2067-07-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                                                    | LLOYDS BANKING GROUP PLC 4.943%/VAR 11/04/2036                                                                                   | CUSIP: 53944YBE2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     1125000 | PA      | $1121270.00    | 0.00%             | 2036-11-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                                                                   | UST BILLS 0% 03/03/2026                                                                                                          | CUSIP: 912797ST5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       28000 | PA      | $27735.49      | 0.00%             | 2026-03-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | GSCM SWAP PAY 3.874 10/28/30                                                                                                     | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |      680000 | NC      | $24044.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | GSCM SWAP REC 3.874 10/28/30                                                                                                     | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |      680000 | NC      | $21897.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARBOUR CLO XII DAC                                                                                          | ARBOUR CLO XII DAC AR 3MEUR+135 07/15/2038 144A                                                                                  | CUSIP: N/A<br>LEI: 63540098XX3IEL2MIX25       | Long             | ABS-CBDO         | CORP              | IE        |     6200000 | PA      | $7199853.37    | 0.02%             | 2038-07-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST 2025-CES3                                                                  | VISTA POINT SECURITIZATION TRUST 2025-CES3 5.297% 11/25/2055 144A                                                                | CUSIP: 92842MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      151000 | PA      | $151183.66     | 0.00%             | 2055-11-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MAC TRUST 2025-801B                                                                                         | MAC TRUST 2025-801B A TSFR1M+170 10/15/2040 144A                                                                                 | CUSIP: 553918AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      191000 | PA      | $190999.94     | 0.00%             | 2040-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC                                                                                                 | TEXTRON INC 4.95% 03/15/2036                                                                                                     | CUSIP: 883203CF6<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |     2575000 | PA      | $2576380.59    | 0.01%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM5                                                               | GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM5 5.013% 07/25/2065 144A                                                             | CUSIP: 36273GAA6<br>LEI: 254900MQ3DUBXKU1DC81 | Long             | ABS-CBDO         | CORP              | US        |      290267 | PA      | $290183.91     | 0.00%             | 2065-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ACCENTRO REAL ESTATE AG                                                                                     | ACCENTRO REAL ESTATE AG 10% 12/30/2027                                                                                           | CUSIP: N/A<br>LEI: 391200VKLY50XNAFCM46       | Long             | DBT              | CORP              | DE        |      200000 | PA      | $247973.76     | 0.00%             | 2027-12-30      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BOAM SWAP REC 3.585 04/29/26                                                                                                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |     2920000 | NC      | $44403.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | BOAM SWAP PAY 3.585 04/29/26                                                                                                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |     2920000 | NC      | $54326.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                                          | META PLATFORMS INC 4.6% 11/15/2032                                                                                               | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     2603000 | PA      | $2641911.60    | 0.01%             | 2032-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                                          | META PLATFORMS INC 4.875% 11/15/2035                                                                                             | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     9660000 | PA      | $9764696.72    | 0.02%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                                          | META PLATFORMS INC 5.5% 11/15/2045                                                                                               | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     1255000 | PA      | $1255409.42    | 0.00%             | 2045-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                                          | META PLATFORMS INC 5.625% 11/15/2055                                                                                             | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     5450000 | PA      | $5436193.24    | 0.01%             | 2055-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-NQM5                                                                                              | EFMT 2025-NQM5 A1 VAR 11/25/2070 144A                                                                                            | CUSIP: 28225KAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      380261 | PA      | $380335.50     | 0.00%             | 2070-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 5.133%/VAR 11/06/2036                                                                                          | CUSIP: 404280FG9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      980000 | PA      | $988819.17     | 0.00%             | 2036-11-06      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                                           | HSBC HOLDINGS PLC 4.619%/VAR 11/06/2031                                                                                          | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      950000 | PA      | $956179.30     | 0.00%             | 2031-11-06      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BACARDI MARTINI BV                                                                                          | BACARDI MARTINI BV YCP 0% 12/11/2025                                                                                             | CUSIP: 05634EZB1<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | NL        |     1000000 | PA      | $998439.80     | 0.00%             | 2025-12-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SC GERMANY SA COMPARTMENT CONSUMER 2025-2                                                                   | SC GERMANY SA COMPARTMENT CONSUMER 2025-2 1MEUR+ 12/15/2038 REGS                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | LU        |      100000 | PA      | $116034.54     | 0.00%             | 2038-12-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                                                          | BANCO SANTANDER SA 5.127% 11/06/2035                                                                                             | CUSIP: 05971KAS8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      800000 | PA      | $806504.72     | 0.00%             | 2035-11-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                                                          | BANCO SANTANDER SA 4.551% 11/06/2030                                                                                             | CUSIP: 05971KAR0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      800000 | PA      | $804010.55     | 0.00%             | 2030-11-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                                                    | MSCI INC 5.15% 03/15/2036                                                                                                        | CUSIP: 55354GAS9<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     1006000 | PA      | $1004773.72    | 0.00%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SURINAME                                                                                        | REPUBLIC OF SURINAME 0% 11/06/2030 144A                                                                                          | CUSIP: 86886PAE2<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |      479000 | PA      | $492052.75     | 0.00%             | 2030-11-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                                                           | CBRE SERVICES INC CP 0% 12/11/2025                                                                                               | CUSIP: 12610BZB1<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    14400000 | PA      | $14379174.72   | 0.03%             | 2025-12-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EASY STREET MORTGAGE LOAN TRUST 2025-RTL2                                                                   | EASY STREET MORTGAGE LOAN TRUST 2025-RTL2 5.606% 10/25/2040 144A                                                                 | CUSIP: 27786YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      173000 | PA      | $173466.58     | 0.00%             | 2040-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                                                     | FHLM 30YR 5.5% 09/01/2054#SL1653                                                                                                 | CUSIP: 31427NZT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1427636 | PA      | $1461815.00    | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | RFR GBP SONIO-4.50000 03/18/26/30Y LCH                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -5600000 | NC      | $33284.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POWERPAY ISSUANCE TRUST 2025-1                                                                              | POWERPAY ISSUANCE TRUST 2025-1 5.23% 11/18/2041 144A                                                                             | CUSIP: 73940MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3508100 | PA      | $3519833.40    | 0.01%             | 2041-11-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                                                        | EDISON INTERNATIONAL CP 0% 12/01/2025                                                                                            | CUSIP: 28103AZ15<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     1917000 | PA      | $1916334.99    | 0.00%             | 2025-12-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN FINANCE SARL                                                                                     | AROUNDTOWN FINANCE SARL 5.25%/VAR PERP REGS                                                                                      | CUSIP: N/A<br>LEI: 8945006LEXV2KWSWVP51       | Long             | DBT              | CORP              | LU        |      125000 | PA      | $141961.57     | 0.00%             | 2199-12-31      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SURINAME                                                                                        | REPUBLIC OF SURINAME 8.5% 11/06/2035 144A                                                                                        | CUSIP: 86886PAF9<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |      663000 | PA      | $713759.28     | 0.00%             | 2035-11-06      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 6% 02/01/2040#SB1539                                                                                                   | CUSIP: 3132CXV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      849422 | PA      | $885496.31     | 0.00%             | 2040-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 15YR 6% 11/01/2038#SB8270                                                                                                   | CUSIP: 3132D6FK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      486617 | PA      | $504697.56     | 0.00%             | 2038-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 6% 10/01/2038#MA5178                                                                                                   | CUSIP: 31418EXG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      141980 | PA      | $147521.38     | 0.00%             | 2038-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2025-X2                                                                   | SEAFFIRM ASSET SECURITIZATION TRUST 2025-X2 4.66% 10/15/2030 144A                                                                | CUSIP: 00835DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      638000 | PA      | $638611.97     | 0.00%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                                            | SBLOFI SWAP CY873248 04/17/65 B                                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      400000 | NC      | $69399.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROSS 2025-CES1 MTG TR                                                                                      | CROSS MTG TR 2025-CES1 A1A 5.296% 11/25/2060 144A                                                                                | CUSIP: 22757WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       97138 | PA      | $97186.06      | 0.00%             | 2060-11-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO CP 0% 12/01/2025                                                                                   | CUSIP: 8424C0Z11<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    10400000 | PA      | $10396331.92   | 0.02%             | 2025-12-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 5% 11/01/2040#MA5886                                                                                                   | CUSIP: 31418FRG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3030536 | PA      | $3065820.11    | 0.01%             | 2040-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 10/01/2052#BX0553                                                                                                 | CUSIP: 3140N4TK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95249 | PA      | $96971.26      | 0.00%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 5.5% 11/01/2052#CB5227                                                                                                 | CUSIP: 3140QQYZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1324711 | PA      | $1352285.75    | 0.00%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 03/01/2053#SD2723                                                                                                 | CUSIP: 3132DQAY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      232984 | PA      | $237688.63     | 0.00%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANO HEALTH LLC                                                                                             | CANO HEALTH TERM Initial Exchange Term Loans 1LN 06/28/2029                                                                      | CUSIP: 13781HAS9<br>LEI: 254900OGI2T8V1NXN639 | Long             | LON              | CORP              | US        |       60143 | PA      | $46911.49      | 0.00%             | 2029-06-28      | Variable      | 0.14%                 | No            |                  3 | On Loan: No      |
| ALPHABET INC                                                                                                | ALPHABET INC 4.375% 11/06/2064                                                                                                   | CUSIP: 02079KBG1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      290000 | PA      | $332707.11     | 0.00%             | 2064-11-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | ORO USD 10Y C 3.535 L 11/28/25 BOA                                                                                               | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    -7900000 | NC      | $-0.79         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | ORO USD 10Y P 3.78500 L 11/28/25 BOA                                                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    -7900000 | NC      | $-0.79         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                                                | ALPHABET INC 4.1% 11/15/2030                                                                                                     | CUSIP: 02079KAW7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     1655000 | PA      | $1669275.27    | 0.00%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                                                | ALPHABET INC 4.375% 11/15/2032                                                                                                   | CUSIP: 02079KAX5<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      590000 | PA      | $597176.79     | 0.00%             | 2032-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                                                | ALPHABET INC 4.7% 11/15/2035                                                                                                     | CUSIP: 02079KAY3<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     1665000 | PA      | $1691876.16    | 0.00%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                                                | ALPHABET INC 5.7% 11/15/2075                                                                                                     | CUSIP: 02079KBB2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     1817000 | PA      | $1868751.68    | 0.00%             | 2075-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                                                        | WEC ENERGY GROUP INC 5.625%/VAR 05/15/2056                                                                                       | CUSIP: 92939UAU0<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3044833.35    | 0.01%             | 2056-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                                                                        | NEPTUNE BIDCO US INC 10.375% 05/15/2031 144A                                                                                     | CUSIP: 640695AC6<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |       90000 | PA      | $90993.32      | 0.00%             | 2031-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                                                       | TENET HEALTHCARE CORP 5.5% 11/15/2032 144A                                                                                       | CUSIP: 88033GDW7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      260000 | PA      | $264119.96     | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMMUNITIES INC                                                                             | TAYLOR MORRISON COMMUNITIES INC 5.75% 11/15/2032 144A                                                                            | CUSIP: 87724RAK8<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |      335000 | PA      | $345291.87     | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMPASS DATACENTERS ISSUER II LL                                                                            | COMPASS DATACENTERS ISSUER II LLC 2025-2A 4.926% 11/25/2050 144A                                                                 | CUSIP: 20469CAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      457000 | PA      | $456492.09     | 0.00%             | 2050-11-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | 30Y RTR C3.55 04/30/2026 SYNTH                                                                                                   | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    12838000 | NC      | $123314.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCP AEGIS CLO 2025-47 LTD                                                                                   | OCP AEGIS CLO 2025-47 LTD A1 TSFR3M+111 01/21/2038 144A                                                                          | CUSIP: 67122UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2909000 | PA      | $2909000.00    | 0.01%             | 2038-01-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                                                       | 30Y RTR C3.25 04/30/2026 SYNTH/SWAPTION                                                                                          | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   -12838000 | NC      | $-45060.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET-BACKED EUROPEAN SECURITISATION TRANSACTION TWENTY-FOUR SRL                                            | ASSET-BACKED EUROPEAN SECURITISATION TRANSACTION TWENTY-FOUR SRL 24-R D 1MEUR+160 08/16/2040 REGS                                | CUSIP: N/A<br>LEI: 8156003524A4F7B21C64       | Long             | ABS-CBDO         | CORP              | IT        |      100000 | PA      | $116242.93     | 0.00%             | 2040-08-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 4.36% 09/25/2032                                                                                  | CUSIP: 3137HNTK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6300000 | PA      | $6370563.15    | 0.01%             | 2032-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H8 MTG TR                                                                                        | CROSS 2025-H8 A1A MTG TR 5.003% 11/25/2070 144A                                                                                  | CUSIP: 22757XAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      398287 | PA      | $399052.04     | 0.00%             | 2070-11-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO CP 0% 12/03/2025                                                                                   | CUSIP: 8424C0Z37<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     6100000 | PA      | $6096406.49    | 0.01%             | 2025-12-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-JDI                                                                       | BX COMMERCIAL MORTGAGE TRUST 2025-JDI E TSFR1M+ 11/15/2042 144A                                                                  | CUSIP: 05594LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      172000 | PA      | $172430.02     | 0.00%             | 2042-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| JORDAN KINGDOM OF                                                                                           | JORDAN KINGDOM OF 0% 11/12/2032 144A                                                                                             | CUSIP: 418097AP6<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |      918000 | PA      | $903082.50     | 0.00%             | 2032-11-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TRESTLES CLO IV LTD / TRESTLES CLO IV LLC                                                                   | TRESTLES CLO IV LTD / TRESTLES CLO IV LLC TSFR3M+ 10/30/2038 144A                                                                | CUSIP: 89532WAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250197.75     | 0.00%             | 2038-10-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-JDI                                                                       | BX COMMERCIAL MORTGAGE TRUST 2025-JDI A TSFR1M+ 11/15/2042 144A                                                                  | CUSIP: 05594LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      758000 | PA      | $758946.21     | 0.00%             | 2042-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP NEW                                                                                            | ENTERGY CORP NEW 6.1%/VAR 06/15/2056                                                                                             | CUSIP: 29364GAS2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |     2485000 | PA      | $2499782.54    | 0.01%             | 2056-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP NEW                                                                                            | ENTERGY CORP NEW 5.875%/VAR 06/15/2056                                                                                           | CUSIP: 29364GAR4<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |       29000 | PA      | $28963.54      | 0.00%             | 2056-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CIPHER COMPUTE LLC                                                                                          | CIPHER COMPUTE LLC 7.125% 11/15/2030 144A                                                                                        | CUSIP: 17253NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      315000 | PA      | $320021.04     | 0.00%             | 2030-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                                                 | WAYFAIR LLC 6.75% 11/15/2032 144A                                                                                                | CUSIP: 94419NAC1<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |       80000 | PA      | $81628.24      | 0.00%             | 2032-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BREAKWATER ENERGY HOLDINGS SARL                                                                             | BREAKWATER ENERGY HOLDINGS SARL 9.25% 11/15/2030 144A                                                                            | CUSIP: 10637BAA3<br>LEI: 984500969HAFA937F390 | Long             | DBT              | CORP              | LU        |      390000 | PA      | $403946.40     | 0.00%             | 2030-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 15YR 5% 07/01/2040#FA2096                                                                                                   | CUSIP: 3140W2KJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1399147 | PA      | $1415436.52    | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DRMT 2025-INV1                                                                                              | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2025-INV1 6.68% 11/25/2060 144A                                                             | CUSIP: 24382EAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $100319.80     | 0.00%             | 2060-11-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 5.5% 08/01/2055#SL2271                                                                                                 | CUSIP: 31427PQZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4393505 | PA      | $4516538.70    | 0.01%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DRMT 2025-INV1                                                                                              | DRMT 2025-INV1 VAR 11/25/2060 144A                                                                                               | CUSIP: 24382EAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      461664 | PA      | $462345.23     | 0.00%             | 2060-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VONOVIA SE                                                                                                  | VONOVIA SE 3.5% 11/12/2032 REGS                                                                                                  | CUSIP: N/A<br>LEI: 5299005A2ZEP6AP7KM81       | Long             | DBT              | CORP              | DE        |      300000 | PA      | $346130.44     | 0.00%             | 2032-11-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AXA LOGISTICS EUROPE MASTER SCA                                                                             | AXA LOGISTICS EUROPE MASTER SCA 3.375% 05/13/2031 REGS                                                                           | CUSIP: N/A<br>LEI: 213800IWFTNKN5BPH814       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $116085.32     | 0.00%             | 2031-05-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                                                                   | UST BILLS 0% 03/10/2026                                                                                                          | CUSIP: 912797SY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2076000 | PA      | $2054855.57    | 0.00%             | 2026-03-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NIGERIA REPUBLIC OF                                                                                         | NIGERIA REPUBLIC 9.1297% 01/13/2046 144A                                                                                         | CUSIP: 65412AFG2<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |      560000 | PA      | $593880.00     | 0.00%             | 2046-01-13      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.625% 11/15/2055                                                                                    | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   104271000 | PA      | $103521552.19  | 0.23%             | 2055-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 4% 11/15/2035                                                                                                          | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    43483000 | PA      | $43415057.81   | 0.10%             | 2035-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                                                   | UST NOTES 3.5% 11/15/2028                                                                                                        | CUSIP: 91282CPK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    85975000 | PA      | $85995150.82   | 0.19%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                                               | INTERCONTINENTAL EXCHANGE INC 3.95% 12/01/2028                                                                                   | CUSIP: 45865VAA8<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     4100000 | PA      | $4102521.09    | 0.01%             | 2028-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                                               | INTERCONTINENTAL EXCHANGE INC 4.2% 03/15/2031                                                                                    | CUSIP: 45865VAC4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2999815.80    | 0.01%             | 2031-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION INC                                                                                    | ALLISON TRANSMISSION INC 5.875% 12/01/2033 144A                                                                                  | CUSIP: 019736AH0<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |      130000 | PA      | $131184.24     | 0.00%             | 2033-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2025-X2                                                                   | AFFIRM ASSET SECURITIZATION TRUST 2025-X2 4.56% 10/15/2030 144A                                                                  | CUSIP: 00835DAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $100090.75     | 0.00%             | 2030-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4                                                        | BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4 7.47% 08/15/2031 144A                                                       | CUSIP: 10806EAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1500000 | PA      | $1534621.05    | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ELP 2025-ELP                                                                                                | ELP COML MTG TR 2025-ELP 4.71318% 11/13/2042 144A                                                                                | CUSIP: 290154AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2195000 | PA      | $2204706.73    | 0.00%             | 2042-11-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                                                         | GLOBAL PAYMENTS INC 4.5% 11/15/2028                                                                                              | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     3335000 | PA      | $3346137.73    | 0.01%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                                                         | GLOBAL PAYMENTS INC 4.875% 11/15/2030                                                                                            | CUSIP: 37940XAW2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     1835000 | PA      | $1839302.91    | 0.00%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                                                         | GLOBAL PAYMENTS INC 5.55% 11/15/2035                                                                                             | CUSIP: 37940XAY8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      445000 | PA      | $444635.29     | 0.00%             | 2035-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                                              | TARGA RES CORP 4.35% 01/15/2029                                                                                                  | CUSIP: 87612GAR2<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     3386000 | PA      | $3397391.79    | 0.01%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM6                                                         | SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM6 A1 VAR 11/25/2065 144A                                                       | CUSIP: 80265DAA1<br>LEI: 2549003RXF6LNJ2GP990 | Long             | ABS-CBDO         | CORP              | US        |      325633 | PA      | $326343.40     | 0.00%             | 2065-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COLT 2025-11 MORTGAGE LOAN TRUST                                                                            | COLT 2025-11 MORTGAGE LOAN TRUST VAR 11/25/2070 144A                                                                             | CUSIP: 12676KAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      520459 | PA      | $521979.05     | 0.00%             | 2070-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 08/01/2054#DB7695                                                                                                   | CUSIP: 3140AHRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19830 | PA      | $21227.28      | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 11/01/2053#QH4141                                                                                                   | CUSIP: 3133CGS65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       98146 | PA      | $104411.47     | 0.00%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 08/01/2054#SD6166                                                                                                   | CUSIP: 3132DTZ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      289256 | PA      | $309643.84     | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 06/01/2054#FS8247                                                                                                   | CUSIP: 3140XQEV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      248515 | PA      | $266031.27     | 0.00%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 08/01/2054#DC1886                                                                                                   | CUSIP: 3140APCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24171 | PA      | $25697.82      | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 12/01/2053#SD4486                                                                                                   | CUSIP: 3132E06X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      110005 | PA      | $116778.42     | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 11/01/2053#DA4061                                                                                                   | CUSIP: 3140A4QP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18343 | PA      | $19378.52      | 0.00%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 12/01/2053#DA5755                                                                                                   | CUSIP: 3140A6MD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57999 | PA      | $61103.33      | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 12/01/2053#DA7964                                                                                                   | CUSIP: 3140A8Z62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20006 | PA      | $21111.84      | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 12/01/2053#DA5761                                                                                                   | CUSIP: 3140A6MK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54842 | PA      | $57808.11      | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-DSC2                                                               | GS MORTGAGE-BACKED SECURITIES TRUST 2025-DSC2 5.038% 01/25/2066 144A                                                             | CUSIP: 36275JAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      157000 | PA      | $156940.21     | 0.00%             | 2066-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 11/01/2053#DA5020                                                                                                   | CUSIP: 3140A5SJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29728 | PA      | $31319.41      | 0.00%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 02/01/2054#FS6962                                                                                                   | CUSIP: 3140XNWY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      238794 | PA      | $253889.82     | 0.00%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 04/01/2054#DB2710                                                                                                   | CUSIP: 3140ACAL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16165 | PA      | $17018.75      | 0.00%             | 2054-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 08/01/2054#DC2009                                                                                                   | CUSIP: 3140APGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14147 | PA      | $14977.22      | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 01/01/2054#CB7813                                                                                                   | CUSIP: 3140QTVF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      862045 | PA      | $916810.91     | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 10/01/2053#BY6665                                                                                                   | CUSIP: 3140NPMP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23194 | PA      | $24678.36      | 0.00%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 01/01/2054#FS6966                                                                                                   | CUSIP: 3140XNW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      487184 | PA      | $516231.83     | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 08/01/2054#DB9573                                                                                                   | CUSIP: 3140AKT70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21852 | PA      | $23209.55      | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 01/01/2054#RJ0718                                                                                                   | CUSIP: 3142GQYQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1199679 | PA      | $1273552.17    | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 02/01/2054#FS7546                                                                                                   | CUSIP: 3140XPL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      795851 | PA      | $844856.99     | 0.00%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 01/01/2054#FS6965                                                                                                   | CUSIP: 3140XNW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      553053 | PA      | $586547.45     | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 01/01/2054#SD4777                                                                                                   | CUSIP: 3132DSJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      696530 | PA      | $738712.80     | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 11/01/2053#FS6420                                                                                                   | CUSIP: 3140XND27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1070735 | PA      | $1138424.83    | 0.00%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 09/01/2053#FS5897                                                                                                   | CUSIP: 3140XMRT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      626377 | PA      | $664116.25     | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 01/01/2054#SD4982                                                                                                   | CUSIP: 3132DSRB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1844133 | PA      | $1955817.29    | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 09/01/2054#CB9174                                                                                                   | CUSIP: 3140QVFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      496908 | PA      | $528476.82     | 0.00%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 7% 08/01/2054#BU4941                                                                                              | CUSIP: 3140M6P31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56022 | PA      | $59493.71      | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 07/01/2054#DC0787                                                                                                   | CUSIP: 3140AM2V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19774 | PA      | $21099.89      | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 08/01/2054#DB9800                                                                                                   | CUSIP: 3140AK3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45803 | PA      | $49030.85      | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 12/01/2053#DA5760                                                                                                   | CUSIP: 3140A6MJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       75056 | PA      | $79213.05      | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 10/01/2053#QH2619                                                                                                   | CUSIP: 3133CE4C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23290 | PA      | $24475.21      | 0.00%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 12/01/2053#DA5759                                                                                                   | CUSIP: 3140A6MH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      231412 | PA      | $243734.24     | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 11/01/2053#DA3194                                                                                                   | CUSIP: 3140A3RQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46976 | PA      | $49571.56      | 0.00%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 07/01/2054#QJ3375                                                                                                   | CUSIP: 3133CTXC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24463 | PA      | $25974.57      | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 12/01/2053#QH7580                                                                                                   | CUSIP: 3133CLM52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       90716 | PA      | $95572.01      | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUMMIT ISSUER LLC                                                                                           | SUMMIT ISSUER LLC 5.208% 11/20/2055 144A                                                                                         | CUSIP: 86613XAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      488000 | PA      | $492595.11     | 0.00%             | 2055-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MTG TR 2025-CES1                                                                      | DEEPHAVEN RESIDENTIAL MTG TR 2025-CES1 5.224% 10/25/2055 144A                                                                    | CUSIP: 24380WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      344000 | PA      | $344789.10     | 0.00%             | 2055-10-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                                                   | SUNOCO LP 6.625% 08/15/2032 144A                                                                                                 | CUSIP: 86765KAL3<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      905000 | PA      | $932993.46     | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US 10YR NOTE FUT (CBT)MAR26 TYH6 PUT 111.50 12/26/2025                                                                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -439 | NC      | $-34296.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US 10YR NOTE FUT (CBT)MAR26 TYH6 CALL 114.50 12/26/2025                                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -387 | NC      | $-72562.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CONAGRA BRANDS INC                                                                                          | CONAGRA BRANDS INC CP 0% 12/05/2025                                                                                              | CUSIP: 20600GZ58<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |      300000 | PA      | $299753.82     | 0.00%             | 2025-12-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                                                        | KEURIG DR PEPPER INC CP 0% 12/03/2025                                                                                            | CUSIP: 49271JZ34<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     5500000 | PA      | $5496841.90    | 0.01%             | 2025-12-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC CP 0% 12/02/2025                                                                                                         | CUSIP: 40412BZ22<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     9800000 | PA      | $9795396.94    | 0.02%             | 2025-12-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC CP 0% 12/03/2025                                                                                                         | CUSIP: 40412BZ30<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     4900000 | PA      | $4897120.27    | 0.01%             | 2025-12-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| A10 2025-FL6 ISSUER LLC                                                                                     | A10 2025-FL6 ISSUER LLC A TSFR1M+146.5 05/15/2042 144A                                                                           | CUSIP: 00028AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      375000 | PA      | $374298.41     | 0.00%             | 2042-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                                              | PANAMA REPUBLIC OF SWAP 06/20/26                                                                                                 | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DCR              | CORP              | US        |      831000 | NC      | $3867.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | SWP: IFS 3.185000 15-NOV-2027 UKR                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -1867481 | NC      | $-3320.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                                              | FAIRFAX FINANCIAL HLDGS LTD 5.75% 05/20/2035                                                                                     | CUSIP: 303901BX9<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     5560000 | PA      | $5808520.38    | 0.01%             | 2035-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | ORO USD 10Y C 3.48000 L 12/08/25 BPS                                                                                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DIR              | CORP              | FR        |    -7650000 | NC      | $-5037.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2025-NQM5                                                                         | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM5 VAR 08/25/2065 144A                                                                | CUSIP: 64832GAC8<br>LEI: 213800USJ6KQFZEWGZ76 | Long             | ABS-CBDO         | CORP              | US        |      277450 | PA      | $278160.34     | 0.00%             | 2065-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | ORO USD 10Y P 3.78 L 12/08/25 GLM                                                                                                | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    -7650000 | NC      | $-1930.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | ORO USD 10Y C 3.48000 L 12/08/25 GLM                                                                                             | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    -7650000 | NC      | $-5037.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARDAGH GROUP SA                                                                                             | ARDAGH GROUP SA 9.5% 12/01/2030 144A                                                                                             | CUSIP: 039959AA9<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |      768000 | PA      | $827802.62     | 0.00%             | 2030-12-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                                                 | ORO USD 10Y P 3.78000 L 12/08/25 BPS                                                                                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DIR              | CORP              | FR        |    -7650000 | NC      | $-1930.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BT FINANCE PLC                                                                                              | BT FINANCE PLC 3.375% 11/17/2032 REGS                                                                                            | CUSIP: N/A<br>LEI: 64882D4OUTP2YP126091       | Long             | DBT              | CORP              | GB        |      275000 | PA      | $317407.57     | 0.00%             | 2032-11-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                                                  | VERIZON COMMUNICATIONS INC 5.875% 11/30/2055                                                                                     | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     3656000 | PA      | $3689992.06    | 0.01%             | 2055-11-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                                                  | VERIZON COMMUNICATIONS INC 6% 11/30/2065                                                                                         | CUSIP: 92343VHK3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     1034000 | PA      | $1045726.80    | 0.00%             | 2065-11-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARPENTER TECHNOLOGY CORP                                                                                   | CARPENTER TECHNOLOGY CORP 5.625% 03/01/2034 144A                                                                                 | CUSIP: 144285AN3<br>LEI: DX6I6ZD3X5WNNCDJKP85 | Long             | DBT              | CORP              | US        |      180000 | PA      | $182943.36     | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEUCE FINCO PLC                                                                                             | DEUCE FINCO PLC 7% 11/20/2031 REGS                                                                                               | CUSIP: N/A<br>LEI: 9845007DA2BC863E8437       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $131686.94     | 0.00%             | 2031-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| APLD COMPUTECO LLC                                                                                          | APLD COMPUTECO LLC 9.25% 12/15/2030 144A                                                                                         | CUSIP: 00202DAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      630000 | PA      | $607162.23     | 0.00%             | 2030-12-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-NQM5 TRUST                                                                                        | PRPM 2025-NQM5 TRUST 5.176% 10/25/2070 144A                                                                                      | CUSIP: 69383FAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      392471 | PA      | $393392.99     | 0.00%             | 2070-10-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                                              | CANADIAN NATL RESOURCES LTD 5% 12/15/2029                                                                                        | CUSIP: 136385BD2<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    10920000 | PA      | $11183795.97   | 0.03%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                                              | CANADIAN NATL RESOURCES LTD 5.4% 12/15/2034                                                                                      | CUSIP: 136385BE0<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     4100000 | PA      | $4198949.44    | 0.01%             | 2034-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STWD 2025-FL4 LLC                                                                                           | STWD 2025-FL4 LLC AS TSFR1M+ 170 11/19/2042 144A                                                                                 | CUSIP: 863922AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1035000 | PA      | $1034997.21    | 0.00%             | 2042-11-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST 2025-HE7                                                                                        | FIGRE TRUST 2025-HE7 5.15% 11/25/2055 144A                                                                                       | CUSIP: 31684RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      249000 | PA      | $249253.58     | 0.00%             | 2055-11-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US 10YR NOTE FUT (CBT)MAR26 TYH6 CALL 114 12/26/2025                                                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -292 | NC      | $-91250.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIA and N ZEAL BKG GRP LTD                                                                            | AUSTRALIA and N ZEAL BKG GRP LTD 5.1454%/VAR 08/18/2036 REGS                                                                     | CUSIP: N/A<br>LEI: JHE42UYNWWTJB8YTTU19       | Long             | DBT              | CORP              | AU        |      400000 | PA      | $529157.01     | 0.00%             | 2036-08-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMCOR UK FINANCE PLC                                                                                        | AMCOR UK FINANCE PLC 3.75% 02/20/2033                                                                                            | CUSIP: 0234EVAD3<br>LEI: 549300DEUV6BE727FP17 | Long             | DBT              | CORP              | GB        |      605000 | PA      | $700413.05     | 0.00%             | 2033-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCHWAB CHARLES CORP                                                                                         | SCHWAB CHARLES CORP 4.914%/VAR 11/14/2036                                                                                        | CUSIP: 808513CL7<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     1260000 | PA      | $1262283.25    | 0.00%             | 2036-11-14      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                                                        | COMMERCIAL METALS CO 5.75% 11/15/2033 144A                                                                                       | CUSIP: 201723AS2<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |      475000 | PA      | $485748.72     | 0.00%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                                                        | COMMERCIAL METALS CO 6% 12/15/2035 144A                                                                                          | CUSIP: 201723AV5<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |      385000 | PA      | $392189.16     | 0.00%             | 2035-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING PARTNERS LP                                                                        | NEXTERA ENERGY OPERATING PARTNERS LP 7.75% 04/15/2034 144A                                                                       | CUSIP: 98379YAA0<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      150000 | PA      | $152506.80     | 0.00%             | 2034-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 01/01/2054#SD4983                                                                                                   | CUSIP: 3132DSRC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2187931 | PA      | $2318385.33    | 0.01%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 06/01/2054#SD5670                                                                                                   | CUSIP: 3132DTJP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1915729 | PA      | $2036838.35    | 0.00%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 02/01/2054#SD5671                                                                                                   | CUSIP: 3132DTJQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1145718 | PA      | $1214030.39    | 0.00%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 08/01/2054#SD6167                                                                                                   | CUSIP: 3132DTZ86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      840303 | PA      | $893688.50     | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 09/01/2054#SD6996                                                                                                   | CUSIP: 3132DUXZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1190041 | PA      | $1260996.41    | 0.00%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 01/01/2054#SD7218                                                                                                   | CUSIP: 3132DVAT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2099203 | PA      | $2228466.53    | 0.01%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 06/01/2054#SD7219                                                                                                   | CUSIP: 3132DVAU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1938421 | PA      | $2055814.96    | 0.00%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 12/01/2053#QH7568                                                                                                   | CUSIP: 3133CLMR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      255300 | PA      | $268894.65     | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                                               | FHLG 30YR 7% 03/01/2054#QI3065                                                                                                   | CUSIP: 3133W9MN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43846 | PA      | $46637.96      | 0.00%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 11/01/2053#DA3197                                                                                                   | CUSIP: 3140A3RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      163247 | PA      | $172534.14     | 0.00%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 11/01/2054#DC6582                                                                                                   | CUSIP: 3140AUJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36585 | PA      | $38912.63      | 0.00%             | 2054-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 7% 07/01/2054#BU4763                                                                                              | CUSIP: 3140M6JH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67758 | PA      | $72343.00      | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                                                  | FANNIEMAE 30YR 7% 06/01/2054#BU4772                                                                                              | CUSIP: 3140M6JS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74324 | PA      | $79092.46      | 0.00%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 09/01/2053#BX4447                                                                                                   | CUSIP: 3140N85H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52282 | PA      | $55285.32      | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 10/01/2053#CB7313                                                                                                   | CUSIP: 3140QTDT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      618992 | PA      | $657108.40     | 0.00%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 09/01/2054#CB9172                                                                                                   | CUSIP: 3140QVFN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      523529 | PA      | $558629.61     | 0.00%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 12/01/2053#FS6922                                                                                                   | CUSIP: 3140XNVQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1041734 | PA      | $1104823.01    | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 01/01/2054#FS6964                                                                                                   | CUSIP: 3140XNW26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      949600 | PA      | $1008074.45    | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 01/01/2054#FS6771                                                                                                   | CUSIP: 3140XNQZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1724996 | PA      | $1827847.50    | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 7% 09/01/2054#CB9173                                                                                                   | CUSIP: 3140QVFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      344392 | PA      | $366701.62     | 0.00%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+140 02/25/2055                                                                            | CUSIP: 3137HJGH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      915978 | PA      | $921320.69     | 0.00%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ACUSHNET CO                                                                                                 | ACUSHNET CO 5.625% 12/01/2033 144A                                                                                               | CUSIP: 005095AB0<br>LEI: 549300H805O14KEFES79 | Long             | DBT              | CORP              | US        |       85000 | PA      | $85660.42      | 0.00%             | 2033-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                                                        | EDISON INTERNATIONAL CP 0% 01/07/2026                                                                                            | CUSIP: 28103BA77<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     2683000 | PA      | $2669494.31    | 0.01%             | 2026-01-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BACARDI MARTINI BV                                                                                          | BACARDI MARTINI BV YCP 0% 12/31/2025                                                                                             | CUSIP: 05634EZX3<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | NL        |     1300000 | PA      | $1294792.46    | 0.00%             | 2025-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO CP 0% 01/05/2026                                                                                   | CUSIP: 8424C1A57<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    12516000 | PA      | $12458566.58   | 0.03%             | 2026-01-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                                                          | CONAGRA BRANDS INC CP 0% 12/02/2025                                                                                              | CUSIP: 20600GZ25<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |     3900000 | PA      | $3898180.65    | 0.01%             | 2025-12-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ARDAGH GROUP SA                                                                                             | ARDAGH GROUP SA PIK VAR 12/01/2030 REGS                                                                                          | CUSIP: N/A<br>LEI: 6354006L1NWUUOPYX274       | Long             | DBT              | CORP              | LU        |      113000 | PA      | $121142.64     | 0.00%             | 2030-12-01      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                                               | SOUTHERN CALIFORNIA EDISON CO CP 0% 12/08/2025                                                                                   | CUSIP: 8424C0Z86<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     1584000 | PA      | $1582129.45    | 0.00%             | 2025-12-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS and FRAGRANCES INC                                                                    | INTERNATIONAL FLAVS and FRAG INC CP 0% 12/16/2025                                                                                | CUSIP: 4595A2ZG7<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     5600000 | PA      | $5588609.60    | 0.01%             | 2025-12-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS and FRAGRANCES INC                                                                    | INTERNATIONAL FLAVS and FRAG INC CP 0% 12/05/2025                                                                                | CUSIP: 4595A2Z51<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1998421.20    | 0.00%             | 2025-12-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                                          | BLACKROCK CDS SWAP 5% 06/20/2027                                                                                                 | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |       57000 | NC      | $2587.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOMES 2025-NQM5 TRUST                                                                                       | HOMES 2025-NQM5 TRUST VAR 09/25/2070 144A                                                                                        | CUSIP: 43762CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      456143 | PA      | $456484.15     | 0.00%             | 2070-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2025-3                                                                               | LENDMARK FUNDING TRUST 2025-3 4.51% 05/20/2035 144A                                                                              | CUSIP: 525951AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      696000 | PA      | $695497.21     | 0.00%             | 2035-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2025-3                                                                               | LENDMARK FUNDING TRUST 2025-3 4.83% 05/20/2035 144A                                                                              | CUSIP: 525951AB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      115000 | PA      | $115468.21     | 0.00%             | 2035-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                                                 | UNITED STATES TREASURY BOND 4.625% 11/15/2045                                                                                    | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13970000 | PA      | $13959085.94   | 0.03%             | 2045-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2025-3                                                                               | LENDMARK FUNDING TRUST 2025-3 5.64% 05/20/2035 144A                                                                              | CUSIP: 525951AD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2620000 | PA      | $2631505.21    | 0.01%             | 2035-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                                              | CANADIAN NATL RESOURCES LTD YCP 0% 12/08/2025                                                                                    | CUSIP: 13638WZ88<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     6707000 | PA      | $6699023.36    | 0.02%             | 2025-12-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                                                 | GARTNER INC 4.95% 03/20/2031                                                                                                     | CUSIP: 366651AJ6<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     3300000 | PA      | $3325212.86    | 0.01%             | 2031-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNIV TR 2025-APTS                                                                                           | UNIV TR 2025-APTS A TSFR1M+165 11/15/2030 144A                                                                                   | CUSIP: 91336XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      757000 | PA      | $757473.13     | 0.00%             | 2030-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNIV TR 2025-APTS                                                                                           | UNIV TR 2025-APTS B TSFR1M+225 11/15/2030 144A                                                                                   | CUSIP: 91336XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100062.50     | 0.00%             | 2030-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ARDAGH GROUP SA                                                                                             | ARDAGH GROUP SA PIK STEP 12/01/2030 144A                                                                                         | CUSIP: 03969UAA4<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |      834000 | PA      | $754770.00     | 0.00%             | 2030-12-01      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                                              | CANADIAN NATL RESOURCES LTD YCP 0% 12/18/2025                                                                                    | CUSIP: 13638WZJ4<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     4600000 | PA      | $4588919.98    | 0.01%             | 2025-12-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ASIMI FUNDING 2025-2 PLC                                                                                    | ASIMI FUNDING 2025-2 F PLC SONIO+480 12/16/2032 REGS                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |      100000 | PA      | $131966.11     | 0.00%             | 2032-12-16      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| ASIMI FUNDING 25-2 PLC                                                                                      | ASIMI FUNDING 25-2 E SONIO+280 12/16/2032 REGS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |      100000 | PA      | $132369.60     | 0.00%             | 2032-12-16      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| EAST ONE 2025-1 PLC                                                                                         | EAST ONE 2025-1 C STEP 02/25/2058 REGS                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |      100000 | PA      | $132005.25     | 0.00%             | 2058-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO 44 LTD / LLC                                                                    | BENEFIT STREET PARTNERS CLO 44 LTD / LLC A1 TSFR3M+122 01/15/2039 144A                                                           | CUSIP: 08187NAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3210000 | PA      | $3210000.00    | 0.01%             | 2039-01-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2023-4 LTD                                                                          | BAIN CAPITAL CREDIT CLO 2023-4 LTD A1R TSFR3M+123 01/21/2039 144A                                                                | CUSIP: 05685EAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     3750000 | PA      | $3750000.00    | 0.01%             | 2039-01-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC CP 0% 12/11/2025                                                                                                         | CUSIP: 40412BZB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3394758.90    | 0.01%             | 2025-12-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MTG LN TR                                                                                        | HARBORVIEW MTG LN TR 05-1 1A TSFR1M+75.448 03/19/2035                                                                            | CUSIP: 41161PLC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       75065 | PA      | $37361.18      | 0.00%             | 2035-03-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX 2025-VOLT                                                                                                | BX 2025-VOLT A VAR 12/15/2044 144A                                                                                               | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      314000 | PA      | $313803.75     | 0.00%             | 2044-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                                                        | KEURIG DR PEPPER INC CP 0% 12/04/2025                                                                                            | CUSIP: 49271JZ42<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $8993794.50    | 0.02%             | 2025-12-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                                                        | KEURIG DR PEPPER INC CP 0% 12/12/2025                                                                                            | CUSIP: 49271JZC4<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $9983990.00    | 0.02%             | 2025-12-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                                              | CANADIAN NATL RESOURCES LTD YCP 0% 12/19/2025                                                                                    | CUSIP: 13638WZK1<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |      750000 | PA      | $748102.95     | 0.00%             | 2025-12-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RTE RESEAU DE TRANSPORT D'ELECTRICITE                                                                       | RTE EDF TRANSPORT SA 3.875% 11/24/2037 REGS                                                                                      | CUSIP: N/A<br>LEI: 969500JRJW0K2ET1UP76       | Long             | DBT              | CORP              | FR        |      200000 | PA      | $232731.05     | 0.00%             | 2037-11-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CNSL 2025-4A                                                                                                | CNSL 2025-4A B 5.766% 12/20/2055 144A                                                                                            | CUSIP: 315961AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1506000 | PA      | $1513476.84    | 0.00%             | 2055-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                                              | AMAZON.COM INC 4.65% 11/20/2035                                                                                                  | CUSIP: 023135CV6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     1825000 | PA      | $1841284.53    | 0.00%             | 2035-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                                              | AMAZON.COM INC 5.55% 11/20/2065                                                                                                  | CUSIP: 023135CY0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      985000 | PA      | $989611.48     | 0.00%             | 2065-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NA                                                                              | MORGAN STANLEY PRIVATE BANK NA 4.465%/VAR 11/19/2031                                                                             | CUSIP: 61776NZW6<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |     3075000 | PA      | $3091818.13    | 0.01%             | 2031-11-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NA                                                                              | MORGAN STANLEY PRIVATE BANK NA 4.204%/VAR 11/17/2028                                                                             | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |     9675000 | PA      | $9691389.74    | 0.02%             | 2028-11-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                                                       | MOLINA HEALTHCARE INC 6.5% 02/15/2031 144A                                                                                       | CUSIP: 60855RAN0<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |      275000 | PA      | $280916.43     | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENMAB A/S/GENMAB FINANCE LLC                                                                               | GENMAB A/S/GENMAB FINANCE LLC 7.25% 12/15/2033 144A                                                                              | CUSIP: 37230JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |      335000 | PA      | $350841.15     | 0.00%             | 2033-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENMAB A/S/GENMAB FINANCE LLC                                                                               | GENMAB A/S/GENMAB FINANCE LLC 6.25% 12/15/2032 144A                                                                              | CUSIP: 37230JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |      200000 | PA      | $205646.21     | 0.00%             | 2032-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2025-6 LTD                                                                                   | CARLYLE US CLO 2025-6 LTD A1 TSFR3M+122 01/20/2039 144A                                                                          | CUSIP: 14320LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3635000 | PA      | $3635000.00    | 0.01%             | 2039-01-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | ORO USD 10Y P 3.845 L 12/17/25 GLM                                                                                               | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   -11800000 | NC      | $-4436.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | ORO USD 10Y C 3.54500 L 12/17/25 GLM                                                                                             | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   -11800000 | NC      | $-35729.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                                                | ALIMENTATION COUCHE-TARD INC YCP 0% 12/02/2025                                                                                   | CUSIP: 01626UZ24<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     1100000 | PA      | $1099497.52    | 0.00%             | 2025-12-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                                              | CANADIAN NATL RESOURCES LTD YCP 0% 12/22/2025                                                                                    | CUSIP: 13638WZN5<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     1500000 | PA      | $1495672.65    | 0.00%             | 2025-12-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXV LTD / SYMPHONY CLO XXV LLC                                                                 | SYMPHONY CLO XXV LTD / SYMPHONY CLO XXV LLC BR TSFR3M+150 04/19/2034 144A                                                        | CUSIP: 87167WDE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5125000 | PA      | $5125000.00    | 0.01%             | 2034-04-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DHL GROUP                                                                                                   | DHL GROUP 3.75% 11/25/2037 REGS                                                                                                  | CUSIP: N/A<br>LEI: 8ER8GIG7CSMVD8VUFE78       | Long             | DBT              | CORP              | DE        |      270000 | PA      | $314283.08     | 0.00%             | 2037-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SMURFIT KAPPA TREASURY                                                                                      | SMURFIT KAPPA TREASURY 3.489% 11/24/2031                                                                                         | CUSIP: N/A<br>LEI: 635400B3DOXSWFOWJT40       | Long             | DBT              | CORP              | IE        |      100000 | PA      | $116784.83     | 0.00%             | 2031-11-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                                                        | KEURIG DR PEPPER INC CP 0% 12/01/2025                                                                                            | CUSIP: 49271JZ18<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     9075000 | PA      | $9071878.20    | 0.02%             | 2025-12-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                                                        | KEURIG DR PEPPER INC CP 0% 12/09/2025                                                                                            | CUSIP: 49271JZ91<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     5225000 | PA      | $5218411.80    | 0.01%             | 2025-12-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                                          | CENOVUS ENERGY INC 4.65% 03/20/2031                                                                                              | CUSIP: 15135UBA6<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |      983000 | PA      | $985973.12     | 0.00%             | 2031-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                                          | CENOVUS ENERGY INC 5.4% 03/20/2036                                                                                               | CUSIP: 15135UBB4<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |      757000 | PA      | $764395.00     | 0.00%             | 2036-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CROSSCOUNTRY INTERMEDIATE HOLDCO LLC                                                                        | CROSSCOUNTRY INTERMEDIATE HOLDCO LLC 6.75% 12/01/2032 144A                                                                       | CUSIP: 22757VAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      130000 | PA      | $131449.70     | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                                                    | AES CORP CP 0% 12/01/2025                                                                                                        | CUSIP: 00809GZ18<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     5400000 | PA      | $5398092.18    | 0.01%             | 2025-12-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UPGRADE MASTER PASS-THRU TRUST SERIES 2025-ST8                                                              | UPGRADE MASTER PASS-THRU TRUST SERIES 2025-ST8 C 5.25% 12/15/2033 144A                                                           | CUSIP: 91535UAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      216000 | PA      | $216557.43     | 0.00%             | 2033-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                                                                   | UST BILLS 0% 03/24/2026                                                                                                          | CUSIP: 912797TA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        7000 | PA      | $6918.31       | 0.00%             | 2026-03-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ENBW INTERNATIONAL FINANCE BV                                                                               | ENBW INTERNATIONAL FINANCE BV 5.7923% 02/26/2036 REGS                                                                            | CUSIP: N/A<br>LEI: 724500CNCIO1ZTJ0X675       | Long             | DBT              | CORP              | NL        |      370000 | PA      | $239986.29     | 0.00%             | 2036-02-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC                                   | ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 6.25% 01/30/2031 144A                                  | CUSIP: 03969YAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $203475.56     | 0.00%             | 2031-01-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                                              | CANADIAN NATL RESOURCES LTD YCP 0% 12/23/2025                                                                                    | CUSIP: 13638WZP0<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |      368000 | PA      | $366894.86     | 0.00%             | 2025-12-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FIN                                                                                      | JONES LANG LASALLE FIN YCP 0 12/02/2025                                                                                          | CUSIP: 48002AZ23<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |     1900000 | PA      | $1899146.90    | 0.00%             | 2025-12-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                                              | CANADIAN NATL RESOURCES LTD YCP 0 12/01/2025                                                                                     | CUSIP: 13638WZ13<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     1632000 | PA      | $1631422.11    | 0.00%             | 2025-12-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AMETEK INC NEW                                                                                              | AMETEK INC NEW CP 0% 01/12/2026                                                                                                  | CUSIP: 03111CAC7<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |    12800000 | PA      | $12734720.00   | 0.03%             | 2026-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC.                                                                                   | BAXTER INTERNATIONAL INC 5.65% 12/15/2035                                                                                        | CUSIP: 071813DE6<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |      895000 | PA      | $912078.32     | 0.00%             | 2035-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VIVION INVESTMENTS SARL                                                                                     | VIVION INVESTMENTS SARL 5.625% 06/08/2030 REGS                                                                                   | CUSIP: N/A<br>LEI: 529900SJ7X71ESJK9N76       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $114023.31     | 0.00%             | 2030-06-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VIVION INVESTMENTS SARL                                                                                     | VIVION INVESTMENTS SARL EUAMDB05+NA PERP REGS                                                                                    | CUSIP: N/A<br>LEI: 529900SJ7X71ESJK9N76       | Long             | DBT              | CORP              | LU        |      100000 | PA      | $109983.65     | 0.00%             | 2199-12-31      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GRUENENTHAL GMBH                                                                                            | GRUENENTHAL GMBH 4.625% 11/15/2031 REGS                                                                                          | CUSIP: N/A<br>LEI: 529900SH895E31PGLA72       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $117492.20     | 0.00%             | 2031-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DBR LAND HOLDINGS LLC                                                                                       | DBR LAND HOLDINGS LLC 6.25% 12/01/2030 144A                                                                                      | CUSIP: 24024BAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      155000 | PA      | $156985.55     | 0.00%             | 2030-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT 2025-3A                                                                           | GREENSKY HOME IMPROVEMENT 2025-3A 4.52% 12/27/2060 144A                                                                          | CUSIP: 39571WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4131000 | PA      | $4133581.88    | 0.01%             | 2060-12-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BACARDI MARTINI BV                                                                                          | BACARDI MARTINI BV YCP 0% 01/29/2026                                                                                             | CUSIP: 05634FAV1<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | NL        |     1400000 | PA      | $1389466.68    | 0.00%             | 2026-01-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                                                                         | JAPAN GOVERNMENT OF 0% 03/02/2026                                                                                                | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   300000000 | PA      | $1918136.49    | 0.00%             | 2026-03-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US 10YR NOTE FUT (CBT)MAR26 TYH6 PUT 111 12/26/2025                                                                              | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -169 | NC      | $-7921.88      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                                           | EURO-BUND FUTURE MAR26 RXH6 CALL 130.50 01/23/2026                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         -35 | NC      | $-15026.53     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                                           | EURO-BUND FUTURE MAR26 RXH6 PUT 127.50 01/23/2026                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         -35 | NC      | $-10559.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AIR LEASE CORP                                                                                              | AIR LEASE CORP CP 0% 12/02/2025                                                                                                  | CUSIP: 00913WZ24<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $7996214.40    | 0.02%             | 2025-12-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                                                        | KEURIG DR PEPPER INC CP 0% 12/15/2025                                                                                            | CUSIP: 49271JZF7<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     6900000 | PA      | $6886589.85    | 0.02%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES INC                                                                                           | CF INDUSTRIES INC 5.3% 11/26/2035                                                                                                | CUSIP: 12527GAL7<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |     1640000 | PA      | $1651820.84    | 0.00%             | 2035-11-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                                               | INTERCONTINENTAL EXCHANGE INC CP 0% 12/02/2025                                                                                   | CUSIP: 45856WZ28<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1099487.29    | 0.00%             | 2025-12-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+ 12/25/2054                                                                               | CUSIP: 3136BTK85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      843501 | PA      | $851752.96     | 0.00%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE US INC                                                                                             | ENBRIDGE US INC CP 0% 12/22/2025                                                                                                 | CUSIP: 29251UZN1<br>LEI: 5493003FRODSVHJWFS32 | Long             | DBT              | CORP              | US        |    14300000 | PA      | $14261192.66   | 0.03%             | 2025-12-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                                         | MSCS SWAP CY873245 04/17/65 B                                                                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     4499061 | NC      | $32067.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+135 08/25/2055                                                                            | CUSIP: 3137HMKA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      375562 | PA      | $377928.94     | 0.00%             | 2055-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UPG HI 2025-2 ISSUER TR                                                                                     | UPG HI 2025-2 ISSUER TR 5% 09/25/2047 144A                                                                                       | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      247000 | PA      | $247494.00     | 0.00%             | 2047-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VANTAGE DATA CENTERS JERSEY BORROWER SPV LTD                                                                | VANTAGE DATA CENTERS JERSEY BORROWER SPV LTD 6.338% 05/28/2039 REGS                                                              | CUSIP: N/A<br>LEI: 213800S5S638C9IBQ379       | Long             | ABS-CBDO         | CORP              | JE        |      135000 | PA      | $178699.50     | 0.00%             | 2039-05-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LMRE 2025 SFR1 TRUST                                                                                        | LMRE 2025 SFR1 TRUST 4.5% 12/09/2042 144A                                                                                        | CUSIP: 50208WAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      258000 | PA      | $253173.98     | 0.00%             | 2042-12-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MSCR TRUST MN12                                                                                 | FREDDIE MAC MSCR TRUST MN12 SOFR30A+ 11/25/2045 144A                                                                             | CUSIP: 355913AB0<br>LEI: 529900KABSM46L5D1T20 | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3999988.00    | 0.01%             | 2045-11-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC CP 0% 01/07/2026                                                                                                         | CUSIP: 40412DA74<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     8859000 | PA      | $8816411.24    | 0.02%             | 2026-01-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BACARDI MARTINI BV                                                                                          | BACARDI MARTINI BV YCP 0% 02/05/2026                                                                                             | CUSIP: 05634FB57<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | NL        |      600000 | PA      | $594981.42     | 0.00%             | 2026-02-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC CP 0% 01/13/2026                                                                                                         | CUSIP: 40412DAD1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     5441000 | PA      | $5410928.68    | 0.01%             | 2026-01-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                                                     | HCA INC CP 0% 01/05/2026                                                                                                         | CUSIP: 40412DA58<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1393605.22    | 0.00%             | 2026-01-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2025-3                                                            | GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2025-3 5% 10/20/2049 144A                                                              | CUSIP: 38237FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1197000 | PA      | $1199533.21    | 0.00%             | 2049-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+140 02/25/2055                                                                            | CUSIP: 3137HJSS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      414877 | PA      | $416372.70     | 0.00%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+150 06/25/2055                                                                            | CUSIP: 3137HLLG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      559121 | PA      | $563372.47     | 0.00%             | 2055-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US 2YR NOTE (CBT) FUT MAR26 TUH6 PUT 103.75 02/20/2026                                                                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -88 | NC      | $-8250.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+140 08/25/2055                                                                            | CUSIP: 3136BWXP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      371415 | PA      | $373915.62     | 0.00%             | 2055-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SCMS 2025-BNC1                                                                                              | SCMS 2025-BNC1 A2 4.6047% 04/15/2028 144A                                                                                        | CUSIP: 78398LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3910000 | PA      | $3910000.00    | 0.01%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                                                | ALIMENTATION COUCHE-TARD INC YCP 0% 01/01/2026                                                                                   | CUSIP: 01626VAL7<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     4100000 | PA      | $4074889.96    | 0.01%             | 2026-01-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AMER INC                                                                               | UNITED RENTALS NORTH AMER INC 5.375% 11/15/2033 144A                                                                             | CUSIP: 911365BS2<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      130000 | PA      | $130298.55     | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+135 02/25/2055                                                                                | CUSIP: 3136BUE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      600729 | PA      | $604413.57     | 0.00%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT 2025-K551 AS 4.54% 10/25/2030                                                                     | CUSIP: 3137HNWW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15300000 | PA      | $15300000.00   | 0.03%             | 2030-10-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                                                          | AUTONATION INC DEL CP 0% 12/08/2025                                                                                              | CUSIP: 05330LZ89<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3200000 | PA      | $3195979.84    | 0.01%             | 2025-12-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                                                       | IFS 3.075000 12/15/2027 UKR                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     1867389 | NC      | $-3181.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MAUSER PACKAGING SOLUTIONS HOLDING CO                                                                       | MAUSER PACKAGING SOLUTIONS HOLDING CO 9.25% 04/15/2030 144A                                                                      | CUSIP: 57763RAF4<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |      400000 | PA      | $380000.00     | 0.00%             | 2030-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+ 02/25/2055                                                                               | CUSIP: 3137HJD53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      447132 | PA      | $449813.90     | 0.00%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NRZT 2025-NQM6                                                                                              | NRZT 2025-NQM6 VAR 10/25/2065 144A                                                                                               | CUSIP: 64832KAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      627000 | PA      | $627435.26     | 0.00%             | 2065-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MAUSER PACKAGING SOLUTIONS HOLDING CO                                                                       | MAUSER PACKAGING SOLUTIONS HOLDING CO 7.875% 04/15/2030 144A                                                                     | CUSIP: 57763RAE7<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |      442000 | PA      | $428740.00     | 0.00%             | 2030-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ERAC USA FIN LLC                                                                                            | ERAC USA FIN LLC CP 0% 01/12/2026                                                                                                | CUSIP: 26882SAC0<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    12800000 | PA      | $12733120.00   | 0.03%             | 2026-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CHI COMMERCIAL MORTGAGE TRUST 2025-110W                                                                     | CHI COMMERCIAL MORTGAGE TRUST 2025-110W D VAR 12/13/2037 144A                                                                    | CUSIP: 12577HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      214000 | PA      | $214585.72     | 0.00%             | 2037-12-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                                              | AIR LEASE CORP CP 0% 01/08/2026                                                                                                  | CUSIP: 00913XA86<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     5800000 | PA      | $5770186.26    | 0.01%             | 2026-01-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                                              | AIR LEASE CORP CP 0% 12/15/2025                                                                                                  | CUSIP: 00913WZF5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     6100000 | PA      | $6087485.24    | 0.01%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                                                  | FNMA 30YR 6.5% 06/01/2055#CC0594                                                                                                 | CUSIP: 3140Y6UU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1351537 | PA      | $1429421.71    | 0.00%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+135 09/25/2055                                                                            | CUSIP: 3137HMZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      449054 | PA      | $451667.15     | 0.00%             | 2055-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHI COMMERCIAL MORTGAGE TRUST 2025-110W                                                                     | CHI COMMERCIAL MORTGAGE TRUST 2025-110W VAR 12/13/2037 144A                                                                      | CUSIP: 12577HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      332000 | PA      | $333379.43     | 0.00%             | 2037-12-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+110 09/25/2054                                                                            | CUSIP: 3136BSQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      587385 | PA      | $589082.74     | 0.00%             | 2054-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+52 03/25/2029                                                                             | CUSIP: 3137HCTM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4888172 | PA      | $4879294.05    | 0.01%             | 2029-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                                                          | CONAGRA BRANDS INC CP 0% 12/17/2025                                                                                              | CUSIP: 20600GZH2<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $2095233.21    | 0.00%             | 2025-12-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                                                          | CONAGRA BRANDS INC CP 0% 12/16/2025                                                                                              | CUSIP: 20600GZG4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    12300000 | PA      | $12273652.17   | 0.03%             | 2025-12-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                                                    | AES CORP CP 0% 12/17/2025                                                                                                        | CUSIP: 00809GZH3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2993301.00    | 0.01%             | 2025-12-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AMETEK INC NEW                                                                                              | AMETEK INC NEW CP 0% 12/16/2025                                                                                                  | CUSIP: 03111BZG3<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |     3500000 | PA      | $3492900.60    | 0.01%             | 2025-12-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                                                       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+ 12/25/2055                                                                               | CUSIP: 3137HNZB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    10285550 | PA      | $10291770.70   | 0.02%             | 2055-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                                      | US 10YR NOTE FUT (CBT)MAR26 TYH6 PUT 112.50 12/26/2025                                                                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -71 | NC      | $-16640.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | ORO USD 10Y P 3.74250 L 12/26/25 GLM                                                                                             | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    -3400000 | NC      | $-7596.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                                                      | ORO USD 10Y C 3.44250 L 12/26/25 GLM                                                                                             | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    -3400000 | NC      | $-6258.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DUOMO BIDCO SPA                                                                                             | DUOMO BIDCO SPA FRN 3MEUR+325 01/15/2032 REGS                                                                                    | CUSIP: N/A<br>LEI: 8156008BEDB552B30829       | Long             | DBT              | CORP              | IT        |      100000 | PA      | $116363.31     | 0.00%             | 2032-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES CORP TRUST 2025-NQM6                                                          | GSMBS 2025-NQM6 A1 5.021% 11/25/2029 144A                                                                                        | CUSIP: 362933AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      640000 | PA      | $639829.82     | 0.00%             | 2029-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                                                                      | US TREASURY RP 4.15% 12/1/25                                                                                                     | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | RA               | UST               | US        |   375000000 | PA      | $375000000.01  | 0.85%             |  |  |  | No            |                  2 | On Loan: No      |
| BRCK TRUST 2025-830B                                                                                        | BRCK TRUST 2025-830B E VAR 12/10/2030 144A                                                                                       | CUSIP: 10635AAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      388000 | PA      | $388000.00     | 0.00%             | 2030-12-10      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                                                                      | US TREASURY RP 4.14% 12/1/25                                                                                                     | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | RA               | UST               | US        |   200000000 | PA      | $200000000.00  | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                                                                      | US TREASURY RP 4.16% 12/1/25                                                                                                     | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | RA               | UST               | US        |   929100000 | PA      | $929100000.03  | 2.10%             |  |  |  | No            |                  2 | On Loan: No      |
| BRCK TRUST 2025-830B                                                                                        | BRCK TRUST 2025-830B F VAR 12/10/2030 144A                                                                                       | CUSIP: 10635AAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      194000 | PA      | $194000.00     | 0.00%             | 2030-12-10      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BRCK TRUST 2025-830B                                                                                        | BRCK TRUST 2025-830B A VAR 12/10/2030 144A                                                                                       | CUSIP: 10635AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      242000 | PA      | $242000.00     | 0.00%             | 2030-12-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BACARDI MARTINI BV                                                                                          | BACARDI MARTINI BV YCP 0% 12/29/2025                                                                                             | CUSIP: 05634EZV7<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | NL        |      300000 | PA      | $298871.07     | 0.00%             | 2025-12-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-30

**Name of Applicant:** Heather Bonner

**Signature:** Heather Bonner

**Name of Signer:** Heather Bonner

**Title:** President and Treasurer